Rashid, Abdul (2009): The Economic Exchange Rate Exposure: Evidence for a Small Open Economy.
This is the latest version of this item.
Download (200kB) | Preview
This study examines the economic exchange rate exposure for 22 industries in Pakistan. The key findings of the study are as follows. Firstly, it shows that industry-level share values are statistically significantly influenced by changes in the PKR/US-dollar exchange rate in general. Secondly it reports a statistically significant lagged response of stock values to exchange rate change. Finally, the highly capital intensive industries are, however, more exposed to changes in exchange rate as compared to less capital intensive industries. The robustness of the exchange rate exposure does not fall over time.
|Item Type:||MPRA Paper|
|Original Title:||The Economic Exchange Rate Exposure: Evidence for a Small Open Economy|
|English Title:||The Economic Exchange Rate Exposure: Evidence for a Small Open Economy|
|Keywords:||Exchange rate exposure; Small open economy; Capital intensive industries|
|Subjects:||F - International Economics > F2 - International Factor Movements and International Business > F23 - Multinational Firms ; International Business
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||Dr Abdul Rashid|
|Date Deposited:||19. Mar 2010 22:35|
|Last Modified:||30. Dec 2015 22:45|
Adler, M. and Dumas, B. (1984). Exposure to currency risk: Definition and measurement. Financial Management, 13: 41-50.
Adler, M. and Simon, D. (1986). Exchange risk surprise in international portfolios: Some equity markets are super-normal. Journal of Portfolio Management, Winter: 44-53.
Allyayannis, G. (1996). Exchange rate exposure revisited. Working paper DSWP 97-06, University of Virginia.
Bortov, E. and Bodnar, G. M. (1994). Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of finance, 49(5): 1755-1788.
Bodnar, G. M. and Wong, M. H. F. (1999). Estimating exchange rate exposure: Some “weighty” issues. Working paper, University of Pennsylvania.
Bodnar, G. M. and Gentry, W. M. (1993). Exchange rate exposure and industry characteristics: Evidence from Canada, Japan and the USA. Journal of International Money and Finance, 12: 29-45.
Bodnar, G.M., Dumas, B. and Marston, R. C. (1998). Pass-through and exposures, Working paper, 1998.
Choi, J. J. and Prasad, A. M. (1995). Exchange risk sensitivity and its determinants: A firm and industry analysis of U.S. multinationals. Financial Management, 24(3): 77-88.
Chow, E. H., Lee, W. Y., and Solt, M. E. (1997). The economic exposure of U.S. multinational firms. Journal of Finance Research, 20: 191-210.
Doidge, C., Griffen, J., and Williamson, R. (2000). An international comparison of exchange rate exposure. Ohio State University Working paper.
Dominguez K. M. E. and Tesar, L. L. (2001). A re-examination of exchange rate exposure. American Economic Review: Papers and Proceedings, May 2001.
Entorf, H., Moebert, J. and Sonderhof, K. (2006). The foreign exchange rate exposure of nations. Working Paper, Darmstadt University of Technology, Germany.
Glaum, M., Brunner, M. and Himmel, H. (2000). The DAX and the Dollar: The economic exchange rate exposure of German corporation. Journal of International Business Studies, 31(4): 715-724.
Goi, T. (2000). Exchange rate movements and profitability of the U.S. multinationals. Journal of International Money and Finance, 19: 117-134.
He, J. and Ng, L. (1998). The foreign exchange rate exposure of Japanese multinational corporations. Journal of Finance, 53: 733-753.
Jorion, P. (1990). The exchange-rate exposure of U.S. multinationals. Journal of Business, 63(3): 331-345.
Luehrman, T. A. (1991). Exchange rate changes and the distribution of industry value. Journal of International Business Studies, 22: 619-649.
Miller, K. D. and Reuer, J. J. (1998a). Firm strategy and economic exposure to foreign exchange rate movements. Journal of International Business Studies, 29(3): 493-514.
Pritamani, M., D., Shome, D., K. and Singal, V. (2004). Foreign exchange exposure of exporting and importing firms, Journal of Banking and Finance, 28: 1697-1710.
Rees, W. and Unni, S. (1999). Exchange rate exposure among European firms: Evidence from France, Germany and the UK. Working paper, University of Glasgow.
Roglaski, R. J. (1984). New findings regarding day-of-the-Week returns over trading and non-trading periods: A note, Journal of Finance, 39(5): 1603-1614.
Available Versions of this Item
- The Economic Exchange Rate Exposure: Evidence for a Small Open Economy. (deposited 19. Mar 2010 22:35) [Currently Displayed]