期刊論文

標題 Currency Exposure, Second-Moment Exchange Rate Exposure and Asymmetric Volatility of Stock Returns: The Effects of Financial Crises on Taiwanese Firms
學年 101
學期 2
出版(發表)日期 2013/03/01
作品名稱 Currency Exposure, Second-Moment Exchange Rate Exposure and Asymmetric Volatility of Stock Returns: The Effects of Financial Crises on Taiwanese Firms
作品名稱(其他語言)
著者 馬為騰
單位 全球政治經濟學系
出版者
著錄名稱、卷期、頁數 Journal of Applied Finance and Banking 3(2), pp.15-37
摘要 Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly contained), the global financial crisis we are witnessing since 2007 is in many respects unparalleled. Compared to many other countries, we could observe that Taiwan performed better. But it does not mean that structural changes did not affect individual firms. This study investigates (i) the impact of first- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate fluctuation, (ii) the time-varying exchange rate exposure following the 1997 Asian financial turmoil and the global financial crisis which started in 2007. We find a high percentage of exposed firms before the two crises but if this percentage decreases dramatically after, the exposure level is much larger. The two crises affect also the asymmetric profile of the firms and volatilities. Finally, when we study the breakdown between systematic and diversifiable risks, we find that the market risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their equity financing cost.
關鍵字 Exchange Rate Exposure;Asymmetric Currency Exposure;Financial Crises, Asymmetric volatility;GJR GARCH-M
語言 英文
ISSN 1792-6580;1792-6599
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 希臘
公開徵稿
出版型式 ,電子版,紙本