期刊論文

標題 Multiple Asymmetries and Exchange Rate Exposure at Firm Level: Evidence from Taiwan Stock Market
學年 101
學期 1
出版(發表)日期 2012/10/01
作品名稱 Multiple Asymmetries and Exchange Rate Exposure at Firm Level: Evidence from Taiwan Stock Market
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 International Journal of Economics and Finance 4(10), pp.26-40
摘要 It has been viewed as an unsolved puzzle that for only a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically even though the financial theory strongly supports that a change in the exchange rate should affect the value of the firm. We explain it by the facts that (i) previous studies mostly investigated mature and non-open economies and (ii) they mostly concentrated on one part of the relationship between exchange exposure and firm value. Our empirical results are based on a sample of 107 Taiwanese non-financial firms from 6th June 1990 to 14th July 2010 and the bilateral exchange rate USD / TWD. We use an orthogonalized model with conventional augmented CAPM specifications and asymmetric variables. Because the exposure cannot be viewed as a single coefficient, we also add GJR GARCH specifications to measure the asymmetric profile of the firms and the existence of asymmetric volatility of returns. Our findings show a strong exposure for most of our sample with exclusively a negative exposure (Taiwanese firms benefit from an appreciation of the domestic currency). We also find that exposure is non-linear. Moreover, the asymmetric profiles of the firms modify significantly their exposure. Finally, a high percentage of our monthly sample is affected by a positive coefficient of volatility of the stock returns associated with exchange rates changes but conversely for our daily sample. It means that the leverage of positive and negative shocks changes with the time horizon.
關鍵字
語言 英文
ISSN 1916-971X;1916-9728
期刊性質 國外
收錄於
產學合作 國外;
通訊作者
審稿制度
國別 加拿大
公開徵稿
出版型式 ,電子版,紙本