Asymmetric Currency Exposure and Time-Varying Exchange Rate Volatility: Evidence from Taiwan Stock Market
學年 99
學期 2
發表日期 2011-05-21
作品名稱 Asymmetric Currency Exposure and Time-Varying Exchange Rate Volatility: Evidence from Taiwan Stock Market
作品名稱（其他語言）
著者 R. F. Franck VARGA
作品所屬單位 淡江大學全球政治經濟學系
出版者 Tamsui, Taipei : Tamkang University, Department of Management Sciences and Decision Making
會議名稱 The 2011 International Conference in Management Sciences and Decision Making=2011年管理科學與經營決策國際學術研討會
會議地點 臺北縣, 臺灣
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, (ii) they mostly concentrated on one part of the relationship between exchange rate exposure and firm value and (iii) the second-moment exchange rate exposure is frequently ignored. 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 USO / TWO. We use an orthogonalized conventional augmented CAPM model with asymmetric and Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) specifications in view to take into account stylized facts associated with financial time series and analyze the impact ofthe exchange rate volatility on firm returns. We find strong evidence of exchange rate exposure (88.8% of our sample) and all exposed firms benefit from an appreciation of the domestic currency (TWO). 32.6% of the exposed firms exhibit an asymmetric profile. Sign asymmetry tends to increase the exposure coefficient while magnitude asymmetry has an opposite effect. 8.4% of the exposed firms are affected by the exchange rate volatility, but not uniformly: 62.5% of the cases show a trade-off while 37.5% ex.hibit a positive relation: firms benefIt from the volatility.
關鍵字 Economic exposure;Ex.change rate exposure;Asymmetric currency exposure;Exchange rate volatility;Open economy;Taiwan;GARCH-M
語言 en
收錄於
會議性質 國際
校內研討會地點 淡水校園
研討會時間 20110521~20110521
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 Proceedings of the 2011 International Conference in Management Sciences and Decision Making= 2011年管理科學與經營決策國際學術研討會論文集, pp.279-292
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