Foreign Exchange Rate Exposure in Hong Kong, Japan and Singapore: Firm and Industry Level Analysis
Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
This paper analyzes the extent of foreign exchange rate exposure in Hong Kong, Japan and Singapore in both firm level and industry level in the period of January 1996 to January 2011 by regressing the stock return of a particular industry or firm on exchange rate changes while controlling for overall stock market movements. It is found that exchange rate movements do affect firm and industry value in a manner consistent with expectation and the extract of unexpected exchange rate changes from actual exchange rate changes have little influence on the testing results of exposure. It is also proved that exchange rate regime plays an irreplaceable role in drawing the structure of exchange rate exposure of a country.
Place, publisher, year, edition, pages
2011. , 57 p.
Foreign exchange rate exposure, Exchange rate regime
IdentifiersURN: urn:nbn:se:sh:diva-9201OAI: oai:DiVA.org:sh-9201DiVA: diva2:423793
Subject / course
2011-06-09, 10:30 (English)
UppsokSocial and Behavioural Science, Law
Lin, Xiang, Högskolelektor