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Foreign Exchange Rate Exposure in Hong Kong, Japan and Singapore: Firm and Industry Level Analysis
Södertörn University College, School of Social Sciences.
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Foreign exchange rate exposure, Exchange rate regime
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-9201OAI: oai:DiVA.org:sh-9201DiVA: diva2:423793
Subject / course
Economics
Presentation
2011-06-09, 10:30 (English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2011-06-16 Created: 2011-06-16 Last updated: 2011-06-16Bibliographically approved

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fulltext(728 kB)360 downloads
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File name FULLTEXT01.pdfFile size 728 kBChecksum SHA-512
35658133e8eb278970eed1343d7c54d2b5ff3cf8b69fc15028c7a7c65394885bf8bb5a4ed61230033d95a2e311036574b11b92212c8fe111154f3cbd2e772cae
Type fulltextMimetype application/pdf

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Xie, Tao
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ReferencesLink to record
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