کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085052 | 1477924 | 2013 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rate risk and the equity performance of financial intermediaries
ترجمه فارسی عنوان
ریسک نرخ ارز و عملکرد صحیح واسطه های مالی
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کلمات کلیدی
ریسک نرخ ارز، عملکرد سهام، واسطه های مالی،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study uses the VAR-BEKK methodology to examine the relationship between equity returns and currency exposure for a sample of U.S., U.K. and Japanese banks and insurance firms during 2003-2011. The findings indicate that banks' equity returns are negatively related to changes in foreign currency value during the recent financial crisis (2008-2011). That is, the U.S. (Japanese) banking sector returns are negatively correlated to changes in the Japanese Yen (U.S. Dollar). Equity returns of U.S./U.K. insurers are negatively linked to changes in the value of Japanese Yen, and this relationship is accentuated during the crisis. Home currency exposure is not significant for any insurer. When size is taken into account, only small U.S. banks are exposed to home currency changes, while only large Japanese banks are exposed to foreign currency changes. Overall, the negative relationship between the foreign currency value and bank/insurance equity returns supports the “flight to quality” hypothesis from the U.S./U.K. to Japan.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 29, September 2013, Pages 271-282
Journal: International Review of Financial Analysis - Volume 29, September 2013, Pages 271-282
نویسندگان
Dimitrios Gounopoulos, Philip Molyneux, Sotiris K. Staikouras, John O.S. Wilson, Gang Zhao,