کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086219 | 1478165 | 2008 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the correlation between volatilities of stock returns and exchange rate changes. In this paper, we employ a bivariate GJR-GARCH model to examine all such aspects of exchange rate exposure of sectoral indexes in Japanese industries. Based on a sample data of fourteen sectors, we find significant evidence of exposed returns and its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with those of exchange rate changes. We also find support for the “averaged-out exposure and asymmetries” argument. Our findings have direct implications for practitioners in formulating investment decisions and currency hedging strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 20, Issue 4, December 2008, Pages 639-660
Journal: Japan and the World Economy - Volume 20, Issue 4, December 2008, Pages 639-660
نویسندگان
Prabhath Jayasinghe, Albert K. Tsui,