کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726742 | 1479361 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetric currency exposure of US bank stock returns
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Most of previous studies have not been successful in finding significant currency exposure. One possible explanation for this failure is that these studies ignore the asymmetric relationship between the value of a firm and exchange rate. Consequently, in this paper, I explore the possibility of asymmetric currency exposure using US bank stocks. The empirical results show that more than 80% of the sample are significantly exposed to exchange rate changes in a asymmetric way based on the tests of multi-factor model with multivariate GARCH parameterization. This empirical finding is robust to whether contemporaneous or lagged exchange rates changes are used to estimate the model. The strong evidence of asymmetric currency exposure suggests that both asymmetry and conditional heteroskedasticity play important roles in estimating currency exposure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 15, Issues 4â5, October 2005, Pages 455-472
Journal: Journal of Multinational Financial Management - Volume 15, Issues 4â5, October 2005, Pages 455-472
نویسندگان
Chu-Sheng Tai,