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題名 Exchange Rate Exposure in the Asian Emerging Markets
作者 Lin, Chien-Hsiu
林建秀
貢獻者 金融系
關鍵詞 Asymmetric exchange exposure ; Financial crisis ; Central banks’ intervention ; Real exchange rate
日期 2011-09
上傳時間 17-二月-2014 17:47:58 (UTC+8)
摘要 This paper investigates the impact of foreign exchange rate change on stock returns in the Asian emerging markets. The asymmetric exchange exposure framework and real exchange rates are used in this paper to capture the different exposures between currency appreciation and depreciation and the high inflation effect in the emerging markets. My empirical results show that there did exist extensive exchange rate exposure in the Asian emerging markets from 1997 to 2010. Moreover, foreign exchange exposure became more significant or greater during the 1997 Asian crisis and the 2008 global crisis periods, despite the frequent central banks’ interventions during these periods. The greater exchange exposure during the crisis periods can be attributable to net exporters or firms with dollar assets, implying that firms can reduce exchange exposures by decreasing their export ratio or dollar assets holding during times of crisis.
關聯 Journal of Multinational Financial Management, 21(4), 224-238
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.mulfin.2011.04.002
dc.contributor 金融系en_US
dc.creator (作者) Lin, Chien-Hsiuen_US
dc.creator (作者) 林建秀zh_TW
dc.date (日期) 2011-09en_US
dc.date.accessioned 17-二月-2014 17:47:58 (UTC+8)-
dc.date.available 17-二月-2014 17:47:58 (UTC+8)-
dc.date.issued (上傳時間) 17-二月-2014 17:47:58 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63900-
dc.description.abstract (摘要) This paper investigates the impact of foreign exchange rate change on stock returns in the Asian emerging markets. The asymmetric exchange exposure framework and real exchange rates are used in this paper to capture the different exposures between currency appreciation and depreciation and the high inflation effect in the emerging markets. My empirical results show that there did exist extensive exchange rate exposure in the Asian emerging markets from 1997 to 2010. Moreover, foreign exchange exposure became more significant or greater during the 1997 Asian crisis and the 2008 global crisis periods, despite the frequent central banks’ interventions during these periods. The greater exchange exposure during the crisis periods can be attributable to net exporters or firms with dollar assets, implying that firms can reduce exchange exposures by decreasing their export ratio or dollar assets holding during times of crisis.en_US
dc.format.extent 299217 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Multinational Financial Management, 21(4), 224-238en_US
dc.subject (關鍵詞) Asymmetric exchange exposure ; Financial crisis ; Central banks’ intervention ; Real exchange rateen_US
dc.title (題名) Exchange Rate Exposure in the Asian Emerging Marketsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.mulfin.2011.04.002en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.mulfin.2011.04.002en_US