Asian foreign exchange risk exposure

Correlation Dynamics in East Asian Financial Markets

“…Our results reflected in Figure 3 are supported by foreign exchange rate exposure studies, Muller and Verschoor (2007) and Lin (2011), among others. Muller and Verschoor (2007) conclude that among 941 internationally active firms in East Asia that have significant exposure effects to the US dollar during the outbreak of the Asian financial crisis 1997-1998, 830 firms have negative exposure meaning that a depreciating Asian currency against the US dollar has a net adverse impact on their stock returns. The crosscountries distribution of exchange rate exposure reveals that all countries have a negative exposure.…”

“…After the onset of the 1997 East Asian crisis the spillover effects are found to be bi-directional in the latter two countries. Muller and Verschoor (2007) use a univariate GARCH model to investigate whether the equity value of individual Asian internationally active firms are affected by exchange rate changes. They conclude that the overall extent of exchange rate exposure is not sample dependent, a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns.…”

Policy uncertainty, derivatives use, and firm-level FDI

“…They found that currency depreciations had a negative impact on the sector's stock returns only in Indonesia and the Philippines. Relatedly, Muller and Verschoor (2007) find that the number of firms that are significantly exposed to US dollar exchange risk contemporaneously varies from 20.5% in Singapore to 30% in Thailand, while the number of firms exposed to Japanese yen exchange risk varies from 20% in Hong Kong to 27% in Indonesia.…”

Currency risk: from definition to classification

“…Многие отечественные и иностранные ученые-экономисты, исследуя валютный риск, предлагали разнообразные определения (Гаджиев, 2001;Гуляева, 2007;Кокош, Демская, 2013;Красовский, 2012;Непп, Пономарева, 2010;Пеникас, 2010;Потапова, Стёпкина, 2010;Семенова, Деникаева, 2015;Суэтин, 2005;Сытин, Каяшева, 2009;Хмыз, 2008;Adrian, Etula, Groen, 2011;Apergis, Artikis, Sorros, 2011;Brown, 2001;Cenedese, Sarno, Tsiakas, 2014;Kočenda, Poghosyan, 2009;Kolari, Moorman, Sorescu, 2008;Krapl, Giaccotto, 2015;Marshall, 2000;Muller, Verschoor, 2007;Sirr, Garvey, Gallagher, 2011). Большинство существующих в экономической литературе определений данной категории основаны на предпосылке о том, что единственным решающим фактором возникновения валютного риска является изменение валютного курса, что и было отображено в определениях.…”