The DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations

Glaum, Martin; Brunner, Marko; Himmel, Holger

doi:10.2139/ssrn.139425

Cited by 29 publications

(21 citation statements)

References 27 publications

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“…In case of a fiscal expansion, however, the correlation would be negative, when we start from the reasonable 4 Recent exceptions are provided by Glaum et al (1998), and in some German written studies by Müller (1998), Entorf and Kabbalakes (1998), Entorf (2000), Jamin (1999), andSchieszl (2000). assumption that, in general, fiscal expansion is considered as "good news" for short-run output fluctuations.…”

Section: Estimation Of Time-variant Exchange Rate Exposure Within Thementioning

confidence: 93%

Dance with the Dollar: Exchange Rate Exposure of the German Stock Market

Entorf

Jamin

2002

SSRN Journal

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Summary:We estimate the Dollar exposure of German DAX corporations. Our results are based on a new time-variant, APT-based and panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990). Our stock market data consist of 28 performance indices of German DAX corporations. We include macroeconomic risk factors, and data on export and import involvement. Dollar exposures turn out to differ between exporters and importers and they are rather unstable over time. In contrast to most previous studies in the literature that find little evidence of exposure, we confirm recent results of who report that higher foreign involvement corresponds to higher exposure at least in Germany. Moreover, our findings suggest that exposure also depends on the prevailing level of the Dollar exchange rate.

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Section: Estimation Of Time-variant Exchange Rate Exposure Within Thementioning

confidence: 93%

Dance with the Dollar: Exchange Rate Exposure of the German Stock Market

Entorf

Jamin

2002

SSRN Journal

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“…For example, Chamberlain et al (1997) used daily data. Glaum et al (2000) argued that daily data lead to weaker outcomes than monthly data. Sometimes, it is also argued that longer horizons allow to capture the fundamental long-term relationship between exchange rates and the company's value.…”

Section: Literature Reviewmentioning

confidence: 99%

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Drachal

2017

GBER

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Abstract:The leading Polish exporting firms were analysed in the context of a foreign exchange rate exposure. The exchange rates were selected on a criterion of the size of a trade with foreign partners. It could have been expected that for an exporter the stock return is positively linked with a change in a foreign exchange rate. The analysed sample consists of the data from the second half of 2004 to the beginning of 2015. It has been found that EUR, USD and CZK exchange rates have a negative impact, whereas GBP and RUB exchange rates have a positive impact.Keywords: currency risk; export; PLN currency; stock returns; foreign exchange rate exposure; fx exposure; Warsaw Stock Exchange; biggest Polish exporters; EUR; USD; CZK; GBP; RUB.Reference to this paper should be made as follows: Drachal, K. (2017) 'Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange', Global Business and Economics Review, Vol. 19, No. 1, pp.15-37. Biographical notes:Krzysztof Drachal is a mathematics graduate with a strong professional interest in (quantitative) finance and various other aspects of financial markets. He has published over 50 papers on economics, finance and mathematics. Most of his interest lay in stock exchanges, real estate markets, energy markets and commodities. Moreover, he is also engaged in various editorial and didactic activities.

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“…Only recently, exceptions are provided by Glaum et al (1998), Müller (1998, Entorf and Kabbalakes (1998), Entorf (2000), Jamin (1999), andSchieszl (2000).…”

Section: The Correlation Between Stock Returns and Exchange Rate Movementioning

confidence: 99%

German Stock Returns: The Dance with the Dollar

Entorf

Jamin

2000

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Abstract: The purpose of this paper is to shed some light on the association between the stock returns of German DAX corporations and movements of the U.S. Dollar. The link turns out to be rather unstable, but it depends significantly on direction and magnitude of foreign trade, and on the existing level of the DM/ Dollar exchange rate. This conclusion is based on exchange-rate-exposure and APT-modelling, as well as on panel data on the performance of 28 German DAX corporations, inclusion of macroeconomic risk factors, data on export and import involvement, and on econometric panel, GLS, SUR and cointegration techniques. Terms of use: Documents in EconStor may

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The DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations

Cited by 29 publications

References 27 publications

Dance with the Dollar: Exchange Rate Exposure of the German Stock Market

Dance with the Dollar: Exchange Rate Exposure of the German Stock Market

Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

German Stock Returns: The Dance with the Dollar

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