The impact of industrial structure and the exchange-rate exposure of industry portfolio returns

Krishnamoorthy, Anand

doi:10.1016/s1044-0283(01)00033-3

Cited by 23 publications

(19 citation statements)

References 11 publications

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“…Güney Kore'de ise döviz kurundan hisse senedi piyasasına, Filipinler'de ise hisse senedi piyasasından döviz kuruna doğru bir nedensellik olduğu belirlenmiştir. Krishnamoorthy (2001) 20 sektörü ele alarak bu sektörlerin döviz kuru duyarlılığını 1995-1997 dönemi için test etmiştir. Çalışma sonucunda tüketim ağırlıklı sektörlerde döviz kuruna olan duyarlılığının daha yüksek olduğu tespit edilmiştir.…”

Section: Ili̇teratürunclassified

“…Yapılan analizler sonucunda elde edilen bulgular hisse senedi getirileri ile faiz oranları ve döviz kuru arasına ters yönlü bir ilişki olduğunu göstermiştir. Smith-Nandha (2003) 1995-2001 yıllarını ele alarak Bangladeş, Hindistan, Pakistan ve Sri Lanka'da döviz kurları ile hisse senetleri arasında uzun dönem ilişki olup olmadığını test etmişlerdir. Çalışma sonucunda iki değişken arasında ilgili ülkeler için herhangi bir uzun dönem ilişki olmadığı tespit edilmiştir.…”

Section: Ili̇teratürunclassified

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Examinig the Relationships among the Borsa Istanbul Sector Indices and Exchange Rates: ARDL Model

Eyüboğlu

2018

Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Section: Ili̇teratürunclassified

Examinig the Relationships among the Borsa Istanbul Sector Indices and Exchange Rates: ARDL Model

Eyüboğlu

2018

Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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“…There is also a wide range of FC options, including caps, collars, Asians, baskets, binaries, lookbacks, and swaptions, to mention only a few, that make asymmetric hedging strategies cheap and practical. Finally, there is a small but growing literature on asymmetric currency exposure (e.g., Choi and Prasad, 1995; Di Iorio and Faff, 2000; Krishnamoorthy, 2001; Koutmos and Martin, 2003a, b, and Oh and Lee, 2004) with some evidence that FC exposure asymmetry is frequent and widespread. For example, using data from four major economies, namely, Germany, Japan, the United Kingdom, and the United States over the period 1992–1998 Koutmos and Martin (2003a) find that in approximately 40 per cent of the country‐sector models they study, there is significant exchange rate exposure and over 40 per cent of the significant exposures turn out to be asymmetric.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France

Clark¹,

Mefteh²

2010

Journal of International Financial Management &Amp; Accounting

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This paper provides evidence on the asymmetric sensitivity of stock returns of French firms to exchange rate risk and the effect of foreign currency (FC) derivative use in alleviating this risk. The results show that FC exposure is frequently asymmetric and differs with respect to the US dollar (USD) and non-USD currencies. Cross sectional analysis provides evidence that FC derivatives use has a significant effect on reducing FC exposure to appreciations and depreciations of non-USD currencies and depreciations of the USD, but not to appreciations of the USD. on firm value. 2 There is also a substantial literature on the foundations of currency risk exposure analyzing the parameters and transmission mechanisms that determine a firm's sensitivity to exchange rate movements (see, e.g., mention only a few, 4 find that only a small percentage of their sample firms show significant exchange rate exposure. Although this could be interpreted as preliminary evidence that hedging may be neutralizing exposure, this evidence is weakened by the fact that there does not seem to be much difference in significant exposure rates between hedgers and nonhedgers. Furthermore, Allayannis and Ofek (2001) and Hagelin and Prambourg (2004) suggest that FC hedging, although often negative and significant, has only a marginal effect on FC exposure. 5 Given the contemporary empirical status quo, this paper revisits the world of exchange rate exposure and FC derivatives use in the context of potential asymmetries in reactions of stock returns to currency appreciations and depreciations. There is a theoretical literature on firm behavior-hysterisis (e.g., Ljungqvist, 1994;Christophe, 1997) and pricing-to-market (Knetter, 1994;Marston, 2001)-that implies the possibility of asymmetric reactions of stock returns to currency appreciations and depreciations. There is also a wide range of FC options, including caps, collars, Asians, baskets, binaries, lookbacks, and swaptions, to mention only a few, that make asymmetric hedging strategies cheap and practical. Finally, there is a small but growing literature on asymmetric currency exposure (e.g., Choi and Prasad, 1995;Di Iorio and Faff, 2000;Krishnamoorthy, 2001; Martin, 2003a, b, andOh andLee, 2004) with some evidence that FC exposure asymmetry is frequent and widespread. For example, using data from four major economies, namely, Germany, Japan, the United Kingdom, and the United States over the period 1992-1998Koutmos and Martin (2003a find that in approximately 40 per cent of the country-sector models they study, there is significant exchange rate exposure and over 40 per cent of the significant exposures turn out to be asymmetric. This paper studies the effect of FC derivatives use in the context of asymmetric sensitivity to exchange rate movements. More specifically, it 28 Ephraim Clark and Salma Mefteh r

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“…They found that German firms are significantly exposed to changes in DM/US dollar rate. Krishnamoorthy (2001) examines whether the industrial structure is an important determinant of the exchange rate exposure of US industry portfolio returns over 1995 -1997 period. The study indicated that industries that are classified as being globally competitive and those that serve the consumer sector of the economy have significant levels of exposure.…”

Section: Empirical Reviewmentioning

confidence: 99%

Effect of Exchange Rate Movements on Ghanaian Banks

Addae¹

2014

JFA

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Abstract:The main purpose of this paper is to look at the exchange rate sensitivity of some listed banks on the Ghana Stock Exchange (GSE) between 2005 and 2010. In order to achieve the purpose, we adopted both quantitative and qualitative approaches. Econometric models were employed to deal with both the exchange rate sensitivities and to ascertain the exchange rate exposure of the Banks. The study discovered that all the banks studied engage in forex trading and made gains/profits from such activities. It was further found that apart from Ghana Commercial Bank and Standard Chartered Bank who were exposed to foreign exchange risk -pound sterling, the rest of the banks had no exposure to any of the currency risk. All the banks on the other hand have risk management structures in place to mitigate any risks that arise as a result of their operations. The overall interest in risk management by the banks is very high as they have put in some financial derivative measures to mitigate any exchange rate risk that they are exposed to.

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The impact of industrial structure and the exchange-rate exposure of industry portfolio returns

Cited by 23 publications

References 11 publications

Examinig the Relationships among the Borsa Istanbul Sector Indices and Exchange Rates: ARDL Model

Examinig the Relationships among the Borsa Istanbul Sector Indices and Exchange Rates: ARDL Model

Asymmetric Foreign Currency Exposures and Derivatives Use: Evidence from France

Effect of Exchange Rate Movements on Ghanaian Banks

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