English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 49189/83570 (59%)
造访人次 : 7089419      在线人数 : 49
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93031


    题名: Asymmetric Currency Exposure and Time-Varying Exchange Rate Volatility: Evidence from Taiwan Stock Market
    作者: R. F. Franck VARGA
    贡献者: 淡江大學全球政治經濟學系
    关键词: Economic exposure;Ex.change rate exposure;Asymmetric currency exposure;Exchange rate volatility;Open economy;Taiwan;GARCH-M
    日期: 2011-05
    上传时间: 2013-11-09 12:00:21 (UTC+8)
    出版者: Tamsui, Taipei : Tamkang University, Department of Management Sciences and Decision Making
    摘要: It has been viewed as an unsolved puzzle that for only a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically even though the financial theory strongly supports that a change in the exchange rate should affect the value of the firm. We explain it by the facts that (i) previous studies mostly investigated mature and non-open economies, (ii) they mostly concentrated on one part of the relationship between exchange rate exposure and firm value and (iii) the second-moment exchange rate exposure is frequently ignored.
    Our empirical results are based on a sample of 107 Taiwanese non-financial firms from 6th June 1990 to 14th July 2010 and the bilateral exchange rate USO / TWO. We use an orthogonalized conventional augmented CAPM model with asymmetric and Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) specifications in view to take into account stylized facts associated with financial time series and analyze the impact ofthe exchange rate volatility on firm returns.
    We find strong evidence of exchange rate exposure (88.8% of our sample) and all exposed firms benefit from an appreciation of the domestic currency (TWO). 32.6% of the exposed firms exhibit an asymmetric profile. Sign asymmetry tends to increase the exposure coefficient while magnitude asymmetry has an opposite effect. 8.4% of the exposed firms are affected by the exchange rate volatility, but not uniformly: 62.5% of the cases show a trade-off while 37.5% ex.hibit a positive relation: firms benefIt from the volatility.
    關聯: Proceedings of the 2011 International Conference in Management Sciences and Decision Making= 2011年管理科學與經營決策國際學術研討會論文集, pp.279-292
    显示于类别:[全球政治經濟學系] 會議論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML198检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈