English  |  正體中文  |  简体中文  |  Items with full text/Total items : 60861/93527 (65%)
Visitors : 1496817      Online Users : 13
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/93031

    Title: Asymmetric Currency Exposure and Time-Varying Exchange Rate Volatility: Evidence from Taiwan Stock Market
    Authors: R. F. Franck VARGA
    Contributors: 淡江大學全球政治經濟學系
    Keywords: Economic exposure;Ex.change rate exposure;Asymmetric currency exposure;Exchange rate volatility;Open economy;Taiwan;GARCH-M
    Date: 2011-05
    Issue Date: 2013-11-09 12:00:21 (UTC+8)
    Publisher: Tamsui, Taipei : Tamkang University, Department of Management Sciences and Decision Making
    Abstract: 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.
    Relation: 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
    Appears in Collections:[Department of Global Political Economy] Proceeding

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

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