Asian foreign exchange risk exposure

Aline Muller; Willem F.C. Verschoor

doi:https://doi.org/10.1016/j.jjie.2006.06.001

Asian foreign exchange risk exposure

Aline Muller, Willem F.C. Verschoor

Research output: Contribution to journal › Article › peer-review

Abstract

We find that about 25 percent of Asian firms experienced economically significant exposure effects to the US dollar and 22.5 percent to the Japanese yen for the period January 1993 to January 2003. The overall extent of exposure is not sample dependent; a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns. The extent to which firms are exposed to exchange rate fluctuations varies with return horizons; short-term exposure seems to be relatively well hedged, where considerable evidence of long-term exposure is found. Firms with weak liquidity positions tend to have smaller exposures.

Original language	English
Pages (from-to)	16-37
Journal	Journal of the Japanese and International Economies
Volume	21
Issue number	1
DOIs	https://doi.org/10.1016/j.jjie.2006.06.001
Publication status	Published - Mar 2007
Externally published	Yes

Keywords

Exchange risk
Asian internationally active firms
Hedging policies
Intervalling
Long-term exposure

Access to Document

https://doi.org/10.1016/j.jjie.2006.06.001

https://www.sciencedirect.com/science/article/pii/S0889158306000293

Cite this

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title = "Asian foreign exchange risk exposure",

abstract = "We find that about 25 percent of Asian firms experienced economically significant exposure effects to the US dollar and 22.5 percent to the Japanese yen for the period January 1993 to January 2003. The overall extent of exposure is not sample dependent; a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns. The extent to which firms are exposed to exchange rate fluctuations varies with return horizons; short-term exposure seems to be relatively well hedged, where considerable evidence of long-term exposure is found. Firms with weak liquidity positions tend to have smaller exposures. ",

keywords = "Exchange risk, Asian internationally active firms, Hedging policies, Intervalling, Long-term exposure",

author = "Aline Muller and Verschoor, {Willem F.C.}",

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AU - Verschoor, Willem F.C.

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N2 - We find that about 25 percent of Asian firms experienced economically significant exposure effects to the US dollar and 22.5 percent to the Japanese yen for the period January 1993 to January 2003. The overall extent of exposure is not sample dependent; a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns. The extent to which firms are exposed to exchange rate fluctuations varies with return horizons; short-term exposure seems to be relatively well hedged, where considerable evidence of long-term exposure is found. Firms with weak liquidity positions tend to have smaller exposures.

AB - We find that about 25 percent of Asian firms experienced economically significant exposure effects to the US dollar and 22.5 percent to the Japanese yen for the period January 1993 to January 2003. The overall extent of exposure is not sample dependent; a depreciating (appreciating) Asian currency against foreign currencies has a net negative (positive) impact on stock returns. The extent to which firms are exposed to exchange rate fluctuations varies with return horizons; short-term exposure seems to be relatively well hedged, where considerable evidence of long-term exposure is found. Firms with weak liquidity positions tend to have smaller exposures.

KW - Exchange risk

KW - Asian internationally active firms

KW - Hedging policies

KW - Intervalling

KW - Long-term exposure

U2 - https://doi.org/10.1016/j.jjie.2006.06.001

DO - https://doi.org/10.1016/j.jjie.2006.06.001

M3 - Article

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SP - 16

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JO - Journal of the Japanese and International Economies

JF - Journal of the Japanese and International Economies

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ER -