The Impact of Unanticipated Exchange Rate on Stock Return and Volatility
碩士 === 銘傳大學 === 金融研究所 === 87 === This paper examines the short-term phenomena in Taiwan stock market after the Asia financial crisis arose in 1997. The empirical studies focus on the impact of unanticipated exchange rate on stock return and volatility during the period of volatile exchange rate move...
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ndltd-TW-087MCU002140112016-02-03T04:32:43Z http://ndltd.ncl.edu.tw/handle/27747167875911938848 The Impact of Unanticipated Exchange Rate on Stock Return and Volatility 未預期匯率變動對股票報酬率及波動性之影響 Chen Chi-Sen 陳其森 碩士 銘傳大學 金融研究所 87 This paper examines the short-term phenomena in Taiwan stock market after the Asia financial crisis arose in 1997. The empirical studies focus on the impact of unanticipated exchange rate on stock return and volatility during the period of volatile exchange rate movement. The main empirical findings are as below. 1. Consistent with previous researches, we find a low proportion of firms experience significant exchange rate risk to insignificant. About 22 percent of exporting firms and 14 percent of importing firms are exposed to significant exchange rate risk. In addition, the percentage of exporting firms with positive exchange rate risk coefficient is larger than that of importing ones. However, no lagged exchange rate risk effects exist. 2. The exchange rate risk which firms are exposed to is determined by individual firm’s operational factors such as exporting ratio and firm size. But because of the imperfection of Taiwan derivatives market, the hedging factors have no significant influence on exchange rate risk. 3. We find significant increases in stock return volatility after Asia financial crisis both in exporting and importing sample even though there are only few firms experience significant exchange rate risk. The fact that stock return volatility totally increase may result from other economic factors that are influenced by financial crisis rather than exchange rate itself. 4. The increase in stock return volatility of exporting firms is larger than that of importing firms. Exporting firms are exposed to larger exchange risk than importing firms. Chen Shen-Yuan 陳勝源 1999 學位論文 ; thesis 112 zh-TW |
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碩士 === 銘傳大學 === 金融研究所 === 87 === This paper examines the short-term phenomena in Taiwan stock market after the Asia financial crisis arose in 1997. The empirical studies focus on the impact of unanticipated exchange rate on stock return and volatility during the period of volatile exchange rate movement. The main empirical findings are as below.
1. Consistent with previous researches, we find a low proportion of firms experience significant exchange rate risk to insignificant. About 22 percent of exporting firms and 14 percent of importing firms are exposed to significant exchange rate risk. In addition, the percentage of exporting firms with positive exchange rate risk coefficient is larger than that of importing ones. However, no lagged exchange rate risk effects exist.
2. The exchange rate risk which firms are exposed to is determined by individual firm’s operational factors such as exporting ratio and firm size. But because of the imperfection of Taiwan derivatives market, the hedging factors have no significant influence on exchange rate risk.
3. We find significant increases in stock return volatility after Asia financial crisis both in exporting and importing sample even though there are only few firms experience significant exchange rate risk. The fact that stock return volatility totally increase may result from other economic factors that are influenced by financial crisis rather than exchange rate itself.
4. The increase in stock return volatility of exporting firms is larger than that of importing firms. Exporting firms are exposed to larger exchange risk than importing firms.
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author2 |
Chen Shen-Yuan |
author_facet |
Chen Shen-Yuan Chen Chi-Sen 陳其森 |
author |
Chen Chi-Sen 陳其森 |
spellingShingle |
Chen Chi-Sen 陳其森 The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
author_sort |
Chen Chi-Sen |
title |
The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
title_short |
The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
title_full |
The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
title_fullStr |
The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
title_full_unstemmed |
The Impact of Unanticipated Exchange Rate on Stock Return and Volatility |
title_sort |
impact of unanticipated exchange rate on stock return and volatility |
publishDate |
1999 |
url |
http://ndltd.ncl.edu.tw/handle/27747167875911938848 |
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