publication . Article . 2017

Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

Minh Thi Hong Le; Ha Thi Cam Huynh; Hong Thi Thu Dinh;
Open Access English
  • Published: 01 Apr 2017 Journal: Exchanges (issn: 2053-9665, Copyright policy)
  • Publisher: University of Warwick
Abstract
<jats:p>The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the panel data and, then, a GMM estimator is employed to ensure the consistency of the estimates. The results point out that the exchange rate exposure of these countri...
Subjects
free text keywords: asymmetric exchange rate exposure, exchange rate risk, stock returns, stock market, Southeast Asia, General Works, A, Panel data, Exchange rate, Econometrics, Foreign exchange risk, Currency, Economics, Social science, Financial economics, Depreciation, Local currency, Interest rate parity
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publication . Article . 2017

Asymmetric Exchange Rate Exposure - Research in Southeast Asian Countries

Minh Thi Hong Le; Ha Thi Cam Huynh; Hong Thi Thu Dinh;