Asymmetric Exchange Rate Exposure and Industry Characteristics: Evidence from Japanese Stock Returns

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吳俊毅(Jyun-yi Wu) 查詢紙本館藏

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論文名稱

(Asymmetric Exchange Rate Exposure and Industry Characteristics: Evidence from Japanese Stock Returns)

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摘要(英)

The paper uses the model-free test, proposed by Hong et al. (2004), and
threshold models to investigate whether asymmetric exchange rate exposure is
detected on industry index returns in Japan. Asymmetric exposures are found to
be more pronounced in the Pharmaceutical, Real State, and Air Transportation.
Asymmetries may result from industry characteristics, such as pricing-to-market
with market share objective, hysteresis, and asymmetric hedging. Furthermore,
we find that the second-moment exposure is an important independent variable
which can increase the ability of explanation in the threshold models.

關鍵字(中)

關鍵字(英)

★ Exchange rate exposure
★ Asymmetric exposures

論文目次

1 Introduction 1
2 Literatures Review 3
2.1 Defining exchange rate exposures . . . . . . . . . . . . . . . . . . . . . 3
2.1.1 Literatures about exchange rate exposures . . . . . . . . . . . . 4
2.2 Asymmetric response to exchange rate movement . . . . . . . . . . . . 5
2.2.1 Asymmetric hedging . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.2 Hysteresis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.3 Pricing-to-market . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2.4 Literatures about asymmetric exchange rate exposures . . . . . 7
3 Methodology 9
3.1 Symmetry Test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.1.1 Test for correlation symmetry . . . . . . . . . . . . . . . . . . . 9
3.2 Threshold models with GARCH effect . . . . . . . . . . . . . . . . . . 13
4 Empirical Findings 16
4.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
4.2 Asymmetric correlations . . . . . . . . . . . . . . . . . . . . . . . . . . 16
4.3 Asymmetric exchange rate exposures . . . . . . . . . . . . . . . . . . . 20
5 Conclusions and Suggestions 24
5.1 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
5.2 Suggestions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
Reference 26

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指導教授

徐之強(Chih-Chiang Hsu)

審核日期

2005-7-4

推文