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

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：105

、訪客IP：3.133.106.206

姓名

吳俊毅(Jyun-yi Wu) 查詢紙本館藏

畢業系所

產業經濟研究所

論文名稱

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

相關論文

★ 上市公司財務主管異動宣告對股價報酬與企業經營績效之影響	★ 巢式與非巢式資產定價理論之比較與檢定
★ 小數化、市場流動性與交易時距	★ 套利訂價模型中未知因子之分析：全球實證研究
★ Copula-based GARCH模型於期貨避險之應用	★ 消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用
★ 股票市場報酬與波動性外溢效果分析	★ 中國大陸勞動合同法與企業所得稅法對台商的衝擊與因應
★ 結構FAVAR模型與台灣貨幣政策分析	★ 通貨膨脹率預測:考慮結構變動之動態因子模型應用
★ 匯率因子與市場基要之預測表現	★ 台灣大小公司報酬與流動性之實證研究
★ 台灣外匯暨股票市場流動性與景氣循環關係之探討	★ 台灣經濟成長率之混合頻率預測-MIDAS迴歸應用
★ 油價對匯率預測能力之分析	★ 企業組織再造之分析－以某醫材業公司為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

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

參考文獻

Ang, A. and Chen, J., 2002,“ Asymmetric correlations of equity portfolios,” Journal
of Financial Economics, 63, 443–494.
Bartov, E. and Bodnar, G. M., 1994, “ Firms valuation, earnings expectations, and
the exchange rate exposure effect,” Journal of Finance, 49, 1755–1785.
Bodnar, G. M, and Gentry, W. M., 1993 , “ Exchange rate exposure and industry characteristics:
evidence from Canada, Japan, and the USA,” Journal of International
Money and Finance, 12, 29–45.
Baldwin, R., 1988, “ Hysteresis in import prices: the beachhead effect,” American
Economic Review, 78, 773–785.
Bollerslev, T., Chou, R. Y., and Kroner, K., 1992, “ ARCH modeling in finance: a
review of the theory and empirical evidence,” Journal of Econometrics, 52, 5–59.
Chow, E. H., and Chen, H. L., 1998, “ The determinants of foreign exchange rate
exposure: evidence on Japanese firms,” Pacific-Basin Finance Journal, 6, 153–174.
Chamberlain, S., Howe, J. S. and Popper, H., 1997, “ The exchange rate exposure
of U.S and Japanese banking institutions,” Journal of Banking and Finance, 21,
871–892.
Di Iorio, A. and Faff, R., 2000 ,“ An analysis of asymmetry in foreign currency exposure
of the Australian equities market”, Journal of Multinational Financial Management,
10, 133–159.
Eiteman, D. K., Stonehill, A. I., and Moffett, M.H., 1995, Multinational Business
Finance. Addison-Wesley, Reading, MA.
Hong, Y., Tu, J. and Zhou, G., 2004, “ Asymmetries in stock returns: statistical test
and economic evaluation,” Working Paper .
He, J. and Ng, L. K., 1998, “ The foreign exchange exposure of Japanese multinational
corporations,” Journal of Political Finance, 53, 733–753.
Jorion, P., 1990, “ The exchange rate exposure of U.S multinationals,” Journal of
Business, 63, 331–345.
James A. B., and Anming Z., 1990, “ Market conduct in the airline industry: an
empirical investigation,” RAND Journal of Economics, 21, 567–583.
Koutmos, G. and Martion, A. D., 2003a, “ First- and second-moment exchange rate
exposure: evidence from U.S stock returns,” The Financial Review, 38, 455–471.
Koutmos, G. and Martion, A. D., 2003b, “ Asymmetric exchange rate exposure: theory
and evidence,” Journal of International Money and Finance, 22, 365–383.
Knetter, M. M., 1994, “ Is export price adjustment asymmetric?: evaluating the market
share and marketing bottlenecks hypothesis,” Journal of International Money and
Finance, 13, 55–70.
Longin, F. and Solnik, B., 2001, “ Extreme correlation of international equity markets,”
Journal of Finance, 56, 649–676.
Marston, R. C., 1990, “ Pricing to market in Japanese manufacturing” Journal of
International Economics, 29, 217–236.
Miller, K. D. and Reuer, J. J., 1998, “ Asymmetric corporate exposures to foreign
exchange rate changes,” Strategic Management Journal, 19, 1183–1191.
Martraves, C., 1999, “ Market structure, R & D and advertising in the pharmaceutical
industry,” Journal of Industrial Economics, 47, 169–194.
Newey, W., and K. West, 1994, “ Automatic lag selection in covariance matrix estimation,”
Review of Economic Studies, 61, 631–653.
Schmalenesee, R., 1992, “ Sunk costs and market structure: a review article,” Journal
of Industrial Economics, 40 , 125–134.
Sutton, J., 1991, “ Sunk costs and market structure: price competition, advertising,
and the evolution of concentration,” MIT Press, London.
Shapiro, A. C., 1992, Multinational Financial Management. Allyn and Bacon, Needham
Heights, MA.
Williamson, R., 2001, “ Exchange rate exposure and competition: evidence from the
automotive industry,”Journal of Financial Economics, 59, 441–478.

指導教授

徐之強(Chih-Chiang Hsu)

審核日期

2005-7-4

推文