Foreign Exchange Risk, Foreign Stock Trading and Performance Frequency
1
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
This paper empirically investigates the impact of foreign exchange risk and foreign stock trading on corporate performance using daily, monthly, yearly stock returns data. Foreign net stock trading is positively related to corporate stock return in daily, monthly and yearly analysis. Difference in foreign exchange rate has a significantly negative impact on corporate stock return in daily analysis while it has a positive impact in yearly analysis. Domestic currency depreciation has a negative impact on daily stock returns while it has a positive impact on yearly stock return. Negative external shocks such as financial crisis lead to domestic currency depreciation and decrease stock return in short-run. However, currency depreciation can have a positive impact on corporate performance in long-run because exporting firms can experience higher profit under the domestic currency depreciation. We find a negative relationship between FX risk measured by standard deviation of the foreign exchange rate and corporate stock return in monthly and yearly analysis.
Abstract
This paper empirically investigates the impact of foreign exchange risk and foreign stock trading on corporate performance using daily, monthly, yearly stock returns data. Foreign net stock trading is positively related to corporate stock return in daily, monthly and yearly analysis. Difference in foreign exchange rate has a significantly negative impact on corporate stock return in daily analysis while it has a positive impact in yearly analysis. Domestic currency depreciation has a negative impact on daily stock returns while it has a positive impact on yearly stock return. Negative external shocks such as financial crisis lead to domestic currency depreciation and decrease stock return in short-run. However, currency depreciation can have a positive impact on corporate performance in long-run because exporting firms can experience higher profit under the domestic currency depreciation. We find a negative relationship between FX risk measured by standard deviation of the foreign exchange rate and corporate stock return in monthly and yearly analysis.
참고문헌 (21)
- Anum Mohd Ghazali, N., "Ownership structure, corporate governance and corporate performance in Malaysia", International Journal of Commerce and Management, 20(2), pp.109~119 (2010)
- Barbosa, N., "Corporate performance: Does ownership matter? A comparison of foreign-and domestic-owned firms in Greece and Portugal", Review of Industrial Organization, 27(1), pp.73~102 (2005)
- Chen, Z., "Does foreign institutional ownership increase return volatility? Evidence from China", Journal of Banking & Finance, 37(2), pp.660~669 (2013)
- 최성희, "Estimating Exchange Rate Exposure of Trade-intensive Firms: Application to Korean Oil-refiners and Petrochemicals", Global Economic Review, 39(3), pp.327~348 (2010), 동서문제연구원
- YUN JEONG CHOI, "Global Crisis, Exchange Rate Response, and Economic Performance: A Story of Two Countries in East Asia", Global Economic Review, 39(1), pp.25~42 (2010), 동서문제연구원
- Eichengreen, B., "Exchange rates and economic recovery in the 1930s", The Journal of Economic History, 45(4), pp.925~946 (1985)
- Greenaway, D., "The more the better? Foreign ownership and corporate performance in China", The European Journal of Finance, 20(7-9), pp.681~702 (2014)
- 이근영, "국제금융시장 충격이 국내금융시장 변동성에 미치는 영향", 금융연구, 24(4), pp.49~85 (2010), 한국금융학회
- 이승호, "미 금리인상에 따른 신흥국 환율 영향 분석", 국제금융연구, 6(2), pp.69~87 (2016), 한국국제금융학회
- 김창범, "환율불확실성이 고정투자에 미치는 효과", 산업경제연구, 17(5), pp.1655~1668 (2004), 한국산업경제학회
- 김진옥, "일본의 엔화변동 사이클과 통화정책: 1988년 이후 현재까지", 국제금융연구, 6(1), pp.95~125 (2016), 한국국제금융학회
- 김수동, "기업생산성에 대한 환율변동의 업종별 파급효과 분석", 국제경제연구, 21(3), pp.53~74 (2015), 한국국제경제학회[DOI]
- Kim, Y, "An empirical assessment of currency devaluation in East Asian countries", Journal of International Money and Finance, 26(2), pp.265~283 (2007)
- Menkhoff, L., "Carry trades and global foreign exchange volatility", The Journal of Finance, 67(2), pp.681~718 (2012)
- Miller, K. D., "Firm strategy and economic exposure to foreign exchange rate movements", Journal of International Business Studies, 29(3), pp.493~513 (1998)
- Pan, M. -S., "Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets", International Review of Economics & Finance, 16(4), pp.503~520 (2007)
- Park, D., "Revisiting a story of two countries in East Asia after Abenomics", Applied Economics Letters, 22(4), pp.255~260 (2015)
- 유상대, "통화정책이 환율에 미치는 영향 분석", 국제경제연구, 17(2), pp.93~115 (2011), 한국국제경제학회
- 서정원, "환율변동이 다국적기업의 해외사업성과에 미치는 영향에 대한 연구", 금융연구, 18(2), pp.86~127 (2004), 한국금융연구원
- Sung, T., "Short-Term External Debt and Foreign Exchange Rate Volatility in Emerging Economies: Evidence from the Korea Market", Emerging Markets Finance and Trade, 50(sup6), pp.138~157 (2014)
- Wang, J., "Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand", Journal of Development Economics, 84(2), pp.798~811 (2007)