동아시아국가의 변동환율제도의 도입이 환노출에 미치는 영향
The impact of the change of exchange rate regime on foreign exchange rate risk exposures
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Launch of floating exchange rates expected that the exchange rate volatility increase. Previous research, such as Bartove el at(1996) shows that a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability after switching from fixed to floating exchange rates and interpret that exchange rate is one of systematic risk. In this study, we test whether significant changes in stock return volatility, market risk, and foreign exchange rate risk exposures took place for 873 Asian countries’ firms. Focusing on three four-year periods around the launch of floating exchange rates after experiencing currency crisis in 1997, we find a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability, but unlike the previous study the exchange rate exposure was reduced.
Abstract
Launch of floating exchange rates expected that the exchange rate volatility increase. Previous research, such as Bartove el at(1996) shows that a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability after switching from fixed to floating exchange rates and interpret that exchange rate is one of systematic risk. In this study, we test whether significant changes in stock return volatility, market risk, and foreign exchange rate risk exposures took place for 873 Asian countries’ firms. Focusing on three four-year periods around the launch of floating exchange rates after experiencing currency crisis in 1997, we find a significant increase in volatility of monthly stock returns corresponding to the period of increased exchange rate variability, but unlike the previous study the exchange rate exposure was reduced.
참고문헌 (16)
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