Asymmetric exchange rate exposure and industry characteristics: Evidence from Japanese data

研究成果: 雜誌貢獻期刊論文同行評審

8 引文 斯高帕斯(Scopus)

摘要

This paper investigates the asymmetric effects of exchange rate exposure on Japanese stock returns at the industry level. Using the asymmetric correlation test of Hong et al. (2007), we examine five major currencies against the yen and thirty-three Japanese sectoral stock returns. Significant asymmetric responses in stock returns to exchange rate changes are found in the pharmaceutical, real estate, and air transportation industries. These findings are consistent with the pricing-to-market and hysteretic behavior for the pharmaceutical and air transportation industries and with the hedging behavior for the real estate industry. The results for the threshold models confirm that the asymmetric exposures are based on industry characteristics.

原文???core.languages.en_GB???
頁(從 - 到)57-69
頁數13
期刊Hitotsubashi Journal of Economics
50
發行號1
出版狀態已出版 - 6月 2009

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