Earticle

초록

영어

This paper empirically analyzes the currency risk exposure of a 301 of manufacturing firms listed in the Korea Stock Exchange market using daily panel data over the period 2000:01:02-2010:12.31. The paper employs a random effect model allowing for asymmetric and lagged effects of exchange rate changes on the firm value. To investigate the currency exposure risk, the paper estimates the reponses of stock returns to the changes in the exchange rates on both daily and monthly basis. The empirical results are as follows. First, significance of foreign exchange rate risk exposure is found to be higher in the industry level than in the firm level. This implies that volatility of foreign exchange rates should reduce firm profitability and thus firm value. Second, the empirical results show that stock returns respond more sensitively to daily exchange rates than to monthly rates. Third, the foreign exchange risk exposure to Japanese Yen rates should have stronger effects on stock returns than to won dollar rates. Finally, there are substantial evidences for asymmetric and lagged effects of foreign exchange rates on the firm value. These findings imply that the central bank may have stronger incentive to intervene markets for stabilization of foreign exchange and thus for prevention of reduction in the firm value unstably.

목차

Ⅰ. 서론
 Ⅱ. 선행연구 검토
 Ⅲ. 분석모형 및 추정방법
 Ⅳ. 자료 및 추정결과 분석
 Ⅴ. 요약과 시사점
 참고문헌
 Abstract

키워드

저자

• 신범철 [ Beom Cheol Cin | 경기대학교 경제학과, 교수 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]

• 간기

  격월간

• pISSN

  1225-3553

• 수록기간

  1987~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 330