Girma, S, Lancheros, SP and Riaño, A (2016) Global engagement and returns volatility. Oxford Bulletin of Economics and Statistics, 78 (6). pp. 814-833. ISSN 0305-9049
Abstract
This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. The two margins of global engagement we consider, namely, exports and sales via foreign affiliates (horizontal FDI), have both a positive and economically significant effect on firm-level volatility. We find, however, that increasing the intensity of sales through foreign affiliates has a stronger effect on volatility than a similar change in export intensity. We also uncover evidence consistent with the notion that firms’ need to use external finance to cover the substantial costs involved in reaching foreign consumers can be an important channel through which firms’ participation in international markets increases their exposure to economic uncertainty.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 The Department of Economics, University of Oxford and John Wiley & Sons Ltd. This is the peer reviewed version of the following article: "Girma, S., Lancheros, S. and Riaño, A. (2016), Global Engagement and Returns Volatility. Oxf Bull Econ Stat" which has been published in final form at http://dx.doi.org/10.1111/obes.12150. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. |
Keywords: | Volatility; Stock Returns; Exports; FDI; External Finance Dependence; Japan |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 02 Sep 2016 11:16 |
Last Modified: | 07 Jul 2018 00:38 |
Published Version: | http://dx.doi.org/10.1111/obes.12150 |
Status: | Published |
Publisher: | Wiley |
Identification Number: | 10.1111/obes.12150 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:104279 |