Cuestas, J.C. and Tang, B. (2015) Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries. Working Paper. Sheffield Economic Research Paper Series (SERPS), 201502 (021). Department of Economics, University of Sheffield ISSN 1749-8368
Abstract
This study explores the asymmetric exchange rate exposure of stock returns building upon the capital asset pricing model (CAPM) framework, using monthly returns of Chinese industry indices. In accordance with the existing literature, industry returns are subject to lagged exposure effects, but the asymmetries vary across industries, which could be due to the discrepancies of trade balance and ownership of certain industries. Furthermore, the dynamic multipliers depict that industry returns quickly respond to changes in the exchange rate and correct the disequilibrium within a short time, making the long run exposure to be symmetric or very small. The remaining shocks are mainly explained by the return of market portfolios. This implies that the ongoing restrictions on the RMB daily trading band do indeed protect the Chinese stock market against the effects of currency movements.
Metadata
Item Type: | Monograph |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | The Sheffield Economic Research Paper Series (SERPS) offers a forum for the research output of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by two internal referees and a departmental editor. However, the contents and opinions expressed remain the responsibility of the author(s). Comments are welcomed and should be addressed to the individual author(s). |
Keywords: | Asymmetric exchange rate exposure; stock return; Chinese industrie; NARDL |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 27 Jan 2016 17:14 |
Last Modified: | 04 Jun 2018 03:22 |
Published Version: | http://www.sheffield.ac.uk/economics/research/serp... |
Status: | Published |
Publisher: | Department of Economics, University of Sheffield |
Series Name: | Sheffield Economic Research Paper Series (SERPS) |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:90798 |