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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2003.9
- 수록면
- 283 - 313 (31page)
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This paper examines the relationship between exchange rate movement and individual company's valuation, or exchange rate exposure, in a small open developing economy, specifically South Korea. This paper finds that about 20% of the Korean company's stock performance is statistically significantly impacted by the exchange rate fluctuations. This paper also finds that there is a structural change in the relationship between the exchange rate return and the stock returns before and after the economic crisis. One of the interesting findings of this paper is that the currency depreciation has significantly different impact on the larger companies and on the smaller companies. Before the economic crisis, the currency
depreciation has improved the smallest 50 companies' competitiveness in the international markets, thus improving their stock returns. After the crisis, the stock returns of the smallest 50 companies are negatively correlated to the currency depreciation. This is largely due to the short-term foreign debt obligations, recessionary economic conditions, and government's policy heavily favoring larger chaebol companies during the economic crisis period.
depreciation has improved the smallest 50 companies' competitiveness in the international markets, thus improving their stock returns. After the crisis, the stock returns of the smallest 50 companies are negatively correlated to the currency depreciation. This is largely due to the short-term foreign debt obligations, recessionary economic conditions, and government's policy heavily favoring larger chaebol companies during the economic crisis period.
목차
ABSTRACT
1.INTRODUCTION
2.KOREAN ECONOMIC CRISIS
3.ECONOMETRIC MODEL OF EXCHANGE RATE EXPOSURE
4.EMPIRICAL ESTIMATES OF THE EXCHANGE RATE EXPOSURE ELASCITY
5.CONCLUSION AND FURTHER RESEARCH
REFERENCES
참고문헌 (20)
참고문헌 신청
[학술지(정기간행물)] - Y / 1994 / Exchange Rates and the Valuation of Equity Shares : 49 ~ 59
[학술지(정기간행물)] - E / 1994 / Journal of Finance : 1755 ~ 1785
[학술지(정기간행물)] - Bartov / 1996 / Exchange Rate Variability and the Riskiness of U.S. Multinational Firms Evidence from the Breakdown of the Bretton Woods System 42 (1) : 105 ~ 132
[학술지(정기간행물)] - Bodnar / 1993 / Evidence from Canada : 29 ~ 45
[학술지(정기간행물)] - Bodnar / 2000. / Estimating Exchange Rate Exposure: Some Weighty Issues (7497)
[학술지(정기간행물)] - E / 1994 / Journal of Finance : 1755 ~ 1785
[학술지(정기간행물)] - Bartov / 1996 / Exchange Rate Variability and the Riskiness of U.S. Multinational Firms Evidence from the Breakdown of the Bretton Woods System 42 (1) : 105 ~ 132
[학술지(정기간행물)] - Bodnar / 1993 / Evidence from Canada : 29 ~ 45
[학술지(정기간행물)] - Bodnar / 2000. / Estimating Exchange Rate Exposure: Some Weighty Issues (7497)
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UCI(KEPA) : I410-ECN-0101-2009-320-014252873