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This paper empirically investigates the impact of foreign exchange risk and foreign stock trading on corporate performance using daily, monthly, yearly stock returns data. Foreign net stock trading is positively related to corporate stock return in daily, monthly and yearly analysis. Difference in foreign exchange rate has a significantly negative impact on corporate stock return in daily analysis while it has a positive impact in yearly analysis. Domestic currency depreciation has a negative impact on daily stock returns while it has a positive impact on yearly stock return. Negative external shocks such as financial crisis lead to domestic currency depreciation and decrease stock return in short-run. However, currency depreciation can have a positive impact on corporate performance in long-run because exporting firms can experience higher profit under the domestic currency depreciation. We find a negative relationship between FX risk measured by standard deviation of the foreign exchange rate and corporate stock return in monthly and yearly analysis.
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참고문헌 (21)
참고문헌 신청
Anum Mohd Ghazali, N. / 2010 / Ownership structure, corporate governance and corporate performance in Malaysia / International Journal of Commerce and Management 20(2):109~119
Barbosa, N. / 2005 / Corporate performance: Does ownership matter? A comparison of foreign-and domestic-owned firms in Greece and Portugal / Review of Industrial Organization 27(1):73~102
Chen, Z. / 2013 / Does foreign institutional ownership increase return volatility? Evidence from China / Journal of Banking & Finance 37(2):660~669
최성희 / 2010 / Estimating Exchange Rate Exposure of Trade-intensive Firms: Application to Korean Oil-refiners and Petrochemicals / Global Economic Review 39(3):327~348
YUN JEONG CHOI / 2010 / Global Crisis, Exchange Rate Response, and Economic Performance: A Story of Two Countries in East Asia / Global Economic Review 39(1):25~42
Barbosa, N. / 2005 / Corporate performance: Does ownership matter? A comparison of foreign-and domestic-owned firms in Greece and Portugal / Review of Industrial Organization 27(1):73~102
Chen, Z. / 2013 / Does foreign institutional ownership increase return volatility? Evidence from China / Journal of Banking & Finance 37(2):660~669
최성희 / 2010 / Estimating Exchange Rate Exposure of Trade-intensive Firms: Application to Korean Oil-refiners and Petrochemicals / Global Economic Review 39(3):327~348
YUN JEONG CHOI / 2010 / Global Crisis, Exchange Rate Response, and Economic Performance: A Story of Two Countries in East Asia / Global Economic Review 39(1):25~42
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