Previous work on the exposure of equity markets to exchange rate risk, surprisingly, found stock returns were not significantly affected by exchange rate fluctuations. In this paper, we examine the relation between Ch...Previous work on the exposure of equity markets to exchange rate risk, surprisingly, found stock returns were not significantly affected by exchange rate fluctuations. In this paper, we examine the relation between China, Japan and USA MSCI （Morgan ＆ Stanley Capital International） daily equity index returns and SAFE （State Administration of Foreign Exchange） exchange rate returns of Chinese RMB and Japanese Yen in US dollar. We find a significant relation between Asian foreign equity stock retums and Chinese RMB and Japanese Yen exchange rate retums. This article incorporates foreign exchange values as partial determinants of Asian foreign equity market returns and suggests that currency risk is of hedging concern to investors with implications for portfolio management. We implement our result in portfolio＇s CaR determination under VaR constraints.展开更多
The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital...The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.展开更多
文摘Previous work on the exposure of equity markets to exchange rate risk, surprisingly, found stock returns were not significantly affected by exchange rate fluctuations. In this paper, we examine the relation between China, Japan and USA MSCI （Morgan ＆ Stanley Capital International） daily equity index returns and SAFE （State Administration of Foreign Exchange） exchange rate returns of Chinese RMB and Japanese Yen in US dollar. We find a significant relation between Asian foreign equity stock retums and Chinese RMB and Japanese Yen exchange rate retums. This article incorporates foreign exchange values as partial determinants of Asian foreign equity market returns and suggests that currency risk is of hedging concern to investors with implications for portfolio management. We implement our result in portfolio＇s CaR determination under VaR constraints.
文摘The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.
