قیمت گذاری ریسک ارز خارجی در بحران مالی آسیا : شواهدی از بازار سهام تایوان
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|15713||2002||16 صفحه PDF||سفارش دهید||6345 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Multinational Financial Management, Volume 12, Issue 3, July 2002, Pages 223–238
The volatile exchange rate movement during the Asian financial crisis has led global investors to re-evaluate the importance of currency exposures in Asian stock markets. In this paper, we examine industry-level currency risk of Taiwan's stock market around the Asian financial crisis. The results show that most export-oriented industries, except for the electronics industry, are positively affected by the depreciation of the New Taiwan Dollars (NTD) against the US Dollars (USD). We also find that the magnitude of currency risk is less for banking and electronics industries in the Taiwan Stock Exchange (TSE) than for those in the over-the-counter (OTC) security exchange. Our results are consistent with the findings of Chow et al. (J. Financial Res. 2 (1997b) 191) and have important implications for international investors with exposures in Taiwan's stock market.
The purpose of this paper is to examine industry-level exchange rate risk in Taiwan's stock market around the Asian financial crisis. Prior researches on the exchange rate exposure of asset returns focus mainly on the U.S. and Japanese markets (Ceglowski, 1989, Jorion, 1990, Jorion, 1991, Bodnar and Gentry, 1993, Chow et al., 1997a, Chow et al., 1997b and Choi et al., 1998). The volatile exchange rate movement during the Asian financial crisis has led global investors to re-evaluate the importance of currency exposures in Asian stock markets. At the firm level, Jorion (1990) finds that the exposure of U.S. multinationals is positively related to the percentage of foreign sales. Chow et al. (1997b) point out that the exchange rate exposure of U.S. multinationals is significant related to firm size but not to the relative portion of foreign sales to total sales. They conclude that hedging activities exhibit economies of scales, so the magnitude of exchange rate exposure is less for larger firms than for smaller firms. Choi et al. (1998) show that the pricing of exchange rate risk in the Japanese market varies when different exchange rate measures are used. The exchange rate risk is priced in both weak and strong yen periods using the bilateral yen/USD rates, but the result is mixed using the trade-weighted exchange rates. At the industry-level, Ceglowski (1989) finds that the depreciation of the USD increases the sales of oil extraction, industrial machinery, instruments, transportation and hotel industries, but the construction and durable goods industries are adversely affected during the sample period. Bodnar and Gentry (1993) find that the percentages of industries having significant exchange rate exposure in Canada, USA and Japan are 21, 28 and 35%, respectively during 1979–1988. The variances of the estimated exchange exposure coefficients across industries are larger for Canada and Japan than for USA. They conclude that this result is consistent with the open-economy hypothesis, which indicates that the smaller and more open the economy is, the larger are the inter-industry differences in exchange rate exposure. The currency exposures of emerging stock markets in Asia have been the subject of recent interest on the part of academics and investors alike. This interest is attributable in part to the volatile currency movement during the Asian financial crisis, which has led global investors to realize that ignoring the currency risk can have substantial effects on their portfolio performances. International investors in Taiwan still suffer from few means to hedge local currency risk. The New Taiwan Dollar futures market does not exist, and the scope of the forward exchange market is limited in terms of annual turnover. The lack of currency hedging instruments is a unique feature of Taiwan's foreign exchange market compared with that in East Asian countries. This may affect how foreign exchange risk is priced. Besides, the economy in Taiwan is typically controlled by small to median size firms with family at the core of the business. These firms may not be constantly on the alert for local currency risk because the Central Bank of China has a long track record of keeping the exchange rate stable. Therefore, they are particularly vulnerable to volatile NTD rates around the Asian financial crisis. Moreover, Taiwan's stock market is one of the important markets both in Asia and in the world. By dollar value of transaction, the Taiwan stock market (US$1310.2 billion) ranked third in the world behind the New York Stock Exchange (US$5777.7 billion) and the London Stock Exchange (US$1989.5 billion) in 1997. Taiwan is in the process of continued opening of its equity market to foreign investment. The Morgan Stanley Capital International Inc. (MSCI) increased the inclusion weight of Taiwan in the MSCI Emerging Markets Free (EMF) Index from 65 to 80% in November 2000. Since currency risk is an important concern for foreign investors with exposures in emerging markets, our results should provide them with valuable information on how the exchange risk was priced in Taiwan's stock market. The New Taiwan Dollar (NTD), which was pegged at 40 NTD per USD before 1985, was transferred to a managed float after 1985. The NTD/USD exchange rate was volatile during our sample period, 01/January/1996–31/October/1998. It fell from 27.30 to near 27.10 and stayed within 27.10–28.00 in the beginning of 1996. When the Asian financial crisis started to hit the Taiwanese currency market in July/1997, it rose from 28.00 to 35.00 in 6 months, then gradually fell to near 32.50 in October/1998. It is interesting to investigate the relationship between exchange rate risk and industry characteristics in Taiwan's stock market during this period. The results can be compared with studies focusing on the U.S. and Japanese markets (Bodnar and Gentry, 1993, Chow et al., 1997b and Choi et al., 1998). Besides, the capitalization requirement for firms listed in the Taiwan Stock Exchange1 (TSE) is higher than that in the over-the-counter (OTC) security exchange. It allows us to test the link between firm size and exchange rate exposure by examining industry-level currency risk in these two exchanges. This paper has three major contributions to the current literature. First, the exchange rate risk in the TSE, covering the period of the Asian financial crisis, is examined and results can be compared with studies using the U.S. and Japanese data (Bodnar and Gentry, 1993, Chow et al., 1997a, Chow et al., 1997b and Choi et al., 1998). Second, both bilateral and trade-weighted NTD exchange rates are used to test the effects of different currency measures on the pricing of currency risk. Finally, comparison between TSE and OTC industry-level currency exposure in Taiwan's stock market can shed light on whether firm size is significantly related to currency risk. The rest of the paper is arranged as follows. Data description is provided in Section 2. The empirical design between exchange rate exposure and industry returns is explained in Section 3. Section 4 analyses the empirical results. Section 5 offers concluding remarks.
نتیجه گیری انگلیسی
The Asian financial crisis has led global investors to realize that ignoring currency risk in Asian stock markets can have important effects on their portfolio performances. This paper examines industry-level exchange rate exposure of Taiwan's stock market and the results can be compared with studies focusing on the U.S. market (Bodnar and Gentry, 1993) and on the Japanese market (Choi et al., 1998). It is seen that over 50% of industries have statistically significant currency exposure over the entire sample period when bilateral NTD/USD rates are used as currency risk factor. Our results show that the department store and electronics industries are adversely affected by the depreciation of the NTD. On the other hand, the textiles, chemical, pulp and paper and tourist industries benefit from a depreciation of the NTD during the Asian financial crisis. The less significant results based on trade-weighted exchange rates could be caused by the fact that some Asian countries included in the currency basket were also affected by the Asian financial crisis. Therefore, the trade-average effective exchange rates are less volatile than the bilateral NTD/USD rates during the sample period. It is consistent with the results reported by Choi et al. (1998) using data in the Japanese stock market. By examining the exposures of the electronics and banking and insurance industries in the TSE and OTC exchanges, we show that there is a negative relationship between firm size and currency exposures in Taiwan's stock market. The empirical findings are in accordance with the hypothesis that the exchange risk is less for larger firms than for smaller firms (Nance et al., 1993 and Chow et al., 1997b). The implication of our results for global investors is to reduce the weights of industries such as department store and electronics, especially the OTC electronics industry, in their portfolio when the NTD depreciated dramatically.