scholarly journals Markup Adjustment and Exchange Rate Fluctuations: Evidence From Panel Data on Automobile Exports

10.3386/w4123 ◽  
1992 ◽  
Author(s):  
Joseph Gagnon ◽  
Michael Knetter



2018 ◽  
Vol 19 (2) ◽  
pp. 210-225 ◽  
Author(s):  
Peter Aalen ◽  
Endre Kildal Iversen ◽  
Erik W. Jakobsen


2017 ◽  
Vol 4 (2) ◽  
pp. 262-279
Author(s):  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
Hong Thi Thu Dinh ◽  
Minh Thi Hong Le ◽  
Ha Thi Cam Huynh ◽  
...  

The study aims to analyse the impact of exchange rate exposure on stock returns in six countries representative of Southeast Asia, including Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam from 2009 to 2014. Both nominal and real exchange rates are taken into account for evaluating exchange rate fluctuations via panel data. In order to achieve this goal, a panel regressive estimation approach is proposed in which a GLS model is firstly used to treat heteroscedasticity in the panel data and, then, a GMM estimator is employed to ensure the consistency of the estimates. The results point out that the exchange rate exposure of these countries is asymmetric. At market level, for a rise in the exchange rate (or local currency depreciates), the average stock returns tend to decrease. However, due to the favourable impact of currency depreciation on the net export position, the reduction speed of stock returns is faster than the rising speed of the exchange rate.









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