The impact of thin trading adjustments on exchange rate exposure
This study investigates the multiple exchange rate exposure of large non-financial firms in Asia and emerging countries using the unadjusted and adjusted two-factor exchange rate exposure model. The autoregressive-distributed lag (ARDL) method was applied to investigate the existence of exchange rat...
Saved in:
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English English |
Published: |
Universitas Gadjah Mada
2022
|
Subjects: | |
Online Access: | https://eprints.ums.edu.my/id/eprint/33579/1/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/33579/2/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.pdf https://eprints.ums.edu.my/id/eprint/33579/ https://jurnal.ugm.ac.id/gamaijb/article/view/36806/33899 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my.ums.eprints.33579 |
---|---|
record_format |
eprints |
spelling |
my.ums.eprints.335792022-08-02T00:20:32Z https://eprints.ums.edu.my/id/eprint/33579/ The impact of thin trading adjustments on exchange rate exposure Jaratin Lily Imbarine Bujang Abdul Aziz Karia HG3810-4000 Foreign exchange. International finance. International monetary system This study investigates the multiple exchange rate exposure of large non-financial firms in Asia and emerging countries using the unadjusted and adjusted two-factor exchange rate exposure model. The autoregressive-distributed lag (ARDL) method was applied to investigate the existence of exchange rate exposure. The Dimson-Fowler-Rorke (DFR) adjustment method was applied to adjust the ordinary least squares (OLS) market risk estimator for the thin trading phenomenon. The study’s findings indicate that exchange rate exposure does affect firm value. Incorporating the DFR market beta in the exchange rate exposure model indicates two important findings. Firstly, there is a significant increase in the number of firms exposed to exchange rate movements, especially in Indonesia, Thailand, Sri Lanka, and Vietnam. Secondly, there are more firms that will be exposed to multi bilateral exchange rate exposure across the sample countries. The findings imply that market characteristics such as thin trading could be an alternative explanation of the exchange rate exposure puzzle. Furthermore, future research should include asymmetric analysis as an alternative explanation for exchange rate exposure. Universitas Gadjah Mada 2022 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/33579/1/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/33579/2/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.pdf Jaratin Lily and Imbarine Bujang and Abdul Aziz Karia (2022) The impact of thin trading adjustments on exchange rate exposure. Gadjah Mada International Journal of Business, 24 (2). pp. 127-150. ISSN 1411-1128 https://jurnal.ugm.ac.id/gamaijb/article/view/36806/33899 |
institution |
Universiti Malaysia Sabah |
building |
UMS Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
Universiti Malaysia Sabah |
content_source |
UMS Institutional Repository |
url_provider |
http://eprints.ums.edu.my/ |
language |
English English |
topic |
HG3810-4000 Foreign exchange. International finance. International monetary system |
spellingShingle |
HG3810-4000 Foreign exchange. International finance. International monetary system Jaratin Lily Imbarine Bujang Abdul Aziz Karia The impact of thin trading adjustments on exchange rate exposure |
description |
This study investigates the multiple exchange rate exposure of large non-financial firms in Asia and emerging countries using the unadjusted and adjusted two-factor exchange rate exposure model. The autoregressive-distributed lag (ARDL) method was applied to investigate the existence of exchange rate exposure. The Dimson-Fowler-Rorke (DFR) adjustment method was applied to adjust the ordinary least squares (OLS) market risk estimator for the thin trading phenomenon. The study’s findings indicate that exchange rate exposure does affect firm value. Incorporating the DFR market beta in the exchange rate exposure model indicates two important findings. Firstly, there is a significant increase in the number of firms exposed to exchange rate movements, especially in Indonesia, Thailand, Sri Lanka, and Vietnam. Secondly, there are more firms that will be exposed to multi bilateral exchange rate exposure across the sample countries. The findings imply that market characteristics such as thin trading could be an alternative explanation of the exchange rate exposure puzzle. Furthermore, future research should include asymmetric analysis as an alternative explanation for exchange rate exposure. |
format |
Article |
author |
Jaratin Lily Imbarine Bujang Abdul Aziz Karia |
author_facet |
Jaratin Lily Imbarine Bujang Abdul Aziz Karia |
author_sort |
Jaratin Lily |
title |
The impact of thin trading adjustments on exchange rate exposure |
title_short |
The impact of thin trading adjustments on exchange rate exposure |
title_full |
The impact of thin trading adjustments on exchange rate exposure |
title_fullStr |
The impact of thin trading adjustments on exchange rate exposure |
title_full_unstemmed |
The impact of thin trading adjustments on exchange rate exposure |
title_sort |
impact of thin trading adjustments on exchange rate exposure |
publisher |
Universitas Gadjah Mada |
publishDate |
2022 |
url |
https://eprints.ums.edu.my/id/eprint/33579/1/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/33579/2/The%20impact%20of%20thin%20trading%20adjustments%20on%20exchange%20rate%20exposure.pdf https://eprints.ums.edu.my/id/eprint/33579/ https://jurnal.ugm.ac.id/gamaijb/article/view/36806/33899 |
_version_ |
1760231181769506816 |
score |
13.18916 |