Please use this identifier to cite or link to this item: http://archive.cmb.ac.lk:8080/xmlui/handle/70130/1621
Full metadata record
DC FieldValueLanguage
dc.contributor.authorJayasinghe, Prabhath-
dc.date.accessioned2012-01-05T09:24:53Z-
dc.date.available2012-01-05T09:24:53Z-
dc.date.issued2008-
dc.identifier.citationInternational Research Conference on Management and Finance, University of Colombo in 2008en_US
dc.identifier.urihttp://archive.cmb.ac.lk:8080/xmlui/handle/70130/1621-
dc.description.abstractBased on the theoretical framework provided by the International Capital Asset Pricing Model (ICAPM), this paper uses time-varying second moments to investigate exchange rate exposure betas. The study is carried out at country level using stock indexes and trade-weighted exchange rates of a selected set of emerging economies. Time-varying exchange rate exposure betas are obtained with the help of a Multivariate GARCH-M model with explicit focus on the non-orthogonality between exchange rate changes and market returns. Certain aspects of the stochastic structure underlying the exposure betas are examined. Findings of the paper indicate that, although they are likely to vary over time, exchange rate exposure betas for Korea and Taiwan follow mean-reverting long-memory processes. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies. However, the exposure beta for Thailand is most likely to be characterized by a non-stationary unit root processen_US
dc.language.isoenen_US
dc.titleTime-Varying Exchange Rate Exposure Coefficients: Evidence From Emerging Marketsen_US
dc.typeResearch paperen_US
Appears in Collections:Department of Business Economics

Files in This Item:
File Description SizeFormat 
6.pdf272.59 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.