Dissertationen: „Exchange risks“

1

Wanga, Godwill George. „Hedging Exchange Rate Risks“. ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.

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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.

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2

Tang, Bo. „Exchange rate dynamics and risks in China : empirical evidence“. Thesis, University of Sheffield, 2015. http://etheses.whiterose.ac.uk/11591/.

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In spite of a voluminous literature on the Chinese economy and its currency policy, the dynamics and risks of the Renminbi (RMB) exchange rate remain unsatisfactorily answered. To address these issues, this thesis builds upon the existing literature to investigate exchange rate dynamics and exposure in China. Generally, the thesis consists of three separate yet related empirical chapters that aim to unlock the secret of China's growth and uncertainties in the Chinese financial market, which have received much attention from policy-makers, academics and investors. Empirical evidences from four different levels are presented in this thesis. At the country level, it examines the linkage between the exchange rate and economic growth and confirms that the Chinese economy is driven by the expansion of exports but exhibits little correlation with the RMB exchange rate. At the market level, spillover effects emerge from stock returns to exchange rate changes, but exchange rate changes have less impact on stock prices in the long run due to the restriction on the daily trading band of the RMB. At the industry level, significant exchange rate exposure is identified, in particular for manufacturing industries. At the firm level, exchange rate exposure presents significant size effects, which indicate that large firms relatively suffer more during the ups and downs of the exchange rate than small firms. This is explained by the expansion of global operations for large firms.

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3

Mahapa, Ramatlakana Realeboga. „Management of foreign exchange risks exposure by SMEs in South Africa“. Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/59862.

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This research report explores the strategies used by small and medium enterprises (SMEs) in managing the risks associated with foreign-exchange exposure. The research also seeks to discover the reasons why SMEs use these strategies and whether or not they have been effective in managing the risk of foreign exchange exposure. The abandonment of the Bretton Woods system brought a new era of floating foreign exchange rates that led to volatility in the global currency market. Studies have found that SMEs are more vulnerable to fluctuations in the exchange rate than their larger counterparts, which can hedge or absorb the shock. Exploratory research design was used to answer the research questions. A total of ten participants were interviewed for this study and a thematic analysis was carried out on the transcripts. The study found that SMEs use a hybrid method of combining hedging instruments and spot rates to manage the risks associated with foreign exchange. The reason for participants using this strategy is that they have no knowledge of alternatives, as they regard their competitors as in the same situation as they are, and therefore have a reason to investigate alternative strategies.
Mini Dissertation (MBA)--University of Pretoria, 2017.
pa2017
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted

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4

Mukoyi, Lenia Sithabiso. „Effects of investment style risks on expected returns on the Johannesburg Stock Exchange: A cross-sector analysis“. University of Western Cape, 2020. http://hdl.handle.net/11394/7424.

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Magister Commercii - MCom
Market Segmentation and style investing have become an essential part of security management over the past 40 years. There are many factors that separate the market, these include economy, investor behaviours, and specific anomalies. Apart, from the segmentation, investors lean towards a few tested investment styles and sectors, which hinder growth, while, dividing the market further. Thus, a major question arises on what really drives asset performance in the South African equity market. An evaluation of the relationship between sector performance and style anomalies over time is essential.

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5

Zhang, Cui. „Exchange rate risks in trade and investment between South Africa and the developed countries / by Cui Zhang“. Thesis, North-West University, 2009. http://hdl.handle.net/10394/3111.

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The current international monetary system is very different from that of a few decades ago. Many of the old restrictions that had been placed on currency and capital movements between countries have fallen away in favour of a much more liberal international payment and investment system. The global financial arena is now characterized by greater currency instability, volatility and heightened financial risks. Exchange Rate risk is one of the complex topics in the economic world. Since there are so many factors in the financial market that influence a country's currency value, it becomes very risky for importers, exporters and portfolio investors to be involved in the international trade and financial markets. The purpose of this study is to gain an understanding on how the major economic indicators have an impact on the decision-making of the importers, the exporters and investors, to further influence the volatility of the Rand; and to provide various hedging and arbitraging strategies to reduce foreign exchange rate risks. The layout of the study is based on six chapters. Chapter 1 focuses on the background and scope of the study, mainly explaining the reasons, objectives and methodology of this study. An historical overview takes place in chapter 2, where a number of different exchange rate systems will be discussed. Chapter 3 reviews different exchange rate theories in order to support the empirical study in the next chapter. Chapter 4 focuses on an investigation and comparative study on how foreign investments and trade with developed countries have an impact on currency values and visa-versa. A number of management strategies for reducing exchange rate risks are introduced in chapter 5. Chapter 6 is the summary and conclusion of the research.
Thesis (M.Com. (Economics))--North-West University, Vaal Triangle Campus, 2009.

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6

Bozovic, Milos. „Risks in Commodity and Currency Markets“. Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7388.

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This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion model for valuation of contingent claims on commodities in order to investigate the pricing implications of shocks that are exogenous to this market. The second chapter analyzes the nature and pricing implications of the abrupt changes in exchange rates, as well as the ability of these changes to explain the shapes of option-implied volatility "smiles". Finally, the third chapter employs the notion that key results of the univariate extreme value theory can be applied separately to the principal components of ARMA-GARCH residuals of a multivariate return series. The proposed approach yields more precise Value at Risk forecasts than conventional multivariate methods, while maintaining the same efficiency.
El objetivo de esta tesis es analizar los factores del riesgo del mercado de las materias primas y las divisas. Está centrada en el impacto de los eventos extremos tanto en los precios de los productos financieros como en el riesgo total de mercado al cual se enfrentan los inversores. En el primer capítulo se introduce un modelo simple de difusión y saltos (jump-diffusion) con dos factores para la valuación de activos contingentes sobre las materias primas, con el objetivo de investigar las implicaciones de shocks en los precios que son exógenos a este mercado. En el segundo capítulo se analiza la naturaleza e implicaciones para la valuación de los saltos en los tipos de cambio, así como la capacidad de éstos para explicar las formas de sonrisa en la volatilidad implicada. Por último, en el tercer capítulo se utiliza la idea de que los resultados principales de la Teoria de Valores Extremos univariada se pueden aplicar por separado a los componentes principales de los residuos de un modelo ARMA-GARCH de series multivariadas de retorno. El enfoque propuesto produce pronósticos de Value at Risk más precisos que los convencionales métodos multivariados, manteniendo la misma eficiencia.

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7

Zlámalíková, Lucie. „Zhodnocení finanční situace mezinárodně působícího podniku a návrhy na její zlepšení“. Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2021. http://www.nusl.cz/ntk/nusl-443144.

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The diploma thesis focuses on the evaluation of the financial situation of a selected internationally operating company. The work consists of a total of three parts, while the theoretical part mentions concepts related to the assessment of financial health. The analytical part includes an analysis of the current state of the company and the market. And in the last part, a proposal to improve the financial situation of the selected company is addressed.

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8

Haiyan, Wang. „Home-country determinants of outward FDI: Evidence from BRICS economies and five developed countries“. Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-316709.

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This paper studies the home-country determinants of outward FDI with a focus on nine empirically recognized host-country determinants of inward FDI, namely market size, labor cost, exchange rate, inflation, interest rate, political risks, corruption, openness, and technology. Based on a panel with 183 observations from BRICS and five developed countries (Australia, Germany, Japan, UK, US), evidence is found that market size, inflation, interest rate, political risks, and openness have significant influence on FDI outflows. Moreover, the results of this study show that there are striking differences between developing and developed countries regarding to the drivers for outward FDI.

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9

Ozgen, Tolga. „Market efficiency and hedging foreign exchange risk : evidence from Turkey“. Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210802.

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10

Rossi, Luiz Egydio Malamud. „Estudo de três metodologias para determinação do custo de capital internacional : análise comparativa e validação dos modelos“. Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-14052008-152910/.

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O processo de globalização integrou mercados, aumentou o fluxo de capitais entre os países e, apesar da maior abundância de capitais, aumentou a disputa entre países emergentes e desenvolvidos por recursos oriundos do exterior. Em decorrência dessa maior dependência de recursos externos, a capacidade de atrair investimentos se tornou um fator importante para determinar a competitividade do país no cenário internacional. Os investidores consideram a relação entre risco percebido e retorno esperado ao alocar seus recursos internacionalmente e, dessa forma, a correta mensuração do risco incorrido deve ser compatível com a remuneração esperada pelo investimento. Possíveis efeitos da incorreta percepção de risco pelos investidores são a redução do valor dos ativos locais, a maior saída de recursos em decorrência de altos dividendos ou juros e a redução na entrada de recursos do exterior por inibir investidores que buscam opções de baixo risco. Devido a esses efeitos na economia dos países dependentes de recursos, estudaram-se nesta tese três metodologias usualmente empregadas pelos investidores no apreçamento do custo de capital internacional. Essas metodologias de apreçamento analisadas se baseiam em medidas de risco distintas, o que acarretou a inclusão neste trabalho das análises dos riscos que compõem cada modelo. Buscou-se evidenciar se os retornos mensais dos mercados acionários dos países podem ser explicados por três metodologias: o iCAPM, International Capital Asset Pricing Model; o ICC, International Cost of Capital, que utiliza as classificações de crédito dos países, e o GS, modelo da Goldman Sachs, que inclui a diferença das taxas de juros dos títulos soberanos emitidos pelos países em uma mesma moeda. Essas foram estudadas e avaliou-se qual apresenta os resultados mais consistentes para explicar os retornos dos mercados acionários dos países, ou seja, qual é a melhor metodologia de apreçamento do custo do capital internacional. O modelo GS apresentou o maior poder de explicação dos retornos dos países.
The globalization process integrated markets and increased the capital flow through the countries and enhanced the dispute for international money flow by emergent and developed countries despite these funds supply increasing. In result of this higher dependence for external resources, the capacity to attract investments became an important factor to determine the competitiveness of the country in the international scenario. Investors consider the relation between perceived risk and expected return when allocating its resources internationally and the correct estimation of the incurred risk must be compatible with the expected investment return rate. Possible effects of the incorrect perception of risk by the investors are the reduction of the value of the local assets, the higher money outflow as result of higher dividends or interests, and the reduction in the funds inflow for inhibiting investors who search lower risk alternatives. Considering that the incorrect estimation of the international cost of capital can significantly burden the economy of the developing countries we studied methodologies usually utilized by the investors when determining the international capital cost. These analyzed methodologies are based on distinct measures of risk and because that we included in this work analyses of the risks that each model are based on. We studied if capital markets monthly returns can be explained by three methodologies: iCAPM, international capital asset pricing model; the ICC, international cost of capital, that uses the classifications of credit of the countries; and the GS, Goldman Sachs model, that consider the difference of the sovereign bonds issued by different countries in the same currency. We evaluated these three methodologies based on distinct premises of risk and searched to evaluate that one that presents the most consistent results to explain the equity markets returns of the countries, that is, the best methodology of to determine the international cost of capital. The GS model had the best performance to measure the countries capital markets returns.

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11

Muller, Aline. „Foreign exchange risk exposure“. [Maastricht : Maastricht : Universiteit Maastricht] ; University Library, Maastricht University [Host], 2005. http://arno.unimaas.nl/show.cgi?fid=6455.

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12

Meera, Ahamed Kameel. „The Effects of Stock Delistings on Firm Value, Risk, Market Liquidity and Market Integration: With Evidence on Wealth Effects from the Stock Exchanges of Malaysia and Singapore, Using GARCH“. Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc278898/.

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This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in volatility, we model the return generating process in a generalized autoregressive conditionally heteroskedastic (GARCH) framework that takes into consideration changing volatility. For comparison purposes, OLS and Time-Deformation models are included. The study found delistings to decrease firm value, the size of which is related to how actively the stocks were previously traded on the foreign stock exchange. Risk levels increased following delistings. Nevertheless, thinly traded stocks showed significant changes in neither firm value nor riskiness. Further evidence of new listings to increase firm value was noted. Consistent with the political motive hypothesis, delisted stocks showed an increase in post-event volume, but however, lost relative liquidity compared with other stocks. While all portfolios considered show evidence for existence of conditional heteroskedasticity, comparison with standard OLS event-study results yields similar conclusions, although the return generating models with GARCH errors result in lower abnormal return variances. As for the time-deformation model, trading volume was found to be a good proxy for rate of information flow only for smaller capitalized stocks. Correlation and regression analyses showed that the Singapore and Malaysia markets are integrated to some degree with the international markets, such that a major delistings event between both markets did not change the pricing of risk in these markets.

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13

Tristani, Oreste. „Essays on exchange rate risk“. Thesis, University of Warwick, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.339834.

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14

Wan, Chung-kum. „Cross hedging of foreign exchange risk“. Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.

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15

Yusuf, Mazila M. D. „Foreign exchange risk : the Malaysian experience“. Thesis, University of Strathclyde, 2006. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21666.

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Foreign exchange rate risk has certain implications on the economic growth of a country. Such risk, measured by the volatility of exchange rates, is said to deter companies from engaging in international trade, reduce the profitability of firms (directly or indirectly) and discourage foreign direct investment inflows. The overall aim of this research is to analyse the impact of exchange rate risk or volatility on the Malaysian economy. The implications of exchange risk are substantiated by empirical studies on the impact of exchange rate volatility on Malaysia's trade balance and main categories of exports (primary trading partners only), on its market shares and on inward foreign direct investment from its main suppliers. Different forms of estimations have been conducted to establish these relationships including cointegration, Granger causality effects, impulse response, variance decomposition, vector error correction models and panel fixed effects. Two measures of exchange rate volatility have been used: the moving average standard deviations and the GARCH model. The overall results reveal that exchange rate volatility has inconsistent impacts on Malaysian economic factors. Exchange rate volatility is found to have a significant impact only on Malaysia's trade balance with the United States and Singapore. The major export categories are found to have a positive significant relationship with exchange rate volatility during the floating exchange rate period and a negative significant relationship during the fixed exchange rate period. The empirical results conclude that Malaysian stock prices lead exchange rate volatility. Aggregate inward foreign direct investment into Malaysia has a positive significant relationship, while disaggregate inward foreign direct investment has an insignificant positive relationship with exchange rate volatility.

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16

Wan, Chung-kum, und 尹頌琴. „Cross hedging of foreign exchange risk“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.

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17

Chalamandaris, George. „Liquidity risk in spot foreign exchange markets“. Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325567.

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18

Olusi, Olasupo. „Exchange rates risk and equity portfolio diversification“. Thesis, Durham University, 2005. http://etheses.dur.ac.uk/2713/.

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This thesis identifies and fills certain gaps in the empirical literature on the relationship between exchange rates and stock prices, and equity portfolio diversification, with the aim of providing useful information for academics, private investors, currency risk hedgers, and policy-makers. Firstly, it analyses granger-causal links between exchange rates and stock prices even at a level of stock market disaggregation not previously considered, taking into consideration a number of factors that may influence the lead/lag results. Secondly, the thesis considers whether exchange rate movements actually contribute to systematic or undiversifyable risks in national equity markets, particularly assessing the implications (thus far) of the single European currency (the euro) on the risk premiums of major equity markets, given the general perception that the EMU should reduce exchange rate and equity market risks. Several studies have advocated cross-border equity investments as a tool for reducing equity portfolio risks, despite inherent problems including exchange rate risks. Finally therefore, this thesis contributes to the literature on the diversification of equity portfolio risks by assessing the potential of home-based diversification in three developed European equity markets as an alternative to international portfolio diversification, and the potential benefits of eurozone diversification. The evidence suggests the existence of time-varying granger-causal links between exchange rates and stock prices in most countries, although the lead/lag structure for each country may differ when the stock market index is disaggregated, contradicting theoretical models. Although the EMU does not appear to have reduced the exchange rate risk premium in key member states, the same cannot be said about the equity market premium, which has reduced in three of the four member countries investigated. Finally, it appears that the potential of diversifying within the European equity market is such that any extra benefit from international equity acquisitions for diversification purposes is statistically and economically insignificant.

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19

Johnson, Peter F. „Risk Assessment in Telephone Exchanges“. Digital WPI, 2005. https://digitalcommons.wpi.edu/etd-theses/277.

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A systematic framework has been developed to assess what it is that is at risk in any given telephone exchange. This critical area procedure is designed to identify high risk areas, both in terms of potential property damage and business interruption. This procedure utilizes a functionally based approach that is pictorial in presentation n and well suited to management decision making processes.

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20

Alfi, Ayman F. „On the characteristics of risk, risk aversion, and risk management in emerging financial markets : evidence from Saudi Arabia“. Thesis, Swansea University, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.678584.

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21

McCarron, Sean. „Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategies“. CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2534.

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The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.

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22

Ribeiro, Vera Carneiro. „Pricing of exchange traded funds“. Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11721.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
ETFs are a relatively new investment product that allows investors to achieve the diversification of a mutual fund with the trading flexibility of a stock. This and other advantages have been drastically attracting investors over the last years; however, the price of this product is a topic that remains little explored. In this paper I introduce a panel data analysis of premiums/discounts of ETFs with similar characteristics. I find that some of these characteristics are significant explanations to ETF pricing inefficiencies.

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Chang, Chun-chung Winston. „Applicability of value-at-risk methodology in managing market risk for HK stock market investors /“. Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19877274.

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24

Miliauskaitė, Kristina. „Foreign exchange risk management in the company „Snaige““. Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124135-36146.

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The main purpose of this work is to analyze currency risk management opportunities in the industrial company “Snaige”. In order to reach this objective some tasks are set during the work. Firstly it is important to reveal the importance of foreign exchange risk management for the companies that are vulnerable to adverse currency rates. Necessary condition of the work is to measure “Snaige” company’s exposure to currency risk. Using historical simulation and scenario analysis critical point is to compare company’s earnings using and not using hedging. Final task is to assess the benefit for the company on using specific derivatives. Correlation analysis shows that USA dollar, Russian rouble and Ukrainian hryvnia currencies are positively related to each other. Exposure measurement VaR calculation results reveal that currencies with a strong positive correlation have a highest risk and are the most worth hedging. From the historical simulation and scenario analysis it is clear that company will incur huge losses in 2008 if it does not manage foreign exchange risk. Finally, it is important to mention that hedging instruments differ and the choice of using specific derivatives should depend on the current market situation and the foreign exchange risk management policy of the company.
Bakalaurinio darbo tikslas yra ištirti valiutų rizikos valdymo galimybes gamybinėje įmonėje “Snaigė”. Norint pasiekti nusistatytą tikslą yra užsibrėžti konkretūs uždaviniai. Pirmiausia yra svarbu atskleisti valiutų rizikos valdymo svarbą įmonėms, kurios yra jautrios nepalankiems valiutų kursų svyravimams. Nemažiau svarbi darbo dalis yra išmatuoti įmonės “Snaigė” valiutų rizikos dydį. Atliekant istorinės simuliacijos ir scenarijų analizes svarbus veiksnys yra palyginti įmonės pajamas apsidraudžiant bei nedraudžiant valiutų rizikos. Galutinis darbo uždavinys yra naudos įvertinimas įmonei “Snaigė” naudojat išvestines finansines priemones Koreliacijos analizė rodo, jog JAV dolerio, Rusijos rublio ir Ukrainos grivinos valiutų svyravimai stipriai priklauso vienas nuo kito. Valiutų rizikos dydžio VaR skaičiavimų rezultatai atskleidžia, kad valiutos, kurios turi stiprų teigiamą ryšį, taip pat yra pačios rizikingiausios ir jas labiausiai verta apdrausti. Atlikus istorinės simuliacijos bei scenarijaus analizes yra nustatyta, jog įmonė, nevaldydama valiutų rizikos, patirs milžiniškus nuostolius 2008 metais. Galiausiai yra svarbu pažymėti, jog valiutų rizikos draudimo instrumentai skiriasi ir pasirinkimas naudoti konkrečias išvestines finansines priemones turėtų priklausyti nuo esamos rinkos situacijos bei vykdomos įmonės rizikos valdymo politikos.

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Suppakitjarak, Nathridee. „International portfolio diversification and hedging exchange rate risk“. Thesis, University of Birmingham, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668332.

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26

Goddard, Michael John. „Foreign exchange risk management in U.K. international companies“. Thesis, University of Bath, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.259947.

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27

Walsh, Eamonn J. „Foreign exchange risk management in UK multinational companies“. Thesis, Connect to e-thesis, 1986. http://theses.gla.ac.uk/767/.

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Thesis (Ph.D.) - University of Glasgow, 1986.
Ph.D. thesis submitted to the Department of Accounting and Finance, University of Glasgow, 1986. Includes Bibliographical references. Print version also available.

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Edelshain, David John. „British corporate currency exposure and foreign exchange risk management“. Thesis, London Business School (University of London), 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261812.

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29

Zeľo, Tomáš. „Managing of foreign exchange risk in software development company“. Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-85294.

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This master thesis discusses the field of foreign exchange risk management and assesses efficiency of this type of risk management within FFastFill plc. The thesis contains two major parts. The first part, which contains the first and the second chapter, focuses on theoretical characteristics of foreign exchange market and sequentially defines the terms of foreign exchange exposure and foreign exchange risk. This part of thesis discusses hedging strategies and matters that are related to the selection of optimal hedging strategy. The second part of thesis contains the third and the fourth chapter. This part analyses the company from various perspectives and consequently analyses and quantifies the magnitude of company's translation and transaction exposure. The aim of this analysis is to assess company's current hedging strategy and to propose the optimal hedging strategy.

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Znamenáčková, Lenka. „Rizika podnikání v ČLR“. Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77723.

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PRC is no longer seen only as a "world factory". It gains on importace as an global trading partner and many foreign companies try to succeed in Chinese market as importers of their products. Also Czech businesses have already penetrated Chinese market, invested there or are seriously considering expansion to the market. Main objectives of the thesis are to review and characterize main risks, obstacles and barriers which Czech entrepreneurs have to deal with when entering the Chinese market and suggestions how to obviate them.

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Marks, Géraldine. „Quelle place pour le droit dans la gestion des urgences sanitaires de portée internationale ? : esquisse d’une gouvernance des risques biologiques par l’échange d’informations“. Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1108.

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Les urgences sanitaires de portée internationale font partie de ces risques que les Etats, pris isolément, ne peuvent gérer seul pour assurer la permanence du bien-être de leur population. Cette thèse explore alors la possibilité de pallier l'insuffisante intégration de la communauté internationale en matière de gestion de ce qui sera considéré comme des risques biologiques, par l'établissement d'un système de gouvernance internationale et globale fondée sur l'échange d'informations. Pour le fonctionnement de ce système, l'information doit être produite mais elle doit également avoir la possibilité juridique d'être échangée. Dans ce contexte, l'échange d'informations se doit d'être organisé de manière à tenir compte des caractères juridiques des informations utiles à la gestion de ces risques. L'étude des conditions de cet échange met alors en évidence le rôle essentiel du droit dans l'organisation des conditions de l'efficience de ces échanges, et dès lors dans le fonctionnement de ce système de gouvernance. Elle en montre aussi les limites
Public health emergencies of international concern are part of those risks that can not be efficiently managed by States on their own to ensure the longstanding well-being of their population. This thesis explores the possibility to supersede the international community's lack of integration for the management of what will be considered as biological risks, by the designing of an international and global governance system based on the exchange of information. For the functionning of this system, information will need to be produced and have the capacity to be exchanged. In this context, information exchanges ought to be organised, in order to take into account the legal specifities of the information involved. The study will thus aim at emphasizing on the essential role of law in the organisation of those exchanges but also on its limitations

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Verschoor, Willem Franciscus Cornelis. „Forward exchange market dynamics an empirical analysis of expectations, risk and innovations in forward foreign exchange /“. Maastricht : Maastricht : Universitaire Pers Maastricht ; University Library, Maastricht University [Host], 1993. http://arno.unimaas.nl/show.cgi?fid=6226.

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IIJIMA, YOSHIHIKO. „RISK DISCLOSURE IN SECURITIES EXCHANGE AND MEDICAL TREATMENT CONTRACTS“. Nagoya University School of Medicine, 2009. http://hdl.handle.net/2237/11337.

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Morken, Maria Aamlid, und Marte Jerkø. „Priced Liquidity Risk Factors at the Oslo Stock Exchange“. Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-21065.

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We examine how liquidity risk influences stock returns at the Oslo Stock Exchange by investigating if differences between returns are related to liquidity, and how liquidity should be measured. A wide range of distinct liquidity measures is studied, and the measures which best express liquidity risk are combined to a multifactor model. We use a multi-perspective approach to select and compare measures, and perform Fama-MacBeth regressions to evaluate the performance of factor combinations. We find liquidity risk to be priced. Turnover is found to be the liquidity measure that best captures liquidity risk, and trade-based measures are found to be more important than order-based measures. Our multifactor model consisting of amortized spread, trading volume, turnover in shares and the market factor seem to perform better than the capital asset pricing model (CAPM) empirically, and can be used as an alternative to the CAPM for practical applications. Both common and non-common variances of measures are important to express liquidity risk, and we suggest that asset pricing models should include several liquidity measures.

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Majerbi, Basma. „Essays in international asset pricing and foreign exchange risk“. Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84526.

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The purpose of this thesis is to provide new evidence on the pricing of foreign exchange risk in the stock market by testing international asset pricing models (IAPMs) under varying market structures and different exchange rate measures. It is composed of three essays. In the first essay, I test unconditional asset pricing models with exchange risk using country, portfolio and firm level data from nine emerging markets (EMs). It is shown that unlike the case for developed markets where unconditional tests often fail to detect a significant exchange risk premium in stock returns, exchange risk is unconditionally priced in EMs. However, when local market risk is introduced in the model to take into account potential segmentation effects, exchange risk premia are totally subsumed by local risk premia for most countries especially at the firm level. The second essay examines the significance of exchange risk in conditional IAPMs using multivariate GARCH-in-Mean specification and time varying prices of risk. The model tested assumes partial integration and uses real exchange rates to account for both inflation risk and nominal exchange risk. The main empirical results support the hypothesis of significant exchange risk premia in EMs equity returns even after accounting for local market risk. The exchange risk premia are also economically significant as they represent on average 18 percent of total premium, and may reach up to 45 percent of total premium for some countries over sub-periods. In the third essay, I test for the pricing of exchange risk in stock returns using globally diversified sector portfolios. The purpose of this test is to examine the effect of cross-currency diversification on the global price of foreign exchange risk. Since there is no previous evidence on this issue, I use data on the G7 countries and EMs. The results suggest that the effects of exchange risk may be less significant in pricing global assets such as global s

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Scott, Jacoline. „Exchange rate volatility : an analytical risk model / J. Scott“. Thesis, North-West University, 2004. http://hdl.handle.net/10394/2402.

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Drakos, K. S. „The dynamics of term structure risk and exchange rates“. Thesis, University of Essex, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.313099.

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Shenbagaraman, Premalata. „Time-varying real exchange rate risk in emerging markets“. Connect to resource, 1999. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261243961.

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SANTOS, MARCELO BITTENCOURT COELHO DOS. „RISK PREMIUM EVIDENCES IN THE BRAZILIAN FOREIGN EXCHANGE MARKET“. PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21911@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
Esta dissertação tem como objetivo buscar evidências de prêmio de risco a partir do mercado de opções e de futuro de dólar no Brasil. Para isso dois ensaios foram realizados: um que mede o prêmio de risco por volatilidade no mercado de opções e outro que mede o prêmio de risco cambial no mercado futuro. No primeiro caso, o prêmio é estimado como o excesso de retorno de um portfolio protegido. No segundo caso, o prêmio é estimado com base na Teoria da Paridade de Juros ajustada a risco pelo modelo CGARCH-M. Verificou-se evidências de forward bias puzzle e de prêmio de risco por volatilidade e cambial ambos negativos e variantes no tempo. O primeiro é responsável por aumento nos preços das opções de moeda enquanto o segundo é consistente com a teoria de média-variância, ou seja, o investidor avesso ao risco requer mais retorno com o aumento do risco. Além disso, choques não antecipados possuem influência na determinação do componente de longo prazo da volatilidade do prêmio de risco cambial. Em momentos de incerteza global no mercado e aumento nas restrições de liquidez a volatilidade de curto prazo se eleva. Entretanto somente com o prêmio de risco não é possível explicar os preços viesados. Portanto, são necessários estudos futuros que envolvam tanto custo de transação, quanto o desenvolvimento de modelo econômico mais tratável para determinação da taxa de câmbio.
This work aims to seek evidence of risk premium in the option and future foreign exchange markets of dollar in Brazil. For that we used two essays: one that measures the premium for volatility risk in the option market and other which measures the currency risk premium in the future market. In the first case, the premium is estimated as excess return of hedge portfolio. In the second case, the premium is estimated based on risk-adjusted Interest Rate Parity Theory from a CGARCH-M model. There was evidence of forward bias puzzle and premium for volatility and for currency risk both negative and time-varying. The first is responsible for increasing currency option price, while the second is consistent with the mean-variance theory, so risk averse investors required more return when they face higher risk. In addition, unanticipated shocks have an influence in determining the long-term volatility component of currency risk premium. In times of global market uncertainty and increasing liquidity constraints the short-term volatility raises. But only the risk premium can not explain the price biased. So transaction cost and a more effective economic model must be including in futher studies about exchange rate discovering.

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Stoyanov, Zahari, und Saleem Ahmad. „Foreign Exchange-Rate Exposure of Swedish Firms“. Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-740.

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The main focus of the paper is the problem of exchange-rate exposure of Swedish firms between Jan, 1st 2002 and Sep, 27th 2006. Defined as “a measure of the potential for a firm’s profitability, net cash flow, market value to change because of a change in exchange rates”, the problem of exchange rate exposure is investigated, making use of the “Market Value Approach” (also known as “Stock Market Ap-proach”), with certain additional extensions. With Sweden being a very open economy with strong export orientation, we expected to find a greater number of firms showing significant ex-change rate exposure to one or more of the chosen 6 bilateral exchange rates (SEK/EUR, SEK/USD, SEK/DKK, SEK/NOK, SEK/GBP and SEK/JPY). Also, companies are divided into categories with respect to their main operating activity. The empirical study finds 78% of all companies in the sample with significant exposure, with dominance of lagged effect over con-temporaneous. This percentage is higher than found in previous empirical studies, being in sup-port of the suggestion that relation exists between economy openness and exchange rate expo-sure of firms. However, the significant cross-section differences across categories and the high level of heterogeneity within categories deter us from determining the sign, direction and magni-tude of the exchange rate exposure. Suggestions are made for further studies and possible exten-sions of the topic of the present paper.

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Appelbaum, Matthew. „Does Pairs trading work on the Johannesburg Stock Exchange?“ Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/20026.

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In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian manner, when they diverge from said historical relationship. The essence of Pairs trading is to take advantage of perceived market inefficiencies, which is a direct contradiction of the Efficient Markets Hypothesis (even in its weak form). This study tested Pairs trading on both an unrestricted (any two shares can be paired), as well as a sector-restricted (only pairs within the RESI and the FINDI sectors could be paired), sample of shares (the JSE Top80 - based on market capitalization). Furthermore, a number of different signals (which are based on standard deviations) to open and close pairs were tested, on both the unrestricted and sector-restricted samples. The aim of using different samples of shares, as well as different trading signals, was to determine whether or not different strategies could serve to bolster the performance of a Pairs trading strategy.

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Ivanova, Yuliya Rumenova. „Essays in foreign exchange“. Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1642.

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This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.' In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation. The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis. The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.

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Ivanov, David. „Dynamics of Exchange Rates in Selected Emerging Markets in Risk-on/Risk-off Periods“. Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359882.

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This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira and Korean Won. The main goal of the paper is to evaluate the performance of these currencies in risk-on and risk-off episodes on a sample period from 1997 until 2016. We use analysis and comparison as a methodology for this paper, emphasizing on the relationship and causality between capital flow and exchange rates. We shall reveal that the examined currencies depreciate in risk-off periods and only the Korean Won appreciates in risk-on periods.

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Barumwete, Lyna Alami, und Feiyi Rao. „Exchange rate risk in Automobile Industry: An Empirical Study on Swedish, French and German Multinational Companies“. Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1788.

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Recently, both company executives as well as national media have claimed that short currency exchange rate fluctuations are negatively affecting the stock returns of certain firms. However, most previous studies focusing on companies in the US and Asia have been unable to find empirical support for a statistically significant linkage between firm value and exchange rate risk. By using a quantitative method with a deductive approach,the present research investigates if currency exchange rate movements impact the stock return of European based car companies with market interests in the US. By selecting French Renault and Peugeot, German Audi and BMW and Swedish Saab and Volvo, we were able to analyze three currencies exchange rates in our study: SEK/USD, SEK/Euro and Euro/USD. In addition, we included three macroeconomic factors: GDP, stock market index and Oil price to perform a multiple regression analysis. In consistency with the earlier studies, our results indicate that for five out of the six investigated companies, short movements in the three exchange rates do not significantly affect the stock returns of the companies investigated. By analyzing the annual report of the investigated companies, we found that derivatives instruments such as currency option, foreign exchange forwards, currency futures and currency swaps were used to hedge exchange risk. This might be one of the reasons why it was difficult to capture exchange rate risk. The fact that BMW was the only company showing a significant effect could indicate that the company is not applying the accurate hedging strategy. Another reason might be that the company is more exposed to exchange risk due to its large exporting activity compared to the other investigated companies.

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Forrester, David Edward Economics Australian School of Business UNSW. „Market probability density functions and investor risk aversion for the australia-us dollar exchange rate“. Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.

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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.

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Stålstedt, Erik. „Exchange Rate Risk : From a Portfolio Investors Point of View“. Thesis, Jönköping University, JIBS, Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1012.

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Due to globalization investors have increasing opportunities to invest on international markets for diversification purposes. This thesis illustrates the added risks of investing internationally due to volatile exchange rates. The purpose is to analyze how a volatile

exchange rate affect the risk and return of a portfolio invested in Sweden, when the investor is located in Japan, United Kingdom or the USA.

To analyze the effect of exchange rate volatility the focus is on a portfolio consisting of Swedish stocks from the Stockholm Stock Exchange (SSE) O-list. First the risk and return to a hypothetical Swedish investor not exposed to exchange rate volatility is calculated.

Then the effects the exchange rates had on the risk and return if a US investor, UK investor and a Japanese investor invested in the same portfolio is analyzed. For the historical period 2005 the portfolio generated a return of 34.36% and a risk of 7.7%. The empirical work showed that for the international investors the risk was increased

with between 1.95% – 410.52% and that the actual return decreased due to weakening currencies against the Krona.

In an attempt to predict future exchange rate movements the thesis analyses two financial relationships, PPP and IRP, to calculate equilibrium movements. Both PPP and IRP predicted a depreciation of the Dollar and Pound Sterling against the Krona over the next

period, but an appreciation of the Yen against the Krona over the same period.

The analytical discussion covers the importance of a well functioning financial system, the institutional effects on exchange rates and the confidence in government policies and their ability to succeed in doing what has been promised.

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Chieh-YuLin und 林芥瑜. „Empirical Analysis on Exchange Risk Premiums and Equity Market Risks: Evidence from G8“. Thesis, 2011. http://ndltd.ncl.edu.tw/handle/04822516733739436945.

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碩士
國立成功大學
財務金融研究所
99
In a highly integration of world capital market, it is to be expected that shocks to one market would spill over to influence all other markets in the world. In this study, we investigate how the relative performance of the domestic and the foreign stock markets affect exchange rate returns. We use monthly data to discuss the relationship in G8 countries from October 1995 to July 2009. Using OLS method, we find that exchange rates of G8 countries tend to appreciate when the corresponding stock markets decline relative to the US stock market ex post. Using TSLS method with instrumental variables, we find the similar results ex ante. To summarize, these findings are consistent with the ?uncovered equity parity? condition by Hau and Rey (2006) and accepted ex post and ex ante for G7 countries (which are except Russia). But the degrees and directions of how equity risks influence exchange rate returns vary with markets and time.

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Yi-HsinHo und 何宜馨. „Empirical Analysis on Exchange Risk Premiums and Equity Market Risks ─ Evidence from Asian Emerging Countries“. Thesis, 2010. http://ndltd.ncl.edu.tw/handle/43661147326336462870.

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碩士
國立成功大學
財務金融研究所
98
This paper investigates how the relative performance of the domestic and the foreign equity markets affect the excess returns of foreign exchange returns for seven Asian Emerging stock markets. In all cases, higher average returns appear to be associated with a higher level of volatility. Testing the relationship between exchange rate premiums and relative equity returns by using OLS method, we find that the exchange rates tend to appreciate when the corresponding equity markets rise, implying massive of international “hot money” has been flowing into these emerging capital market. Using instrumental variable method and TSLS-GARCH (1,1)-X model, the testing results show that the exchange rate premium are significantly correlated with economic fundamentals such as the relative equity premium between the domestic and foreign equity markets, and capital flows.

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Hsu, Shih-Cheng, und 許仕承. „The Effects of Interest Rate and Exchange Rate Risks on Unemployment“. Thesis, 2002. http://ndltd.ncl.edu.tw/handle/39031374174807651660.

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碩士
中原大學
國際貿易研究所
90
When the rate of return on an individual’s savings is risky, the access to a labor market to work for a riskless wage provides a means of hedging this capital income risk by working more. In a non-expected utility maximizing framework using Selden’s OCE preference we investigate the effects of a change in the rate of return risk or the exchange rate of return risk on such precautionary labor supply decision. It is shown that an increase in the rate of return risk or the exchange rate of return risk leads to an increase (a decrease) in the optimal labor supply only when the elasticity of intertemporal substitution for consumption falls short of (exceeds) unity. An OLS regression of unemployment rate on interest rate and exchange rate risks is clearly problematic because of omitted-variables’ bias due to the exclusion of important macroeconomic variables influencing aggregate unemployment rate. So we use the fixed Layard-Nickell model. An empirical analysis, using a GARCH model to estimate the interest rate risk; using the two stage least square approach to estimate the fixed Layard-Nickell model, reveals that in the Taiwan, unemployment rate has responded positively to an decrease in time-varying real interest rate risk.

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Yu, Che-Young, und 余哲仰. „The Asset Pricing Model with Exchange Risks: Evidence from Emerging Markets“. Thesis, 2011. http://ndltd.ncl.edu.tw/handle/53899844178411532049.

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碩士
世新大學
財務金融學研究所(含碩專班)
99
For the growing dominance in international affairs following the rapid economic growth, it becomes more urgent to get insight into emerging markets. As a result, this paper investigates whether currency risk plays a role in emerging market returns and how important it is. After analyzing the performances of the seventeen emerging markets in the past decade, we find that: (1) these markets have integrated internationally; (2) major currency risk and local currency risk do affect the market returns whereas the local currency risk is more influential than major currency risk; and (3) it is necessary to consider the volatility clustering and compensation for expected volatility when estimating the asset pricing models for the better efficiency. Our results suggest that when investing in emerging markets, investors might collect the information that indicates the movement of exchange rate and then revalue their investment directly.

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Dissertationen zum Thema „Exchange risks“

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