Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123492335> ?p ?o ?g. }
Showing items 1 to 62 of
62
with 100 items per page.
- W3123492335 abstract "This paper examines the adequacy of the exposure coefficient/beta in measuring entire impact of exchange rate changes on firms’ future operating cash flows. To this end, we investigate the presence of four elements of exchange rate exposure: (a) sensitivity of stock returns to exchange rate changes; (b) sensitivity of stock returns to the volatility of exchange rate changes; (c) sensitivity of conditional variance of returns to exchange rate volatility; and (d) dynamic conditional correlation between returns and exchange rate changes. A bi-variate GJRGARCH- M model is employed to investigate all such elements of exchange rate exposure. We uncover significant evidence for the presence of multi elements of exchange rate exposure, some of which are not captured by the conventional measure of exposure. The paper contributes to the literature by suggesting a theoretical improvement in the area of measuring exchange rate exposure and citing evidence in support of it. Keywords : exchange rate exposure; volatility spillovers; multivariate GARCH-M models; time-varying correlation JEL For full paper: fmscresearch@sjp.ac.lk" @default.
- W3123492335 created "2021-02-01" @default.
- W3123492335 creator A5021716781 @default.
- W3123492335 creator A5042015898 @default.
- W3123492335 date "2012-12-24" @default.
- W3123492335 modified "2023-09-23" @default.
- W3123492335 title "MULTI-ELEMENTS OF EXCHANGE RATE EXPOSURE: EVIDENCE FROM JAPANESE SECTORAL RETURNS" @default.
- W3123492335 hasPublicationYear "2012" @default.
- W3123492335 type Work @default.
- W3123492335 sameAs 3123492335 @default.
- W3123492335 citedByCount "0" @default.
- W3123492335 crossrefType "journal-article" @default.
- W3123492335 hasAuthorship W3123492335A5021716781 @default.
- W3123492335 hasAuthorship W3123492335A5042015898 @default.
- W3123492335 hasConcept C127413603 @default.
- W3123492335 hasConcept C149782125 @default.
- W3123492335 hasConcept C162324750 @default.
- W3123492335 hasConcept C204036174 @default.
- W3123492335 hasConcept C21430997 @default.
- W3123492335 hasConcept C23922673 @default.
- W3123492335 hasConcept C2776988154 @default.
- W3123492335 hasConcept C556758197 @default.
- W3123492335 hasConcept C78519656 @default.
- W3123492335 hasConcept C91602232 @default.
- W3123492335 hasConceptScore W3123492335C127413603 @default.
- W3123492335 hasConceptScore W3123492335C149782125 @default.
- W3123492335 hasConceptScore W3123492335C162324750 @default.
- W3123492335 hasConceptScore W3123492335C204036174 @default.
- W3123492335 hasConceptScore W3123492335C21430997 @default.
- W3123492335 hasConceptScore W3123492335C23922673 @default.
- W3123492335 hasConceptScore W3123492335C2776988154 @default.
- W3123492335 hasConceptScore W3123492335C556758197 @default.
- W3123492335 hasConceptScore W3123492335C78519656 @default.
- W3123492335 hasConceptScore W3123492335C91602232 @default.
- W3123492335 hasLocation W31234923351 @default.
- W3123492335 hasOpenAccess W3123492335 @default.
- W3123492335 hasPrimaryLocation W31234923351 @default.
- W3123492335 hasRelatedWork W1552299526 @default.
- W3123492335 hasRelatedWork W1561442429 @default.
- W3123492335 hasRelatedWork W1650047312 @default.
- W3123492335 hasRelatedWork W2021745288 @default.
- W3123492335 hasRelatedWork W2042197631 @default.
- W3123492335 hasRelatedWork W2047177946 @default.
- W3123492335 hasRelatedWork W2053416182 @default.
- W3123492335 hasRelatedWork W2066724629 @default.
- W3123492335 hasRelatedWork W2111193889 @default.
- W3123492335 hasRelatedWork W2117963713 @default.
- W3123492335 hasRelatedWork W2148031765 @default.
- W3123492335 hasRelatedWork W2153827337 @default.
- W3123492335 hasRelatedWork W2180697770 @default.
- W3123492335 hasRelatedWork W2295533065 @default.
- W3123492335 hasRelatedWork W2329922375 @default.
- W3123492335 hasRelatedWork W282498873 @default.
- W3123492335 hasRelatedWork W3121655505 @default.
- W3123492335 hasRelatedWork W3124896558 @default.
- W3123492335 hasRelatedWork W2185330683 @default.
- W3123492335 hasRelatedWork W2897482016 @default.
- W3123492335 hasVolume "6" @default.
- W3123492335 isParatext "false" @default.
- W3123492335 isRetracted "false" @default.
- W3123492335 magId "3123492335" @default.
- W3123492335 workType "article" @default.