Foreign Exchange Rate Exposure: Evidence from Canada

Mohammad Al-Shboul; Sajid Anwar

doi:10.1016/j.rfe.2013.12.001

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Foreign Exchange Rate Exposure: Evidence from Canada

Journal article

Open access

Peer reviewed

Foreign Exchange Rate Exposure: Evidence from Canada

Mohammad Al-Shboul and Sajid Anwar

Review of Financial Economics, Vol.23(1), pp.18-29

2014

DOI: https://doi.org/10.1016/j.rfe.2013.12.001

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Abstract

financial risk

financial crises

foreign exchange rate

nonlinear exposure

financial markets

asymmetric exposure

nonparametric methods

Using weekly data from 2003 to 2011, this paper examines the presence of exchange rate exposure in thirteen Canadian industry sectors. This study contributes to the literature in a number of ways: (i) it considers the presence of exposure not only in the full sample but also in the pre and post-Global Financial Crisis (GFC) periods, (ii) it considers both linear and nonlinear exposure and (iii) it makes use of the sign and size bias tests to investigate the presence of asymmetric exposure. In general, we find some evidence of linear and nonlinear exposure in the full sample as well as in the pre and post-GFC sub-samples. We also find weak evidence of an asymmetric exposure sign effect on stock returns in the full and pre-GFC sample periods. Stock returns are found to respond asymmetrically to the positive magnitude of exposure in both the-pre and post-GFC sample periods. In overall terms, the GFC appears to have weakly contributed to the overall strength of the exposure.

Details

Title: Foreign Exchange Rate Exposure: Evidence from Canada
Authors: Mohammad Al-Shboul (Author) - Talal University, Jordan
Sajid Anwar (Author) - University of the Sunshine Coast - Faculty of Arts and Business
Publication details: Review of Financial Economics, Vol.23(1), pp.18-29
Publisher: Elsevier BV, North-Holland
Date published: 2014
DOI: 10.1016/j.rfe.2013.12.001
ISSN: 1058-3300
Organisation Unit: School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
Language: English
Record Identifier: 99448810402621
Output Type: Journal article

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