ON EXCHANGE RATE CHANGES AND STOCK PRICE REACTIONS
ON EXCHANGE RATE CHANGES AND STOCK PRICE REACTIONS
复制标题
关于汇率变化和股价反应
DOI：
10.1111/j.1468-5957.1990.tb01196.x
复制
发表时间：
2008
影响因子：
2.9
通讯作者：
G. Kao
中科院分区：
文献类型：
--
作者：
Christopher K. Ma;G. Kao
自20世纪70年代初采用浮动汇率制度以来，汇率变化的波动性显着增加。结果，国际股票市场之间的联系带来了更多的不确定性。考虑到国际投资风险的相关增加，货币面额的选择为整体投资组合决策增加了一个重要维度。投资的要求回报率应反映国内要求的回报率和投资计价货币价值的预期变化。本文的目的是研究股票价格对汇率变化的反应。在浮动利率制度下，股票的要求回报率反映了两种外汇风险。首先，投资本身就受到汇率变化交易风险的影响。这主要是由于外币投资交易结算产生的利得或损失。其次，预期回报还取决于经济风险，而经济风险是由于汇率波动时企业贴现现金流的变化而决定的。因此，均衡相对股票价格既与汇率水平有关，又与汇率变化有关。本文其余部分的结构如下：第二部分回顾了一些相关文献；第三部分阐述了论文的理论基础；第四部分提出了相应的假设、检验方法和实证结果；最后一部分总结了本文。
The volatility of exchange rate changes has increased significantly since the adoption of the floating rate regime in the early 1970s. As a result, more uncertainty has been introduced to the linkage between international equity markets. Considering the associated increase in risk for international investments, the choice of currency denomination adds an important dimension to the overall portfolio decision. The required rate of return of an investment should reflect both the domestic required rate of return and expected changes in the value of the currency in which the investment is denominated. The purpose of this paper is to examine stock price reactions to exchange rate changes. Under a floating rate regime, the required rate of return of stocks is shown to reflect two types of foreign exchange risks. First, the investment is inherently affected by the transaction exposure from foreign exchange rate changes. This is mainly due to gains or losses arising from the settlement of investment transactions stated in foreign currency terms. Second, the expected return is also determined by the economic exposure which is attributed to variations in firms’ discounted cash flows when exchange rates fluctuate. Thus, the equilibrium relative stock price is related to both exchange rate levels and exchange rate changes.The rest of this paper is organized as follows: the second section reviews some related literature; the third section describes the theoretical foundation of the paper; the fourth section presents the corresponding hypotheses, the testing methodology and the empirical results; and the final section summarizes the paper.