On The Exchange Rate Risk Contribution To The Performance Of International Investments: The Case Of Romania
AbstractThe paper examines the impact of changes in the Romanian currency exchange rates against the US dollar and the euro on an investment in the Romanian stock market from the perspective of a US dollar and euro based investor. Our analysis is directed towards identifying the significance of exchange rate volatility for the total risk of a Romanian investment from the perspective of investors with the US dollar and euro as reference currencies. Our results indicate that during more turbulent times investors were better off if invested in their home markets. We also find that the exchange rate risk decreased the risk that a US dollar or a euro-based investor was exposed to in Romania. The contribution of exchange rate risk to the risk of an international investor diversified in his home market and the Romanian market is small, even negative, with no significant differences turbulent versus normal times.
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Bibliographic InfoArticle provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Review of Economic and Business Studies.
Volume (Year): (2009)
Issue (Month): 3 (May)
Exchange rate; Romania; international investments; volatility;
Find related papers by JEL classification:
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- F31 - International Economics - - International Finance - - - Foreign Exchange
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