Advanced Search
MyIDEAS: Login

Devaluation Expectations and the Stock Market

Contents:

Author Info

  • Törbjörn I. Becker
  • Anthony J. Richards
  • Gaston Gelos

Abstract

Using company-level data, this paper examines the relative stock-market performance of firms with different foreign-exchange exposures around the time of the 1994/95 Mexican crisis. Contrary to what one might have expected given the alleged peso overvaluation, exporting firms outperformed the market beginning in late 1993. Although interest rates fail to show a clear confidence loss in the exchange rate regime, the relative performance of net exporters suggests that expectations of devaluation increased continuously. The methodology presented is relevant beyond the Mexican case: sectoral differences in stock market performance may constitute valuable leading indicators of exchange rate changes in emerging markets.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=3459
Download Restriction: no

Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/28.

as in new window
Length: 42
Date of creation: 01 Jan 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/28

Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email:
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order Information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

Related research

Keywords: Devaluation; Stock markets; Exchange rate regimes; Economic models; exchange rate; stock market; exchange rate expectations; exchange rates; exchange rate regime; stock prices; financial sector; nominal exchange rate; exchange rate movements; currency risk; currency crises; exchange rate exposure; exchange rate change; devaluation period; shadow exchange rate; stock returns; fixed exchange rate; exchange rate changes; post-devaluation; bonds; shadow ? exchange rates; stock market index; stock exchange; floating exchange rate; fixed exchange rate regime; overvaluation; international capital markets; international capital; domestic interest rates; flexible exchange rate; foreign exchange; international finance; exchange rate devaluations; shadow ? exchange rate; forward exchange rate; financial instruments; financial system; exchange rate band; currency crisis; forward exchange; real exchange rate; floating exchange rate regime; exchange rate crises; shadow exchange rates; stock valuation; fixed exchange rate regimes; government bonds; stock price; emerging market stock; financial structure; currency units; international financial markets; spot exchange rates; asset bubbles; exchange rate peg; bond market; stock market indices; foreign exchange market; foreign investment; equilibrium exchange rate; financial economics; exchange rate fluctuations; discounting; emerging markets ? stock; financial derivatives; flexible exchange rate regime; short-term bonds; term bonds; current exchange rate; financial liberalization; bond; present value; financial markets; emerging market stocks; hedging; international finance corporation; money market;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Mendoza, Enrique G. & Uribe, Martin, 2000. "Devaluation risk and the business-cycle implications of exchange-rate management," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 53(1), pages 239-296, December.
  2. Chortareas, Georgios & Cipollini, Andrea & Eissa, Mohamed Abdelaziz, 2012. "Switching to floating exchange rates, devaluations, and stock returns in MENA countries," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 119-127.
  3. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan & D'Rosario, Michael, 2011. "Share price clustering in Mexico," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 113-119, April.
  4. Kanas, Angelos, 2005. "Regime linkages between the Mexican currency market and emerging equity markets," Economic Modelling, Elsevier, vol. 22(1), pages 109-125, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:00/28. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.