IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries

Listed author(s):
  • Cuestas, Juan Carlos

    ()

    (Department of Economics, University of Sheffield)

  • Tang, Bo

    ()

    (Department of Economics, University of Sheffield)

This study explores the asymmetric exchange rate exposure of stock returns building upon the capital asset pricing model (CAPM) framework, using monthly returns of Chinese industry indices. In accordance with the existing literature, industry returns are subject to lagged exposure effects, but the asymmetries vary across industries, which could be due to the discrepancies of trade balance and ownership of certain industries. Furthermore, the dynamic multipliers depict that industry returns quickly respond to changes in the exchange rate and correct the disequilibrium within a short time, making the long run exposure to be symmetric or very small. The remaining shocks are mainly explained by the return of market portfolios. This implies that the ongoing restrictions on the RMB daily trading band do indeed protect the Chinese stock market against the effects of currency movements.

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://58.210.89.21/RePEc/xjt/working-papers/RIEI-WP_2016-03.pdf
File Function: First version, 2016
Download Restriction: no

Paper provided by Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration in its series RIEI Working Papers with number 2016-03.

as
in new window

Length: 34 pages
Date of creation: 08 Apr 2016
Handle: RePEc:xjt:rieiwp:2016-03
Contact details of provider: Postal:
111 Ren'ai Road, Dushu Lake Higher Education Town, Suzhou Industrial Park, 215123

Phone: +86 (0)512 8816 1700
Fax: +86 (0)512 8816 1899
Web page: http://www.xjtlu.edu.cn/en/research/institutes-centres-and-labs/research-institute-for-economic-integration
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. ., 2015. "Various concepts of equilibrium in economics," Chapters, in: The New Economics of Income Distribution, chapter 2, pages 25-37 Edward Elgar Publishing.
  2. Xu Tang & Benjamin C. McLellan & Simon Snowden & Baosheng Zhang & Mikael Höök, 2015. "Dilemmas for China: Energy, Economy and Environment," Sustainability, MDPI, Open Access Journal, vol. 7(5), pages 1-13, May.
  3. ., 2015. "Globalization and regional economies," Chapters, in: Introduction to Regional Economic Development, chapter 1, pages 1-24 Edward Elgar Publishing.
  4. Balzano M.S. & Vecchione G., 2015. "Gaetano Filangieri and Economic Institutionalism," Rivista economica del Mezzogiorno, Società editrice il Mulino, issue 3-4, pages 583-612.
  5. Taff, Steven J., 2015. "Minnesota Applied Economist 725, Winter 2015," Minnesota Applied Economist/Minnesota Agricultural Economist 196531, University of Minnesota, Department of Applied Economics.
  6. Bo Tang, 2015. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 592-607, 08.
  7. Ivanova T., 2015. "Modernization Of Regional Ecological Economics," Management, Academy of Municipal Administration, vol. 9(3-4), pages 229-237, October.
  8. ., 2015. "Income distribution and economic growth," Chapters, in: The New Economics of Income Distribution, chapter 6, pages 123-153 Edward Elgar Publishing.
  9. Lade, Gabriel E. & Lin Lawell, C.-Y. Cynthia, 2015. "The design and economics of low carbon fuel standards," Research in Transportation Economics, Elsevier, vol. 52(C), pages 91-99.
  10. Gaut, Fred, 2015. "Measuring innovation in all sectors of the economy," MERIT Working Papers 038, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  11. ., 2015. "Recall, rationality and political economy," Chapters, in: Game Theory and Public Policy, Second Edition, chapter 9, pages 141-164 Edward Elgar Publishing.
  12. Roos, Michael W. M., 2015. "The macroeconomics of radical uncertainty," Ruhr Economic Papers 592, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  13. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  14. Yuli Radev, 2015. "Thermodynamics and Economics of Resources," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 5-15, April.
  15. Siew-Peng Lee & Yan-Ling Ng, 2015. "Public Debt and Economic Growth in Malaysia," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(1), pages 119-126, January.
  16. ., 2015. "Theoretical evolution of economic development," Chapters, in: Introduction to Regional Economic Development, chapter 2, pages 25-35 Edward Elgar Publishing.
  17. ., 2015. "Traditional regional economic development theories," Chapters, in: Introduction to Regional Economic Development, chapter 5, pages 61-84 Edward Elgar Publishing.
  18. Döndü ?Lkaya & Ay?Egül O?Uz, 2015. "Economic Contribution Of Tourism," Proceedings of International Academic Conferences 3105394, International Institute of Social and Economic Sciences.
  19. Servaas Storm & C.W.M. Naastepad, 2015. "NAIRU economics and the Eurozone crisis," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 843-877, November.
  20. repec:elg:eechap:15528_4 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:xjt:rieiwp:2016-03. 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: (Paulo Regis)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.