Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic

Bernard Njindan Iyke and Sin-Yu Ho

Finance Research Letters, 2021, vol. 43, issue C

Abstract: We examine the nature of exchange rate exposure before and during the COVID-19 pandemic. Using a multifactor arbitrage pricing model and daily data from South Africa, we show that, as compared with sectors, industries have been more exposed to the exchange rate risk during than before the pandemic. We further show that exchange rate exposure mostly hurts the sectors and industries, although a few sectors, such as beverages, mining, personal goods, and tobacco, and industries, such as basic materials, consumer goods, and technology, may benefit from it. Our estimates survived robustness checks.

Keywords: COVID-19; Coronavirus; Pandemic; Exchange rate exposure; Risk; Stock market (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000817

DOI: 10.1016/j.frl.2021.102000

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