Exchange rate risk and Philippine stock returns: before and after the Asian financial crisis

Rodolfo Aquino

Applied Financial Economics, 2005, vol. 15, issue 11, 765-771

Abstract: This paper examines whether the Philippine stock market prices exchange rate risk during the period 1992-2001; specifically, before and after the onset of the Asian financial crisis. Using a two-factor arbitrage pricing theory model, the evidence presented in the paper suggests that stock returns did not react significantly to foreign exchange rate fluctuations before the period of the crisis. After the onset of the crisis, however, Philippine firms started to exhibit cross-sectional differences in their reaction to exchange rate movements. Furthermore, during the post-crisis period, investors began to expect a risk premium on their investments for their perceived added exposure to exchange rate risk. In the larger, macroeconomic sense, this implies market inefficiencies in the foreign exchange or stock market or both and inadequate hedging by local firms for foreign exchange risk.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100500107784 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:15:y:2005:i:11:p:765-771

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100500107784

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().