Exchange Rate Exposure: Evidence from Finnish Stock Returns

14 Pages Posted: 27 Jun 2003

See all articles by Gregory Koutmos

Gregory Koutmos

Fairfield University - Charles F. Dolan School of Business

Johan Knif

Hanken School of Economics

Abstract

This study investigates the presence of exchange rate exposure of stock returns in sector based portfolios of the Finnish stock market. The traditional exposure model is extended to allow for the possibility of asymmetric behavior in the exposure pattern as well as the presence of second moment exposure, i.e., the impact of second moment foreign exchange volatility on stock returns. The investigation covers daily stock returns over the period 1992-2000 for nine Finnish sectors namely, basic materials, cyclical consumer, energy, financial, industrial, non-cyclical consumer, technology, utilities, and other. In all instances exposure is assessed with respect to the U.S. dollar.

JEL Classification: F31

Suggested Citation

Koutmos, Gregory and Knif, Johan Anders, Exchange Rate Exposure: Evidence from Finnish Stock Returns. Available at SSRN: https://ssrn.com/abstract=407845 or http://dx.doi.org/10.2139/ssrn.407845

Gregory Koutmos (Contact Author)

Fairfield University - Charles F. Dolan School of Business ( email )

Dolan School of Business
N. Benson Road
Fairfield, CT 06824
United States
203-254-4000 Ext. 2832 (Phone)

Johan Anders Knif

Hanken School of Economics ( email )

P.O. Box 287
FIN-65101 Vasa
Finland
+358 453556008 (Phone)

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