An Assessment of Currency Exposure of Non-Financial Firms in ASEAN-4: Insights using the Stock Returns and Cash Flow Methodologies

Asian Economic and Financial Review

article

Hishamuddin Abdul Wahab¹  Obiyathulla Ismath Bacha²  Norhazlina Ibrahim¹  Ahmad Monir Abdullah³  Nurul Afaaf Mohd Nasir¹ 

[1] Universiti Sains Islam Malaysia;International Centre for Education in Islamic Finance;Universiti Kebangsaan Malaysia

关键词: ASEAN-4;    Asian financial crisis;    Cash flow approach;    Currency exposure;    Global financial crisis;    Stock returns approach.;   

DOI  :  10.55493/5002.v12i12.4666

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This study examines the extent and nature of foreign exchange exposure in 405 listed corporations operating in the ASEAN-4 nations, Indonesia, Malaysia, Singapore, and Thailand. The study period of 23 years, from 1995 to 2017, covers the two major crisis periods, the Asian financial crisis (AFC) of 1997 and the global financial crisis (GFC) of 2008. Our study improves on earlier work by using two alternative assessment methods, i.e., stock returns (SR) and cash flow (CF) methods. We report several interesting and noteworthy results. First, we find that the stock returns approach results in a higher incidence of exchange rate exposure relative to the cash flow method. Specifically, about 65% and 28% of the total ASEAN-4 firms had significant exposure to all currencies under the stock returns and cash flow methods, respectively. Second, we find the sample firms to have predominant exposure to the US dollar, signifying the important role played by the United States (US) as the major trading partner of the ASEAN-4. Third, when evaluating time-varying exposure, we find that the incidence of the exchange rate exposure is event-specific. Most of our sample firms were highly exposed to exchange rates during the mid-points of the AFC and the GFC.

【 授权许可】

CC BY