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Foreign Exchange Rate Exposure of Automotive Makers: Case Study

Liu, Peng and Zhao, Yuanyuan (2010)
Department of Business Administration
Abstract
Purpose: The aim of our paper is try to find out the relationship between exchange rate and corporate value. We are going to study the impact of exchange rate on automakers?value in automobile industry. Theoretical perspective: The theoretical framework mainly involves prior research in the area of exchange rate exposure and corporate value. Further, the relationship between corporate performance and market performance is studied. Methodology: Colleting data for four largest automakers in the world as well as exchange rate and stock market index to run regression to study their relation ship. Unconditional Spillover model is used. Results: Five out of nine exchange rates we selected are significant for corporate stock price but weakly... (More)
Purpose: The aim of our paper is try to find out the relationship between exchange rate and corporate value. We are going to study the impact of exchange rate on automakers?value in automobile industry. Theoretical perspective: The theoretical framework mainly involves prior research in the area of exchange rate exposure and corporate value. Further, the relationship between corporate performance and market performance is studied. Methodology: Colleting data for four largest automakers in the world as well as exchange rate and stock market index to run regression to study their relation ship. Unconditional Spillover model is used. Results: Five out of nine exchange rates we selected are significant for corporate stock price but weakly impact on corporate stock price. Conclusion: The impact of foreign exchange rate on corporate stock price is weak or insignificant. (Less)
Please use this url to cite or link to this publication:
author
Liu, Peng and Zhao, Yuanyuan
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Management of enterprises, GARCH Model, Spillover model, Stock market index, Stock price, exchange rate, Företagsledning, management
language
Swedish
id
1578922
date added to LUP
2010-01-15 00:00:00
date last changed
2012-04-02 17:54:16
@misc{1578922,
  abstract     = {Purpose: The aim of our paper is try to find out the relationship between exchange rate and corporate value. We are going to study the impact of exchange rate on automakers?value in automobile industry. Theoretical perspective: The theoretical framework mainly involves prior research in the area of exchange rate exposure and corporate value. Further, the relationship between corporate performance and market performance is studied. Methodology: Colleting data for four largest automakers in the world as well as exchange rate and stock market index to run regression to study their relation ship. Unconditional Spillover model is used. Results: Five out of nine exchange rates we selected are significant for corporate stock price but weakly impact on corporate stock price. Conclusion: The impact of foreign exchange rate on corporate stock price is weak or insignificant.},
  author       = {Liu, Peng and Zhao, Yuanyuan},
  keyword      = {Management of enterprises,GARCH Model,Spillover model,Stock market index,Stock price,exchange rate,Företagsledning,management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Foreign Exchange Rate Exposure of Automotive Makers: Case Study},
  year         = {2010},
}