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Valutarisken inom Stockholmsbörsen - En kvantitativ undersökning av OMXS30-bolagens valutaexponering

Hult, Felix LU ; Rahideh, Mahdi LU and Rosdahl, André LU (2023) FEKH89 20231
Department of Business Administration
Abstract
Title: The Foreign Exchange Risk of the Stockholm Stock Exchange, a Quantitative Analysis
of the Foreign Exchange Risk Exposure of OMXS30-Firms.
Seminar date: 1 June 2023.
Course: FEKH89, Bachelor’s Thesis in Corporate Finance.
Authors: Felix Hult, Mahdi Rahideh & André Rosdahl.
Advisor: Göran Andersson.
Key words: Foreign exchange risk, Foreign exchange exposure, OMXS30, stock return, hedging.
Research question: 1. Does foreign exchange rate movements affect the equity value of OMXS30 companies? 2. Is it possible to observe any similarities/differences in the exposure between the studied firms?
Purpose: By using quantitative methods, measure the foreign exchange risk exposure of the 30 most traded companies on the Stockholm stock... (More)
Title: The Foreign Exchange Risk of the Stockholm Stock Exchange, a Quantitative Analysis
of the Foreign Exchange Risk Exposure of OMXS30-Firms.
Seminar date: 1 June 2023.
Course: FEKH89, Bachelor’s Thesis in Corporate Finance.
Authors: Felix Hult, Mahdi Rahideh & André Rosdahl.
Advisor: Göran Andersson.
Key words: Foreign exchange risk, Foreign exchange exposure, OMXS30, stock return, hedging.
Research question: 1. Does foreign exchange rate movements affect the equity value of OMXS30 companies? 2. Is it possible to observe any similarities/differences in the exposure between the studied firms?
Purpose: By using quantitative methods, measure the foreign exchange risk exposure of the 30 most traded companies on the Stockholm stock exchange.
Methodology: This study employs two different linear time-series regression models over a ten-year period for each of the selected companies, using monthly contemporaneous observations with the companies’ stock returns as the dependent variable and movements in foreign exchange rates or a trade-weighted foreign exchange index as independent variables.
Theoretical perspectives: This study uses previous literature in foreign exchange exposure as well as theoretical models that describes the relationship between exchange rate movements and stock prices.
Result: We find statistically significant evidence for foreign exchange risk exposure for a portion of the studied firms, both against a trade-weighted foreign exchange rate index as well as against individual exchange rates. The results also show that a big majority of the significantly exposed firms are positively affected by a depreciation of the Swedish krona, and that non-financial and financial firms differ in their exposure patterns based on what regression model is used.
Conclusion: The results suggest that there is an exposure puzzle present in Sweden as well, that cannot be explained in full by the chosen theoretical models. This study adds to the previous literature in this area and provides a piece to what academics in this field usually refers to as the exposure puzzle. (Less)
Abstract (Swedish)
Titel: Valutarisken inom Stockholmsbörsen, en kvantitativ undersökning av OMXS30-
bolagens valutaexponering.
Seminariedatum: 1 juni 2023.
Ämne/kurs: FEKH89, Examensarbete i finansiering på kandidatnivå. Författare: Felix Hult, Mahdi Rahideh & André Rosdahl.
Handledare: Göran Andersson.
Nyckelord: Valutarisk, valutaexponering, OMXS30, aktieavkastning, hedging.
Forskningsfråga: 1. Påverkas värdet på OMXS30-företagens noterade aktiekapital vid växelkursrörelser? 2. Går det att observera skillnader/likheter i företagens valutariskexponering?
Syfte: Kvantitativt undersöka valutaexponeringen för de trettio mest omsatta bolagen på Stockholmsbörsen.
Metod: En kvantitativ studie där två tidsseriebaserade regressionsmodeller används för... (More)
Titel: Valutarisken inom Stockholmsbörsen, en kvantitativ undersökning av OMXS30-
bolagens valutaexponering.
Seminariedatum: 1 juni 2023.
Ämne/kurs: FEKH89, Examensarbete i finansiering på kandidatnivå. Författare: Felix Hult, Mahdi Rahideh & André Rosdahl.
Handledare: Göran Andersson.
Nyckelord: Valutarisk, valutaexponering, OMXS30, aktieavkastning, hedging.
Forskningsfråga: 1. Påverkas värdet på OMXS30-företagens noterade aktiekapital vid växelkursrörelser? 2. Går det att observera skillnader/likheter i företagens valutariskexponering?
Syfte: Kvantitativt undersöka valutaexponeringen för de trettio mest omsatta bolagen på Stockholmsbörsen.
Metod: En kvantitativ studie där två tidsseriebaserade regressionsmodeller används för varje bolag under en tioårsperiod med månadsvisa observationer. Detta med aktieavkastning som beroende variabel och valutakurs eller valutaindex som oberoende variabler.
Teoretiskt perspektiv: Studiens deduktiva ansats tar utgångspunkt i tidigare litteratur inom ämnet valutaexponering och teorier som försöker förklarar sambandet mellan växelkursrörelser och aktiepriser.
Resultat: En betydande andel av de undersökta bolagen uppvisar signifikant exponering mot valutakursrörelser, både vid användandet av ett värdeviktad valutaindex och vid användandet av enskilda växelkurser. Majoriteten av bolagen uppvisar positiv aktieavkastning vid depreciering av SEK och att finansiella samt icke-finansiella företag skiljer sig i deras valutaexponering baserat på vilken modell som används.
Slutsats: Studien finner bevis för att det även finns ett exponeringspussel i Sverige som inte kan förklaras till fullo av valda finansiella teorier. En anledning kan vara att de studerade företagen effektivt hedgar sig mot valutarisk. Studien bidrar till en pusselbit i vad akademiker i detta ämne brukar kalla för exponeringspusslet. (Less)
Please use this url to cite or link to this publication:
author
Hult, Felix LU ; Rahideh, Mahdi LU and Rosdahl, André LU
supervisor
organization
course
FEKH89 20231
year
type
M2 - Bachelor Degree
subject
keywords
currency exposure, currency risk, hedging, KIX, OMXS30
language
Swedish
id
9129087
date added to LUP
2023-07-04 14:08:17
date last changed
2023-07-04 14:08:17
@misc{9129087,
  abstract     = {{Title: The Foreign Exchange Risk of the Stockholm Stock Exchange, a Quantitative Analysis
of the Foreign Exchange Risk Exposure of OMXS30-Firms.
Seminar date: 1 June 2023.
Course: FEKH89, Bachelor’s Thesis in Corporate Finance.
Authors: Felix Hult, Mahdi Rahideh & André Rosdahl.
Advisor: Göran Andersson.
Key words: Foreign exchange risk, Foreign exchange exposure, OMXS30, stock return, hedging.
Research question: 1. Does foreign exchange rate movements affect the equity value of OMXS30 companies? 2. Is it possible to observe any similarities/differences in the exposure between the studied firms?
Purpose: By using quantitative methods, measure the foreign exchange risk exposure of the 30 most traded companies on the Stockholm stock exchange.
Methodology: This study employs two different linear time-series regression models over a ten-year period for each of the selected companies, using monthly contemporaneous observations with the companies’ stock returns as the dependent variable and movements in foreign exchange rates or a trade-weighted foreign exchange index as independent variables.
Theoretical perspectives: This study uses previous literature in foreign exchange exposure as well as theoretical models that describes the relationship between exchange rate movements and stock prices.
Result: We find statistically significant evidence for foreign exchange risk exposure for a portion of the studied firms, both against a trade-weighted foreign exchange rate index as well as against individual exchange rates. The results also show that a big majority of the significantly exposed firms are positively affected by a depreciation of the Swedish krona, and that non-financial and financial firms differ in their exposure patterns based on what regression model is used.
Conclusion: The results suggest that there is an exposure puzzle present in Sweden as well, that cannot be explained in full by the chosen theoretical models. This study adds to the previous literature in this area and provides a piece to what academics in this field usually refers to as the exposure puzzle.}},
  author       = {{Hult, Felix and Rahideh, Mahdi and Rosdahl, André}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Valutarisken inom Stockholmsbörsen - En kvantitativ undersökning av OMXS30-bolagens valutaexponering}},
  year         = {{2023}},
}