تأثیر بحران مالی جهانی، نوسانات نرخ ارز و ارزش شرکت
Abstract
1- INTRODUCTION
2- THEORETICAL BACKGROUND AND EMPIRICAL EVIDENCE
3- RESEARCH METHODOLOGY
4- EMPIRICAL RESULTS AND DISCUSSION
5- CONCLUSION
REFERENCES
Abstract
Purpose: This paper examines the presence of exchange rate exposure and its relationship with currency derivatives usage in the dynamic environment of the global financial crisis of 2008.
Design/Methodology/Approach: Using a sample of 624 Indian firms over the period of April 2001 to March 2016, this study investigates the linear and asymmetric exposure by dividing full sample period into different sub-periods around the crisis.
Findings: The evidence presented in the paper suggests that the firms are more exposed to the exchange rate changes since the onset of the financial crisis. However, there is a lack of evidence that the usage of currency derivatives is more effective in reducing exposure during the crisis/post-crisis period as opposed to the pre-crisis period.
Practical Implications: The findings are important to investors and managers for a better understanding of firm behaviours in relation to their risk management policies during the period of external shocks like crisis.
Originality/Value: There is a paucity of research to explore whether the effect of currency derivatives usage on exchange rate exposure varies during external shocks such as crisis periods. The paper provides novel evidence that the effectiveness of derivatives usage in alleviating exposure becomes less during the dynamic environment of crisis.
INTRODUCTION
Financial theory suggests that the cash flows of the firm are sensitive to unanticipated changes in exchange rates (Hekman, 1983, 1985; Shapiro, 1975). The extent to which the value of the firm is affected by unexpected changes in exchange rates is known as exchange rate exposure of a firm (Adler & Dumas, 1984). The examination of exchange exposure is not only important for firms that involve in international transactions but also for domestic firms (Aggarwal & Harper, 2010). In spite of the extensive research, empirical findings are not able to detect the significant relationship between exchange rate changes and firm value. The weak empirical evidence on the relationship between exchange rates and the value of the firm gives rise to the ‘exposure puzzle’ (Bartram & Bodnar, 2007). One of the explanations of this ‘puzzle’ provided by empirical studies is the time varying property of exposure (Al-shboul & Anwar, 2014b, 2014c; Allayannis & Ihrig, 2001; Glaum, Brunner, & Himmel, 2000; Jorion, 1990; Koutmos & Knif, 2002; Williamson, 2001). The exchange rate exposure of firms may change over time due to changes in the level of exports, imports and firms’ competitive situation. The changes in the foreign currency denominated assets, liabilities and hedging activities may also change the exposure of firms over time. Depending upon the firms’ characteristics and the nature of their cash flows, firms may respond differently to the positive and negative changes in exchange rates which might result in the asymmetric exposure. In addition to the firm specific factors, exogenous factors such as exchange rate regime, policy switch and financial crisis may also have a significant impact on the level of exposure.