A Study of the Effects of Exchange Rates on the Stock Companies in the Petrochemical Industry of the Eurozone

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F20%3AA0000160" target="_blank" >RIV/47813059:19520/20:A0000160 - isvavai.cz</a>

Výsledek na webu

<a href="https://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=346884" target="_blank" >https://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=346884</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.15179/ces.22.1.4" target="_blank" >10.15179/ces.22.1.4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A Study of the Effects of Exchange Rates on the Stock Companies in the Petrochemical Industry of the Eurozone

Popis výsledku v původním jazyce

Considering the importance of the petrochemical industry as one of the strategic sectors in the eurozone economy, this study aims to evaluate the relationship between exchange rate fluctuations and stock market prices in the eurozone petrochemical industry. This paper applies Jorion’s model and panel regression framework to monthly data spanning from 2002 to 2018. Panel regressions were estimated for three periods: the whole sample, the period before the financial crisis, and the period after the crisis. These divisions allowed for the testing of the persistence of exchange rate exposure in the petrochemical sector over time. This paper provides evidence of the magnitude of the impact of exchange rate shocks. Additionally, this paper shows that the petrochemical sector of the eurozone was exposed to significant exchange rate risk at the 1 percent level during the whole sample period and that this exposure was still present even after we split the test period into the precrisis and postcrisis datasets. However, foreign exchange rate exposure increased after the start of the financial crisis in 2008. The negative coefficient of the variable representing exposure suggests that the depreciation of the euro was followed by an increase in the stock returns of the petrochemical companies in the eurozone.

Název v anglickém jazyce

A Study of the Effects of Exchange Rates on the Stock Companies in the Petrochemical Industry of the Eurozone

Popis výsledku anglicky

Considering the importance of the petrochemical industry as one of the strategic sectors in the eurozone economy, this study aims to evaluate the relationship between exchange rate fluctuations and stock market prices in the eurozone petrochemical industry. This paper applies Jorion’s model and panel regression framework to monthly data spanning from 2002 to 2018. Panel regressions were estimated for three periods: the whole sample, the period before the financial crisis, and the period after the crisis. These divisions allowed for the testing of the persistence of exchange rate exposure in the petrochemical sector over time. This paper provides evidence of the magnitude of the impact of exchange rate shocks. Additionally, this paper shows that the petrochemical sector of the eurozone was exposed to significant exchange rate risk at the 1 percent level during the whole sample period and that this exposure was still present even after we split the test period into the precrisis and postcrisis datasets. However, foreign exchange rate exposure increased after the start of the financial crisis in 2008. The negative coefficient of the variable representing exposure suggests that the depreciation of the euro was followed by an increase in the stock returns of the petrochemical companies in the eurozone.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Croatian Economic Survey

ISSN

1330-4860

e-ISSN

1846-3878

Svazek periodika

22

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

HR - Chorvatská republika

Počet stran výsledku

20

Strana od-do

103-122

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85090717635