Empirical analysis of the effects of foreign exchange exposure: An evidence from selected publicly-listed firms in the Philippine Stock Exchange

• Main Authors: Almazan, Erin Larissa C., Caliboso, Marie Janelle G., Eseque, Smantha Reuth E., Tigas, Maria Vir Lucille C.
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Foreign exchange rates > Philippines; Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18402
• Institution: De La Salle University

The establishment of the relationship of the foreign exchange exposure and stock returns is an on-going review as economies open to trade, transfer of investments and technology become copious, and as information becomes available in the market. There are a vast number of studies that have been conducted in developed economies, and only a few are in the Philippine perspectives. Thus, the proponents of this study are challenged to contribute to the empirical body of knowledge where the researchers performed a case analysis on the effects of foreign exchange exposure on the stock returns of publicly listed companies and also sector returns in the Philippine Stock Exchange. The primary purpose of this paper is to ascertain effects of foreign exchange exposure on the stock returns of publicly listed companies, which are categorized into four sectors in the Philippine Stock Exchange, namely financial, industrial, mining and oil and property sectors. The research incoporated the foreign currencies: U.S. dollars, Chinese yuan, Singapore dollars and Japanese yen for a period of 10 years from 1999-2008 mainly because these currency denominations are the most transacted with the Philippine peso. The methodology that is adopted in this paper is a regression analysis wherein the exchange rates and the market return are the controlled variables. In the estimation of the parameters, the proponents further analyzed which currency has the highest exposure vis-a-vis the Philippine peso and why and which sector is the most exposed to the foreign exchange.