Title page for etd-0611113-183052


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URN etd-0611113-183052
Author Jing-xuan Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 5577 times. Download 309 times.
Department Finance
Year 2012
Semester 2
Degree Master
Type of Document
Language English
Title Quantile Regression with Rolling Model Analysis of Exchange Rate Exposure
Date of Defense 2013-06-11
Page Count 65
Keyword
  • Stock return
  • Quantile regression with rolling model
  • Economic sector
  • Exchange rate exposure
  • Asymmetric exchange rate exposure
  • Abstract This paper examines the importance of unexpected CNY/USD exchange rate impacts on S&P 500 stock returns during the period 2002 - 2012 and the asymmetric exchange rate exposure phenomenon in response to currency appreciation and depreciation. More specifically, it investigates of 10 economic sectors’ unexpected risk exposures. We use the rolling regression method to examine the exchange rate movements on stock returns. The results reveal that applying quantile regression with rolling model to detect unexpected exposure overwhelms the traditional static approach and rolling regression with OLS model. Furthermore, there are strong evidences that exchange rate exposure takes into consideration of dynamic and industrial effect, implying that quantile regression capture unexpected impacts more accurately.
    Advisory Committee
  • Shu-Hen Chiang - chair
  • Chun-Ping Chang - co-chair
  • Chien-Chiang Lee - advisor
  • Files
  • etd-0611113-183052.pdf
  • Indicate in-campus at 3 year and off-campus access at 3 year.
    Date of Submission 2013-07-11

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