Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic

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We examine the nature of exchange rate exposure before and during the COVID-19 pandemic. Using a multifactor arbitrage pricing model and daily data from South Africa, we show that, as compared with sectors, industries have been more exposed to the exchange rate risk during than before the pandemic. We further show that exchange rate exposure mostly hurts the sectors and industries, although a few sectors, such as beverages, mining, personal goods, and tobacco, and industries, such as basic materials, consumer goods, and technology, may benefit from it. Our estimates survived robustness checks.

Original languageEnglish
Article number102000
Number of pages9
JournalFinance Research Letters
Publication statusAccepted/In press - 2021
Externally publishedYes


  • Coronavirus
  • COVID-19
  • Exchange rate exposure
  • Pandemic
  • Risk
  • Stock market

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