TY - JOUR
T1 - Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic
AU - Iyke, Bernard Njindan
AU - Ho, Sin-Yu
N1 - Funding Information:
This paper was presented at the Finance Research Letters Virtual Workshop on ?Finance and Development in Africa? on 08 December 2020. We thank Samuel Vigne (Editor in Chief), Babacar S?ne (Convenor and Guest Editor), and the participants for valuable comments. We also thank the referee for valuable comments and suggestions.
Publisher Copyright:
© 2021
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2021/11
Y1 - 2021/11
N2 - 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.
AB - 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.
KW - Coronavirus
KW - COVID-19
KW - Exchange rate exposure
KW - Pandemic
KW - Risk
KW - Stock market
UR - https://www.scopus.com/pages/publications/85102271549
U2 - 10.1016/j.frl.2021.102000
DO - 10.1016/j.frl.2021.102000
M3 - Article
C2 - 34812255
AN - SCOPUS:85102271549
SN - 1544-6123
VL - 43
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 102000
ER -