Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128360
Authors: 
Girma, Sourafel
Lancheros, Sandra
Riaño, Alejandro
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5650
Abstract: 
This paper uses high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010 to show that a greater reliance on foreign market sales increases the conditional volatility of firms’ stock returns. The two margins of global engagement we consider, namely, exports and sales via foreign affiliates, have both a positive and economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates has a stronger effect on volatility than a similar change in firms’ export intensity. We also uncover evidence consistent with the notion that firms’ need to use external finance to cover the substantial costs involved in reaching foreign consumers is an important channel through which firms’ participation in international markets increases their exposure to economic uncertainty.
Subjects: 
volatility
stock returns
exports
FDI
external finance dependence
Japan
JEL: 
F36
F14
F23
G10
Document Type: 
Working Paper

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