Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212274 
Year of Publication: 
2013
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 34/2013
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper aims to examine the relationship between exchange rate movements and the stock return of firms at different time horizons by employing wavelet analysis. In particular, we use the maximum overlap discrete wavelet transform (MODWT) to decompose the exchange rate movement and the US firm's stock return over the period January 2006 to July 2012. The results reveal that at longer horizons not only does the number of firms which are exposed to exchange rate volatility increase but also the degree of exchange rate exposure increases. What is more, the sensitivity to exchange rate volatility is stronger at longer horizons for importing firms than for exporting firms, which shows an asymmetry in the usage of hedging strategies between importers and exporters.
Subjects: 
Discrete Wavelet analysis
Exchange Rate Volatility
Hedging strategy
JEL: 
C32
F31
F23
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-56-1
Document Type: 
Working Paper

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