ARTICLE

THE RISK OF FOREIGN EXCHANGE EXPOSURE OF STOCK RETURNS CONCERNING NONFINANCIAL LISTED FIRMS

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09 Pages : 105-125

http://dx.doi.org/10.31703/ger.2021(VI-I).09      10.31703/ger.2021(VI-I).09      Published : Mar 2021

The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms

Abstract

    The foreign exchange rate fluctuations do create an impact on stock returns, which has been investigated for non-financial listed Pakistani firms. The real effective exchange rate has been used as the true measure of foreign exchange exposure. The modelled econometric equation includes; firm size, firm liquidity, money supply and inflation as predictors of stock returns. Twenty-five non-financial listed firms have been evaluated for the study period 2004 to 2013, which signifies the military regime era proceeded by peoples party rule in Pakistan. Financial data analysis, including; ADF unit root and Johansen Co-integration tests, have been applied to evaluate financial data, which further led to correlation, descriptive stats and panel data regression analysis. The results have suggested a very weak relationship between stock returns and foreign exchange exposure. Therefore, sample non-financial listed firms have not been foreign exchange exposed; however, firm size, liquidity, money supply and inflation rates have definitely created an impact on stock returns.

    REER, Stock Returns, Firm Size, Liquidity, Money Supply, Inflation Rate

    (1) Syed Muhammad Ali Tirmizi
    Associate Professor, Department of Business Administration, Faculty of Management Sciences, Foundation University Islamabad, Pakistan.
    (2) Muhammad Jawad Haider
    PhD Scholar, Faculty of Management Sciences, International Islamic University Islamabad, Pakistan.
    (3) Shahab Ud Din
    Assistant Professor, Department of Business Management, Karakoram International University, Ghizer Campus, Gilgit-Baltistan, Pakistan.
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Cite this article

APA

    APA : Tirmizi, S. M. A., Haider, M. J., & Din, S. U. (2021). The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms. Global Economics Review, VI(I), 105-125. https://doi.org/10.31703/ger.2021(VI-I).09

CHICAGO

    CHICAGO : Tirmizi, Syed Muhammad Ali, Muhammad Jawad Haider, and Shahab Ud Din. 2021. "The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms." Global Economics Review, VI (I): 105-125 doi: 10.31703/ger.2021(VI-I).09

HARVARD

    HARVARD : TIRMIZI, S. M. A., HAIDER, M. J. & DIN, S. U. 2021. The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms. Global Economics Review, VI, 105-125.

MHRA

    MHRA : Tirmizi, Syed Muhammad Ali, Muhammad Jawad Haider, and Shahab Ud Din. 2021. "The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms." Global Economics Review, VI: 105-125

MLA

    MLA : Tirmizi, Syed Muhammad Ali, Muhammad Jawad Haider, and Shahab Ud Din. "The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms." Global Economics Review, VI.I (2021): 105-125 Print.

OXFORD

    OXFORD : Tirmizi, Syed Muhammad Ali, Haider, Muhammad Jawad, and Din, Shahab Ud (2021), "The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms", Global Economics Review, VI (I), 105-125

TURABIAN

    TURABIAN : Tirmizi, Syed Muhammad Ali, Muhammad Jawad Haider, and Shahab Ud Din. "The Risk of Foreign Exchange Exposure of Stock Returns Concerning Non-Financial Listed Firms." Global Economics Review VI, no. I (2021): 105-125. https://doi.org/10.31703/ger.2021(VI-I).09