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Foreign exchange rate exposure of an emerging market: the case of Indonesia

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dc.contributor.authorBaharom Abdul Hamid
dc.contributor.authorMansor H. Ibrahim
dc.date.accessioned2016-07-25T20:05:50Z
dc.date.available2016-07-25T20:05:50Z
dc.date.issued2012
dc.description.abstractThe paper examines the exchange rate exposure of the Indonesian national market, the Indonesia Stock Exchange, for the 1988-2009 period using an EGARCH(1, 1) model. The evidence indicates negative exposure of the Indonesian market to variations in the rupiah-dollar exchange rate. Moreover, applying a rolling regression technique, the exposure is found to be more negative in recent years. Thus, the rupiah-dollar depreciation tends to have an adverse impact on the Indonesian market. These results seem to be robust across specifications of the mean equation. Finally, our exploratory exercises indicate the potential importance of current account and financial variables particularly current account balance, financial account balance, financial development, and financial openness in explaining changing exchange rate exposure. However, their relations with the exposure seem intriguing and may be more complex than we thought.
dc.identifier.citationAbdul Hamid, B., & Ibrahim, M. H. (2012). Foreign exchange rate exposure of an emerging market: the case of Indonesia. Taylor Business Review, 1(1), 45-54.
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1446
dc.languageEnglish
dc.language.isoeng
dc.publisherTaylor's University
dc.rights2011. Taylor's University
dc.sourceCRP
dc.subjectExchange rate exposure
dc.subjectIndonesia Stock Exchange
dc.subjectRolling regressions
dc.subjectEGARCH
dc.titleForeign exchange rate exposure of an emerging market: the case of Indonesia
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicCapital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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