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To certify how the exchange rate changes effect on firm’s stock returns in different industry. Some studies focused on the industry level. Fang and Loo (1994) examined the relations about 20 U.S. industries common stock returns and its trade-weighted exchange rate during the period 1981 to 1990. At the beginning, they found that heavy industries, such as the mining, food and beverage, chemical, petroleum, and utilities obtained positive which based on the U.S. dollar decreased and the vice versa. However, light industries such as textile and apparel, department stores, other retail trade, banking and finance and real estate got negative from the depreciation of the US dollars and vice versa. To sum up, exchange rate exposure could affect on the light industries positive, which the heavy industries exactly opposite. In recent year, Chen et al. (2002) investigated the relationship between the foreign exchange rate risk and the US industries value. They found during the period 1990 to 1994, the proprietary firms had the negative exchange rate. However, from 1995 to 1999, it became to positive changes. The result suggested that there is an appreciating US dollar affects the firms’ stock return. Kiymaz (2003) investigated multinationals foreign exchange rate exposure on the Istanbul Stock Return (ISR) from 109 Turkish firms during the period 1991 to 1998. He found there were around 62 of the 109 firms had a significant correlation between exchange rate fluctuations and the value of the companies by using the residual market index. The study also reported that most Turkish industries had a highly negative exposure to the foreign exchange risks and the stock return which included textile, machinery, chemical and financial industries and they explained that the consequences of exchange rate exposures are significant different in different industrial sectors. To the end of the literature review, there are some empirical of the UK non-financial firms’ and the exchange rate exposure samples. Donnelly and Sheehy (1996) in their research paper argued the abnormal stock returns effect of the trade-weighted exchange rate movements. It based on a sample of 39 UK largest exporting firms with foreign sales at least 40% during the period 1978 to 1992. The study found there are negative effects between the foreign exchange rate and the stock returns of UK largest exporter. Joseph (2002) study by using two different variables which are exchange rate and interest rate to determine the effect of exchange rate movements and interest rate movements the UK industries (Chemical, electrical, engineering and pharmaceutical) during the period 1998 to 2000. He found the foreign exchange rate changes and the movements of interest rate would affect industries stock return. Because of more detailed verification, Rees and Unni (2005) investigated that UK, France and Germany, the large firms with exchange rate exposure during pre-euro period. However, the sensitive of exchange rate is considered stronger than antecedent. |
