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El-Masry (2006a) declared the foreign exchange rate change has a significant effect on UK industries stock returns. He confirmed 364 UK non-financial firms in 20 different industries from January 1981 to December 2001.In the processing of the research, El-Masry measured important economic variable reflect by both trade-weighted nominal exchange rates and real exchange rates would affect on the industries’ stock returns. More empirical studies showed up to 65 per cent (13 of 20) of industries have positive exchange rate exposure coefficients. That means most of industries would benefit from the appreciation of the UK sterling. In a word, he affirmed that both of the contemporaneous and lagged exchange rate fluctuations are significant to exposure. El-Masry et al. (2007) used different exchange rate measures which focus on an equally weighted exchange rate to examine the relationship between exchange rate exposure and UK non-financial firms’ value. He found a sample of 364 UK non-financial companies during the period 1981-2001. Based on the measurements in nominal and real terms, the study explores the movement of foreign exchange rates. El-Masry found the trade-weighted real exchange rates changes had more significant influences on firm’s equity returns. In addition, the result also showed that the significant exchange rate exposure existed high proportion positive coefficients among firms, exhibiting the higher proportion of UK firms could benefit from the appreciation of sterling. However, Makar and Huffman (2008) investigation consisted of 44 UK multinational firms during the period 1999 to 2002. They examined the relation between firms’ stock return and exchange rate movements by using latterly UK annual report exposures to take a firm-specific approach. The study found there was significant foreign exchange rate exposure in more firms. This result used of financial currency-hedge techniques to reduce the currency risk associated with change in the bilateral exchange rate to which they are most exposed. What is more, they also verified that with the increasing of return horizon, the significant exposure to principal currencies increases. Conclusion |
