The impact of exchange rate movement on stock return of listed companies in Thailand
Keywords:
Exchange rate exposure, Endogeneity problem , Size effectsAbstract
This research paper aims to study the exchange rate exposure of listed companies in Thailand. The paper covers a sample of 300 non-financial Thai listed companies and the period of examination starts from January 2007 to December 2016. This paper applies not only the Ordinary Least Square (OLS) but also the Generalized Method of Moments (GMM) for estimation to alleviate the endogeneity problem which several previous papers studying the exchange rate exposure in Thailand always omitted this problem. Furthermore, this paper contributes to the solution of firm’s size which has always been the determinant puzzle for previous literature. The results from OLS and GMM estimation are not significantly different and reveal that most Thai companies will have negative impact when Thai Baht depreciates against foreign currencies. Additionally, mid-small companies are mostly affected by the exchange rate fluctuation. Meanwhile, large companies are less affected by the exchange rate fluctuation. Lastly, the stock return of Thai listed companies is mostly affected by the change in Euro.
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