환율변동에 따른 주가변동 분석

다국어 초록 (Multilingual Abstract)

This paper examines the foreign exchange exposure of Korea's stock and measures the effectiveness of hedging strategies using the forward exchange contract. This paper uses the sample of Korea's monthly data of stock prices and exchange rates for the period 1986-2001.
Since 1980's the Korea's exchange rate has appreciably changed and the Korea's firms have faced the considerable foreign exchange exposure as the Korea's exchange rate has moved, in particular after the IMF foreign exchange crisis in the end of 1997 and in recent days in year 2001.
Thus this paper examines empirically the foreign exchange exposure of Korea's stock when the Korean won values of U.S. dollar and Japanese yen move, and then analyzes the decrease of exchange rate exposures which can be generated by hedging strategies such as the forward exchange contracts. In summary, this paper finds the followings:
Firstly, there has been the sizable foreign exchange exposure of Korea's stock when the Korean won values of U.S dollar and Japanese yen move. Secondly, when the Korean won value of U.S dollar rises and Korean won value of Japanese yen declines, Korea's Stock Index rises and return rate of it declines.
Thirdly, the forward exchange contracts may decrease the losses of foreign exchange exposures of Korea's stock when the Korean won values of U.S. dollar and Japanese yen move.