3,180
Views
12
CrossRef citations to date
0
Altmetric
Research letters

Time-varying foreign currency risk of world tourism industry: effects of COVID-19

Pages 887-891 | Received 31 Jul 2020, Accepted 18 Dec 2020, Published online: 05 Jan 2021

References

  • Adler, M., & Dumas, B. (1984). Exposure to currency risk: Definition and measurement. Financial Management, 13(2), 41–50. https://doi.org/10.2307/3665446
  • Aquino, R. Q. (2005). Exchange rate risk and Philippine stock returns: Before and after the Asian financial crisis. Applied Financial Economics, 15(11), 765–771. https://doi.org/10.1080/09603100500107784
  • Bartov, E., & Bodnar, G. M. (1994). Firm valuation, earnings expectations, and the exchange-rate exposure effect. The Journal of Finance, 49(5), 1755–1785. https://doi.org/10.1111/j.1540-6261.1994.tb04780.x
  • Brooks, C. (2019). Introductory econometrics for finance (4th ed.). Cambridge University Press.
  • Choi, J. J., & Prasad, A. I. (1995). Exchange risk sensitivity and its determinants: A firm and industry analysis of U.S. multinationals. Financial Management, 24(3), 77–88. https://doi.org/10.2307/3665559
  • Chue, T. K., & Cook, D. (2008). Emerging market exchange rate exposure. Journal of Banking and Finance, 32(7), 1349–1362. https://doi.org/10.1016/j.jbankfin.2007.11.005
  • Dominguez, K. M., & Tesar, L. L. (2006). Exchange rate exposure. Journal of International Economics, 68(1), 188–218. https://doi.org/10.1016/j.jinteco.2005.01.002
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1008. https://doi.org/10.2307/1912773
  • He, J., & Ng, L. K. (1998). The foreign exchange exposure of Japanese multinational corporations. The Journal of Finance, 53(2), 733–753. https://doi.org/10.1111/0022-1082.295575
  • Hutson, E., Laing, E., & Ye, M. (2019). Mutual fund ownership and foreign exchange risk in Chinese firms. Journal of International Financial Markets, Institutions and Money, 60, 169–192. https://doi.org/10.1016/j.intfin.2018.12.012
  • Jorion, P. (1990). The exchange-rate exposure of U.S. multinationals. The Journal of Business, 63(3), 331–345. https://doi.org/10.1086/296510
  • Loudon, G. (1993). The foreign exchange operating exposure of Australian stocks. Accounting and Finance, 33(1), 19–32. https://doi.org/10.1111/j.1467-629X.1993.tb00191.x
  • Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. https://doi.org/10.2307/1913610
  • Parsley, D. C., & Popper, H. A. (2006). Exchange rate pegs and foreign exchange exposure in east and south east Asia. Journal of International Money and Finance, 25(6), 992–1009. https://doi.org/10.1016/j.jimonfin.2006.07.009
  • Verschoor, W. F. C., & Muller, A. (2007). The Asian crisis exchange risk exposure of US multinationals. Managerial Finance, 33(9), 710–740. https://doi.org/10.1108/03074350710776253
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. https://doi.org/10.2307/1912934

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.