Abstract
This paper explores the firm level exchange rate exposure of information technology (IT) and the fastmoving consumer goods (FMCG) sectors using Capital market approach to measure firm level Foreign Exchange Exposure (FXE) with the monthly stock returns of constituent firms of the two sectoral indices from the Bombay Stock Exchange. The return on 6-currency trade weighted Real Effective Exchange Rate (REER) and the monthly returns on the respective sectoral indices from Jan 2006 to Dec2017 are used as independent variables. A study of the average exposures of the two industries were found to range between -1.69 to 2.97 with the IT firms having more volatility in the exposure rates than the FMCG firms. The results indicate that exposure of all firms within their respective sectors move in uniform direction during the study period. The tests of equality and ANOVA analysis reveal that there is strong equality in the mean and variance of exchange rate exposure of the firms in the two industrial sectors studied.
| Original language | English |
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| Pages (from-to) | 257-262 |
| Number of pages | 6 |
| Journal | International Journal of Advanced Scientific Research and Management |
| Volume | 3 |
| Issue number | 7 |
| Publication status | Published - Jul 2018 |