Global engagement and returns volatility
This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. The two margins of global engagement we consider, namely, exports and sales via f...
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| Format: | Article |
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Wiley
2016
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| Online Access: | https://eprints.nottingham.ac.uk/34104/ |
| _version_ | 1848794775558291456 |
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| author | Girma, Sourafel Lancheros, Sandra Riaño, Alejandro |
| author_facet | Girma, Sourafel Lancheros, Sandra Riaño, Alejandro |
| author_sort | Girma, Sourafel |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. The two margins of global engagement we consider, namely, exports and sales via foreign affiliates (horizontal FDI), have both a positive and economically significant effect on firm-level volatility. We find, however, that increasing the intensity of sales through foreign affiliates has a stronger effect on volatility than a similar change in export intensity. We also uncover evidence consistent with the notion that firms’ need to use external finance to cover the substantial costs involved in reaching foreign consumers can be an important channel through which firms’ participation in international markets increases their exposure to economic uncertainty. |
| first_indexed | 2025-11-14T19:21:33Z |
| format | Article |
| id | nottingham-34104 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:21:33Z |
| publishDate | 2016 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-341042020-05-04T18:03:09Z https://eprints.nottingham.ac.uk/34104/ Global engagement and returns volatility Girma, Sourafel Lancheros, Sandra Riaño, Alejandro This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. The two margins of global engagement we consider, namely, exports and sales via foreign affiliates (horizontal FDI), have both a positive and economically significant effect on firm-level volatility. We find, however, that increasing the intensity of sales through foreign affiliates has a stronger effect on volatility than a similar change in export intensity. We also uncover evidence consistent with the notion that firms’ need to use external finance to cover the substantial costs involved in reaching foreign consumers can be an important channel through which firms’ participation in international markets increases their exposure to economic uncertainty. Wiley 2016-07-06 Article PeerReviewed Girma, Sourafel, Lancheros, Sandra and Riaño, Alejandro (2016) Global engagement and returns volatility. Oxford Bulletin of Economics and Statistics, 78 (6). pp. 814-833. ISSN 1468-0084 Volatility Stock Returns Exports FDI External Finance Dependence Japan. http://onlinelibrary.wiley.com/doi/10.1111/obes.12150/abstract;jsessionid=8304FFAB83E6DDC91FEB642A06405D47.f01t01 doi:10.1111/obes.12150 doi:10.1111/obes.12150 |
| spellingShingle | Volatility Stock Returns Exports FDI External Finance Dependence Japan. Girma, Sourafel Lancheros, Sandra Riaño, Alejandro Global engagement and returns volatility |
| title | Global engagement and returns volatility |
| title_full | Global engagement and returns volatility |
| title_fullStr | Global engagement and returns volatility |
| title_full_unstemmed | Global engagement and returns volatility |
| title_short | Global engagement and returns volatility |
| title_sort | global engagement and returns volatility |
| topic | Volatility Stock Returns Exports FDI External Finance Dependence Japan. |
| url | https://eprints.nottingham.ac.uk/34104/ https://eprints.nottingham.ac.uk/34104/ https://eprints.nottingham.ac.uk/34104/ |