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Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic
We examine the nature of exchange rate exposure before and during the COVID-19 pandemic. Using a multifactor arbitrage pricing model and daily data from South Africa, we show that, as compared with sectors, industries have been more exposed to the exchange rate risk during than before the pandemic....
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8597415/ https://www.ncbi.nlm.nih.gov/pubmed/34812255 http://dx.doi.org/10.1016/j.frl.2021.102000 |