Table 3.
Exchange rate exposure and systematic risk at the industry level based on EGARCH(1,1) model
| Panel A: Before COVID-19 | Panel B: During COVID-19 | Panel C: Full Sample | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Variable | βM | P-value | βEX | P-value | βM | P-value | βEX | P-value | βM | P-value | βEX | P-value |
| Basic Materials | 0.976 | 0.000 | 0.256 | 0.000 | 1.282 | 0.000 | 0.169 | 0.050 | 1.077 | 0.000 | 0.240 | 0.000 |
| Consumer Goods | 0.744 | 0.000 | 0.383 | 0.000 | 0.688 | 0.000 | 0.407 | 0.000 | 0.693 | 0.000 | 0.380 | 0.000 |
| Consumer Services | 0.962 | 0.000 | -0.264 | 0.000 | 0.750 | 0.000 | -0.144 | 0.087 | 0.792 | 0.000 | -0.218 | 0.000 |
| Financials | 0.863 | 0.000 | -0.353 | 0.000 | 1.136 | 0.000 | -0.538 | 0.000 | 0.993 | 0.000 | -0.363 | 0.000 |
| Health Care | 0.904 | 0.000 | -0.046 | 0.593 | 0.696 | 0.000 | -0.108 | 0.384 | 0.870 | 0.000 | -0.095 | 0.203 |
| Industrials | 0.805 | 0.000 | -0.291 | 0.000 | 0.802 | 0.000 | -0.475 | 0.000 | 0.800 | 0.000 | -0.327 | 0.000 |
| Technology | 1.266 | 0.000 | -0.124 | 0.116 | 0.729 | 0.000 | 0.260 | 0.030 | 1.175 | 0.000 | 0.034 | 0.609 |
| Telecommunications | 0.977 | 0.000 | 0.044 | 0.621 | 1.070 | 0.000 | -0.229 | 0.139 | 1.028 | 0.000 | -0.161 | 0.008 |
This table reports estimates of the systematic risk and exchange rate exposure coefficients obtained from the EGARCH(1,1) specification of the three-factor asset pricing model. βEX is the exchange rate exposure coefficient derived from projecting exchange rate returns on the three factors, namely market returns (RM), short-term interest rate (SR), and oil price returns (OIL). FEX is the exchange rate component that is orthogonal to the three factors. Panels A, B, and C focus on the period before COVID-19, during COVID-19, and the full sample, respectively.