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Analysis on the Relationship between Exchange Rate Movement and Individual Stock Excess Return in Indonesia

초록/요약

In this study, we observe whether the global financial crisis has a significant impact on stock return. We find that the crisis has lowered as well as narrowed the average and the variability of stock return. Then, we examine whether exchange rate movement contributes to stock excess return. Using 30 companies listed on the Indonesia Stock Exchange during 2003-2008, we find that the exchange rate movement had a significant positive effect on the stock excess return. We also find that dividend yield, import ratio, and foreign debt ratio significantly affected the stock excess returns.

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