Le Manager
Volume 12, Numéro 2, Pages 225-253
2025-12-25
The Impact Of Exchange-rate Volatility On Firm-level Market Capitalization In Emerging Markets: A Pooled Mean-group Ardl Analysis
Authors : Koraiba Abir . Ziet Adel .
Abstract
This paper investigates how exchange rate volatility affects firm-level market capitalization in six emerging markets (Brazil, India, South Africa, Saudi Arabia, Hong Kong, and Qatar, using monthly data from January 2010 to December 2023. It aims to analyze both the long-run and short-run effects. This study models the volatility using GARCH (1,1), and the relationship is estimated with the PMG-ARDL estimator. The results indicate a significant and asymmetric response. Export-oriented firms face initial negative shocks and partially recover in the long run. Conversely, import-dependent firms experience more pronounced and persistent losses. The long-run elasticity for exporters is -0,189, versus -0,351 for importers. The results hold up well against GMM-System checks and other volatility proxies. Policy implications include market development, hedging, and surveillance
Keywords
Exchange Rate Volatility ; Firm Value ; Market Capitalization ; Emerging Markets ; GARCH, PMG-ARDL Estimator.
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