Exchange Rate Exposure and Asian Financial Crisis

• Main Authors: Shu-Mei Huang, 黃淑梅
• Other Authors: Keng-Yu Ho
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/25973487198300957518

碩士 === 國立中央大學 === 財務金融研究所 === 93 === The purpose of this paper is to examine the exchange rate exposure of industry portfolios in Indonesia, Korea and Thailand before and after the Asian crisis. We follow the methodology suggested by Adler and Dumas (1983), and our study period is from July 1989 to June 2004. We find that industry portfolios in all three countries show significant exposure coefficients to exchange rate fluctuations when considering the potential correlations between the market returns and the changes in exchange rates. In addition, the exchange rate regimes and distinct economic events such as the currency crisis have significant influences on most industry sectors in these countries. Finally, the empirical results show that some industry sectors are affected by the Asian financial crisis.