匯率風險與亞洲金融風暴之研究

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姓名

黃淑梅(Shu-Mei Huang) 查詢紙本館藏

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財務金融學系

論文名稱

匯率風險與亞洲金融風暴之研究
(Exchange Rate Exposure and Asian Financial Crisis)

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摘要(中)

本論文衡量在亞洲金融風暴前後，印尼、韓國以及泰國產業投資組合的匯率風險。我們利用Adler and Dumas (1983)的模型來進行實證研究，研究樣本期間自1989年7月至2004年6月。結果發現，在考慮市場報酬和匯率改變之間的潛在關係後，三個國家大部分的產業投資組合均呈現出顯著的匯率風險。此外，匯率制度和亞洲金融風暴所導致匯率的改變對三個國家的產業也造成重要的影響。最後，我們的結果顯示亞洲金融風暴的發生對部份產業確實造成衝擊。

摘要(英)

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.

關鍵字(中)

★ 匯率暴露風險
★ 新興市場
★ 亞洲金融風暴

關鍵字(英)

★ Asian financial crisis
★ Emerging market
★ Exchange rate exposure

論文目次

Contents
1. INTRODUCTION………………………………………………………………..1
2. ASIAN CRISES…………………………………………………………………..3
2.1 Indonesia……………………………………………………………………4
2.2 Korea…………………………………………………………………………4
2.3 Thailand………………………………………………………………………4
3. REVIEW OF PRIOR LITERATURE…………………………………………..5
4. DATA AND METHODOLOGY…………………………………………………7
4.1 Data…………………………………………………………………………7
4.2 Methodology……………………………………………………………….8
5. EMPIRICAL RESULTS………………………………………………………12
5.1 Exchange Rate Exposure in the Full Sample Period………………………12
5.1.1 Results from Indonesia……………………………………………12
5.1.2 Results from Korea…………………………………………………13
5.1.3 Results from Thailand……………………………………………14
5.1.4 Summary………………………………………………………….15
5.2 Exchange Rate Exposure and Exchange Rate Regimes…………………….15
5.2.1 Results from Indonesia……………………………………………15
5.2.2 Results from Korea…………………………………………………16
5.2.3 Results from Thailand……………………………………………17
5.2.4 Summary………………………………………………………….17
5.3 Exchange Rate Exposure and the Financial Crisis………………………….18
5.3.1 Results from Indonesia……………………………………………18
5.3.2 Results from Korea…………………………………………………19
5.3.3 Results from Thailand…………………………………………….19
5.3.4 Summary………………………………………………………….20
6. Conclusion……………………………………………………………………….21
REFERENCE……………………………………………………………………….23
APPENDIX…………………………………………………………………………48
Appendix A: Summary of the Main Events in the Asian Financial Crisis………48
Appendix B: Abbreviations of Industry Sector Classification…………………49
Appendix C: Results of Equally Weighted Portfolio Return……………………50

參考文獻

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指導教授

何耕宇(Keng-Yu Ho)

審核日期

2005-6-21

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