Published
2017-06-12
Issue
Section
Articles
How to Cite
The Enterprise Risk Management of Foreign Exchange Exposures: Evidence from Taiwanese Hospitality Industry
Hsiao, Chiu-Ming
Department of Finance, National Yunlin University of Science & Technology, Taiwan
Zhang, Wei-Fang
Department of Finance, National Yunlin University of Science & Technology, Taiwan
Chiu, Chi-Chang
Department of Finance, National Yunlin University of Science & Technology, Taiwan
Huang, Jung-Chang
Department of Finance, National Yunlin University of Science & Technology, Taiwan
Huang, Yu-Ling
Department of Finance, National Yunlin University of Science & Technology, Taiwan
DOI: https://doi.org/10.20448/journal.501.2017.41.32.48
Keywords: Foreign exchange exposures, Modern portfolio theory, Enterprise risk management.
Abstract
For this paper, I use the ARIMA model to study the relationship between business performance and exchange rate fluctuations. Through this model, the empirical results shows that the influences of foreign exchange rate fluctuations on the tourist hotel business performance are significant and different across currencies and firms. Furthermore, according to the framework of Kim (2013) we employ the modern portfolio theory proposed by Markowitz (1952) to give an optimal foreign exchange allocation for each tourist hotel company's financial decision-makers, which will avoid the risk of exchange rate fluctuations expose and reduce losses due to the fluctuations of exchange rates, and complete the construction of enterprise risk management system (ERM).