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The Enterprise Risk Management of Foreign Exchange Exposures: Evidence from Taiwanese Hospitality Industry

Chiu-Ming Hsiao, Wei-Fang Zhang, Chi-Chang Chiu, Jung-Chang Huang and Yu-Ling Huang
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Chiu-Ming Hsiao: Department of Finance, National Yunlin University of Science & Technology Taiwan, Republic of China
Wei-Fang Zhang: Department of Finance, National Yunlin University of Science & Technology Taiwan, Republic of China
Chi-Chang Chiu: Department of Finance, National Yunlin University of Science & Technology Taiwan, Republic of China
Jung-Chang Huang: Department of Finance, National Yunlin University of Science & Technology Taiwan, Republic of China
Yu-Ling Huang: Department of Finance, National Yunlin University of Science & Technology Taiwan, Republic of China

Asian Journal of Economics and Empirical Research, 2017, vol. 4, issue 1, 32-48

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).

Keywords: Foreign exchange exposures; Modern portfolio theory; Enterprise risk management. (search for similar items in EconPapers)
Date: 2017
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