اثر داغ پول و یا مواجهه با نرخ ارز؟ بررسی مواجهه با نرخ ارز صنایع تایوانی

In this study, we use stock index data of various industries in Taiwan from 2001 to 2010 to estimate the exchange rate exposures of these industries under various data frequencies (daily, monthly, and quarterly). We add the effect of hot money on exchange rate exposures and find that significant exchange rate exposures exist for most industries. After including the buy–sell imbalance of foreign investors as a factor, we find that the positive effect of currency value changes on stock returns probably contributes to the concurrent increase in the stock and foreign exchange markets caused by the hot money flowing into Taiwan from foreign investors. We likewise observe a more significant exposure in the lower frequency data. This result indicates that avoiding economic exposure in exchange rate exposures is comparatively more difficult.