| Summary: | 碩士 === 國立中興大學 === 財務金融學系 === 93 === This paper systematically examines the important of exchange rate exposure and industrial competition for stock return in various Asian and developing countries. However the result suggested the exchange rate shocks have an almost negligible impact on the value of industries worldwide and common shocks to industries across countries are more important than competitive shocks due to changes in exchange rates. Therefore, we extend our research to industrial characteristics and industrial structure factors. First, by adding the fluctuation of the exchange rate and differences in industrial operation to the market model of industry portfolio returns, we measure the degree of exposure and find that industrial structure is a relevant determinant of exchange rate exposure and competitive industries. Second, we classify our sample industries into individual consumer-oriented group vs. institutional consumer-oriented group and competitive vs. oligopolistic group and find the result corresponds to our hypotheses about the relation between exchange rate exposure and industrial structure. The first is that the industries within an individual consumer-oriented industry group should be more sensitive to exchange rate changes than those in institutionally oriented industry group. Another hypothesis is that the competitive industries should be more deeply exposed to exchange rate than oligopolistic industries.
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