Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

การศึกษาความสัมพันธ์ระหว่างความเสี่ยงทางอัตราแลกเปลี่ยนและผลตอบแทนของหุ้น - หลักฐานจากประชาคมเศรษฐกิจอาเซียน

Year (A.D.)


Document Type

Independent Study

First Advisor

Boonlert Jitmaneeroj


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, as the value of such return varies across countries, it means investors who is risk averse should require a compensation.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.