Effect of exchange rate toward U.S multinationals' stock return / Nur Darina Khalid

This study was examined the relationship of Asian exchange rate towards stock return for U.S multinational. The Asian exchange rate consists of Thailand (Baht), Malaysia (Malaysia Ringgit), South Korea (Won) and Indonesia (Rupiah). The exchange rates are quoted to U.S Dollar.
Data was analyzed over 2 windows, first window from July 1997 to August 1998 during Asian financial crisis. Second window, from September 1998 to June 2007 period of after Asian financial crisis.
An issue of current interest is to know whether exchange rate can influence the stock return of U.S multinationals. The paper has been used simple linear regression method to see the relationship between dependent and independent variables. U.S stock return as dependent variable while Asian exchange rate were used as independent variables.
According to the analysis in general, Asian exchange rate statistically significant relationship with stock return of U.S multinational firms during and after Asian financial crisis.