這篇論文檢示了匯率風險在亞洲新興市場的大型和小型投資組合所造成的影響。由於亞洲新興市場股票報酬的非對稱相關和非常態分佈的特性,我將使用馬可夫狀態轉換模型來模擬投資組合報酬的變動。模型中的解釋變數將包括:本國市場風險因子,國際市場風險子和匯率風險因子。經由估計結果,我將觀察小型和大型投資組合是否在不同的市場狀態下〈繁榮或蕭條時〉顯示出不同程度的匯率風險。我的研究結果也可以提供在亞洲新興市場投資的風險分散有效建議。 This paper examines the effect of exchange rates risk on small and large cap portfolio returns for a panel of Asian emerging countries. Due to the asymmetric correlation and normality feature, portfolio returns are modeled through Markov regime switching process combining domestic market risk, world market and exchange rate risk factors. From the estimated results, I would like to see if small cap portfolios display different level of exchange risk from large ones across business cycles. It can hence provide us helpful implication in portfolio diversification.