For this paper, I use the ARIMA model to study the relationship between business performance and exchange rate fluctuations. Through this model, the empirical results shows that the influences of foreign exchange rate fluctuations on the tourist hotel business performance are significant and different across currencies and firms. Furthermore, according to the framework of Kim (2013) we employ the modern portfolio theory proposed by Markowitz (1952) to give an optimal foreign exchange allocation for each tourist hotel company's financial decision-makers, which will avoid the risk of exchange rate fluctuations expose and reduce losses due to the fluctuations of exchange rates, and complete the construction of enterprise risk management system (ERM).

Article HistoryThis paper adopts ARIMA model to explore the relationship between business performance and the fluctuation of exchange rate. The empirical results show that the impacts of the fluctuation of foreign exchange rate on the corporate performance of tourism industry are significant and different across currencies and the size of a tourism company. Furthermore, based on the framework of Kim (2013) , a modern portfolio theory proposed by Markowitz (1952) gives an optimal allocation of foreign exchange for a firm's decision-makers, which would avoid exchange rate risk exposure and thus complete the construction of enterprise risk management system (ERM) to reduce losses.Contribution/ Originality: This study contributes in the existing literature for an empirically study to form a firm-level foreign currencies portfolio which are selected by the factors that have effect on the company's financial performances and then to reduce the foreign exchange exposures.

This paper adopts ARIMA model to explore the relationship between business performance and the fluctuation of exchange rate. The empirical results show that the impacts of the fluctuation of foreign exchange rate on the business performance of hotels are significant and different across currencies and the size of a hotel. Furthermore, based on the framework of Kim (2013), a modern portfolio theory proposed by Markowitz (1952) gives an optimal allocation of foreign exchange for a hotel's decision-makers, who would avoid exchange rate risk exposure and complete the construction of enterprise risk management system (ERM) to reduce losses.