Table 1.

The exposure of industry stock returns to exchange rates and other variables

(1)	(2)	(3)	(4)	(5)
Sector	Exchange rate beta	Indonesian market beta	Crude oil beta	U.S. market beta
Real estate holding and dev.	0.695*	1.46***	− 0.208*	− 0.147
	(0.376)	(0.242)	(0.117)	(0.439)
Real estate	0.694*	1.46***	− 0.208*	− 0.149
	(0.377)	(0.242)	(0.117)	(0.439)
Real estate investment services	0.693*	1.46***	− 0.209*	− 0.142
	(0.376)	(0.243)	(0.118)	(0.440)
Brewers	0.414*	0.159	0.137	0.125
	(0.233)	(0.103)	(0.089)	(0.194)
Beverages	0.414*	0.159	0.137	0.125
	(0.233)	(0.103)	(0.089)	(0.194)
Tobacco	0.349**	0.962***	− 0.075	− 0.280**
	(0.176)	(0.096)	(0.061)	(0.132)
Personal and household goods	0.244**	0.792***	− 0.093	− 0.248
	(0.125)	(0.082)	(0.046)	(0.090)
Consumer staples	0.193**	0.942***	− 0.0457	− 0.283
	(0.093)	(0.057)	(0.040)	(0.080)
Financial	− 0.260**	0.997***	− 0.033	0.092
	(0.105)	(0.071)	(0.047)	(0.076)
Banks	− 0.294**	0.997***	− 0.0300	0.097
	(0.112)	(0.079)	(0.050)	(0.086)
Construction and materials	− 0.313**	0.984***	− 0.038	− 0.110
	(0.136)	(0.096)	(0.051)	(0.106)
Building materials fixtures	− 0.334**	0.984***	− 0.037	− 0.127
	(0.149)	(0.099)	(0.055)	(0.110)
Mortgage finance	− 0.944**	1.36***	− 0.054	0.000
	(0.455)	(0.252)	(0.079)	(0.304)

The table reports the results from regressing industry stock returns on the rupiah/dollar exchange rate (column 2), the return on the Indonesian aggregate stock market (column 3), the log change in the price of West Texas Intermediate crude oil (column 4), and the return on the aggregate U.S. market (column 5). Heteroscedasticity and autocorrelation consistent standard errors are in parentheses