The factors of the Foreign Exchange Rate Exposure in Taiwan Listed Corporations

• Main Authors: Sheng-Chung Hsiao, 蕭勝全
• Other Authors: Horng-Jinh Chang
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/09412665232565565932

碩士 === 淡江大學 === 管理科學學系 === 88 === In order to examine whether exists any relationship between Taiwan stock returns and fluctuations in foreign exchange rates, we test two factor regressing model and two steps orthogonalize regressing model. The results of this research are as follows： 1. The listed firms in Taiwan have significant foreign exposure. The results indicate that a appreciating Taiwan dollars have a favorable impact on firm’s returns. 2. We also find the lagged exchange-rate changes have explanatory power for current stocks returns. But its effect is different from the contemporaneous. A depreciation of the Taiwan dollars against other foreign currency has a positive impact on lagged stock returns. 3. In contemporaneous exchange-rate fluctuation, the significant exposure is in electric machinery and precision equipment. However, in lagged exchange-rate change, there is not significant exposure in any industry. 4. The extent to which a firm is exposed to exchange-rate fluctuation can be explained by the level of its high export ratios, big firm size, high quick ratio and lower dividend payout ratio. 5. The multination groups and normal firms have different hedging incentive. The groups which have little firm size and high dividend payout ratio would have more foreign exposure. 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構與流程 3 第二章 理論與文獻探討 5 第一節 外匯風險之定義與種類 5 第二節 外匯風險對公司價值影響之文獻探討 11 第三節 外匯風險對產業影響之文獻探討 27 第三章 研究方法 45 第一節 研究流程 45 第二節 研究設計與模型的建立 46 第三節 資料蒐集與定義 51 第四章 實證結果與分析 59 第一節 公司之匯率風險暴露 59 第二節 落後效果對匯率暴露之影響 68 第三節 產業面分析 70 第四節 匯率風險因素分析 76 第五節 集團化分析 88 第五章 結論與建議 92 第一節 研究結論 92 第二節 研究限制 94 第三節 後續建議 95