| Summary: | 碩士 === 國立成功大學 === 企業管理學系碩博士班 === 92 === Past empirical tests almost investigated how to estimate the optimal hedge ratios and compared hedging effectiveness between different models. In fact, Taiwan exporter and importers need not hedge all time. The problem of optimal timing is neglect in past literature. Therefore, the purpose of this study is to bridge this gap that is to investigate the optimal timing for the Taiwan exporters and importers.
The main conclusions of this study are summarized as follows:
1. For importers, the optimal timing to hedge for 1-, 2-, and 6-month forward contracts are when spot exchange rate of U.S. dollars rise to 2%, and the optimal timing of 3-month forward contracts is when spot exchange rate rise of U.S. dollars to 1%. The overall hedging effectiveness is significant difference between these contracts. For example, the hedging average of the most high on the optimal timing is 6-month forward contract. That result shows forward contracts could hedge for exchange rate risk on the optimal timing.
2. For exporters, the optimal timing to hedge for 1- and 6- month forward contracts are when spot exchange rate of U.S. dollars fall to 0.2%, but the hedging averages of 2- and 3-month contracts on the optimal timing are minus. That shows un-hedging is better than hedging, it is that export don’t need to hedge for 2- and 3-month forward contracts. The overall hedging effectiveness is also significant difference between these contracts. For example, the hedging average of the most high on the optimal timing is 1-month forward contract, For exporter, sometimes hedging couldn’t reduce exchange rate risk and lose exchange rate profit.
3. The empirical result show importer to have frequent hedging, and hedging effectiveness is better than exporter. The suggestion of the study are importer should hedge and more careful on choice of optimal hedging timing for making hedging strategy.
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