| Summary: | 碩士 === 元智大學 === 國際企業學系 === 94 === This research examines the exchange-rate exposure and its determinants by using a sample of 265 firms listing in TSEC market. There are two parts in this study. First, I estimate the exchange-rate exposure of firms by using time series data over the 1999-2005 period. I also employ some important variables that might influence the significance of the exchange-rate exposure. Second, I examine the major determinants of firms’ exchange-rate exposure. The findings of this paper are as follows.
First, the level of significance in picking out exchange exposure is as low as other studies. Besides, the number of firms with positive significant exposure is much larger than that with negative exposure which is opposite to the expectation. The result of significant lagged effect shows that the reason might be the mispricing of investors. Then, there exists significant relationship between non- linear exchange-rate changes and stock return changes. Third, firms seem not able to reduce their exposure by using financial hedge. By contrast, operational hedge seem to be more efficient. Forth, larger firms tend to engage in derivatives use and international diversification. This may because they have the advantage of economics of scale. Fifth, operational and financial hedging strategies are complementary；i.e., firms use more derivatives when they operate in more regions.
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