USD Hedging Strategies of Enterprises in Taiwan

• Main Authors: Yuan-Chou Hung, 洪元洲
• Other Authors: Keh-Luh Wang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/91713575903170583939

碩士 === 國立交通大學 === 管理學院碩士在職專班財務金融組 === 97 === We stand in importer and exporter’s point of view to investigate the efficiency of currency hedging strategies. This study simulates hedging results by using the USD/NTD forward contracts, which most enterprises used in Taiwan for hedging foreign exchange risk. The strategies are- full hedge, 50% proportional hedge, selective hedge, and moving average hedge under the period of 30 , 60 , 90 , and 180 days. We compare these strategies with un-hedged strategy and analyze the amounts of importer’s paying, exporter’s receiving, and exchange risk. The empirical results show that, from the perspective of profit and loss, selective hedging strategy generally performs better than others for reducing average paying amount of importer and raising average receiving amount of exporter. But from the perspective of risk, 50% hedging strategy reduces hedged variance of foreign exchange paying or receiving and gets the best performance. Different currency hedging strategies can be implemented according to how much return and risk enterprises are willing to take. Longer hedging periods lead to more significant hedging effects.