Measuring foreign exchange exposure by using quantile regressions

• Main Authors: Wan-Ping Lo, 羅婉萍
• Other Authors: Tzu-Ping Ho
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/00430365494143850264

碩士 === 銘傳大學 === 國際企業學系碩士班 === 99 === Foreign exchange exposure is defined as exchange rate movements affect the value of firms. Many financial literatures and models indicate that exchange rate fluctuations have a significant impact on firm value, but numerous empirical results show a low proportion of companies are significantly exposed to exchange rate risk. In order to improve exchange rate exposure significant ratio, this study attempts to adapt quantile regression to study foreign exchange exposure. This study choose Taiwan public common stock list from 1990/07-2010/06. The empirical results indicated that quantile regression can capture foreign exchange exposure impact on stock returns. Non-electronics industry have higher foreign exchange exposure rate, it is higher electronics industry. And the stock return of most non-electronics industry are significant and negative.