| Summary: | 碩士 === 東吳大學 === 國際經營與貿易學系 === 101 === This study mainly explores the influential relationship between foreign exchange fluctuations and company values for EFT 50 constituent stocks. Base on the traditional capital asset pricing model, introduces simultaneously both the foreign exchange fluctuation risk factor and the exchange rate fluctuation asymmetric risk factor, the study is to understand the connections between company value and the risk of foreign exchange, and the asymmetric characteristic caused by the significant differences demonstrated through the reaction of trend of exchange rate fluctuation relative to the fluctuation risk factor. In addition, the constituent stocks are also divided into three different types of industries, the information technology, traditional businesses, and financial services for further explorations. The period of the study is from January 1st of 2002 to February 27th of 2013, daily data was used for empirical study. And finally, the main conclusions are as followed:
First, the study discovered that, within part of the traditional businesses and information technology industry, the foreign exchange risk premium can exist in company stock returns. Hence the evidence supports that certain relationships does exist between company value and the risk of foreign exchange; however companies of financial service industry are found with no such results. Secondly, seventeen companies are found to support foreign exchange fluctuations, which can cause the reaction of company value relative to the exchange rate risk to have significant differences and possess asymmetrical property. Finally, this article also found that domestic financial service companies’ stock prices also showed asymmetric property of foreign exchange risk. This is probably because the increased connection between domestic financial service companies and the variation and trend of exchange rate after their growth in company size and internationalization in recent years. Hence there is also certain connection exists between financial company stock prices and foreign exchange fluctuations.
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