Corporate Risk Exposure of Foreign Exchange Rate：Evidences from Holding of Derivatives

• Main Authors: Tseng, Tzu-Wei, 曾子維
• Other Authors: Huang, Yi-Hou
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/km8d9h

碩士 === 國立交通大學 === 管理學院財務金融學程 === 107 === In this study, a total of 641 Taiwan-listed companies from 2006 to 2017 were selected as research samples. The main purpose of this study was to examine the exchange rate exposure situation of listed companies in Taiwan, and to determine the amount of derivatives, corporate governance ownership structure and operating characteristics and exchange rates. The relevance of exposure. This study adopts the two-stage model proposed by Jorion (1990). The first phase uses the two-factor model to capture the exchange rate exposure value for the US dollar, the euro, the Japanese yen and the RMB against the New Taiwan dollar. The second phase is exposed to the exchange rate of each currency. The value is the number of strains, with the company's export ratio, debt ratio, company size, stock price ratio, director's shareholding ratio, operating gross profit margin and derivatives as independent variables, with narrative statistics and cross-sectional regression Interpret the correlation between the measured variables; consider the interaction characteristics of the company's various companies and the derivatives (Interaction Effect), analyze the use of different company characteristics and derivatives, the company is affected by exchange rate exposure. The empirical results show that 34.17% of the companies exposed the significant exchange rate risk of the US dollar against the New Taiwan dollar, the euro against the New Taiwan dollar is 8.27%, the Japanese currency against the New Taiwan dollar is 7.18%, and the company with a significant amount of 12.95% against the Taiwan dollar. Exchange rate exposure. In terms of interpreting exchange rate exposure and measuring variables, there is a significant positive correlation between the foreign exchange rate and the derivatives, and the debt ratio, company size and directors’ shareholding ratio are significantly negatively correlated. In terms of RMB exchange rate against the Taiwan dollar exchange rate, there is a significant negative correlation between the debt ratio and the shareholding ratio of the supervisors. 　　Finally, in considering the interaction between the company's financial characteristics and derivatives, the export ratio is in the euro against the NT model, and the derivatives show the marginal effect; the company size is in the US dollar against the Taiwan dollar and the yuan. In the new Taiwan dollar, the marginal effect is derived from the derivatives; while the operating gross profit margin is in the Japanese currency against the NT model, and the derivatives exhibit the marginal effect.