臺灣博碩士論文加值系統

Abstract
My Ph.D. dissertation, entitled “Essays on International Financial Management”, includes the following essays:
(1) Foreign Investors in Emerging Markets: The Case of Taiwan
(2) Exchange Risk Management: The Case of Taiwan
In my first essay, I find that foreign investors tend to be momentum traders. The aggregate current net foreign purchases (NFP) have a positive effect on future return, implying that foreign investors, on average, might have an information advantage over local investors. However, when I further investigate the relation at the firm level, the results are mixed. Foreign investors that have an information advantage over local investors are limited to firms based on large size, low B/M stocks, and those that have issued ECBs. They have a tendency toward trading stocks they are familiar with. Furthermore, I document that foreign buys, sells, total trading, and net foreign purchases all increase their conditional volatility.
In my second essay, I examine the determinants of hedging exchange risk for Taiwanese firms in 1999 and 2000. To examine the decision to hedge and the decision of the hedging extent separately, I employ a two-step procedure decision suggested by Cragg (1971). In the first equation, the probit model is examined and the response variable is whether to hedge (=1) or not (=0). The likelihood of hedging is related to firm size, the export ratio, and managerial ownership. Larger firms and firms with higher exports, or those with higher managerial ownership, are more likely to manage risks. In the second equation, I conduct conditional regressions on the hedging firms. The dependent variable is the hedging proportion. The hedging extent is found to be related to foreign exposure and compensation structure, and is negatively correlated to firm size. Empirical results show that the decision to hedge is positively associated with foreign exposure, managerial ownership, and economies of scale in hedging costs. The decision of hedging extent is positively correlated to the foreign exposure, compensation structure, and the financial distress costs. The empirical results support the economies of scale hypothesis, the financial distress hypothesis, and the managerial incentive hypothesis, but seem to not support the tax hypothesis.

Contents
Introduction 1
Foreign Investors in Emerging Markets: The Case of Taiwan 3
Abstract 3
1. Introduction 4
2. Data 9
2.1 History and structure of TSE 9
2.2 Foreign investors in TSE 11
2.3 Sample construction 12
3. Covariance of foreign trade and stock return 12
3.1 Foreign trade measurement and summary statistics 12
3.2 Covariance decomposition of foreign trade and stock return 13
3.3 Covariance decomposition results 14
4. Are foreign investors momentum traders? 16
4.1 Methodology 16
4.2 Regression results 16
5. The lead-lag relation of foreign trading and stock return 18
5.1 Methodology 18
5.2 Results 19
6. Do NFPs predict future returns? 21
6.1 Prediction model 21
6.2 Regression results 22
7. Information advantage and firm characteristics 24
7.1 Portfolio formation 24
8. Does foreign trade increase stock market volatility? 27
8.1 GARCH model 27
8.2 Estimated results 28
9. Conclusion 30
References 32
Figure 1. Foreign ownership and trading in the Taiwan Stock Exchange 35
Figure 2. Normalized foreign net purchases (NFP) and TSE Index 36
Figure 3. The frequency distribution of parameters on NFP and past returns 37
Figure 4. The frequency distribution of parameters on lead-lag relationship between NFP and stock returns 38
Figure 5. The frequency distribution of parameters on NFP and future stock returns 45
Table 1. Statistics for QFIIs in Taiwan from 1991 to 2000: 47
Table 2. Summary statistics for foreign trading 48
Table 3. Covariance decomposition 49
Table 4. Daily normalized net foreign purchases and past return 51
Table 5. The lead-lag relationship of daily normalized net foreign purchases and stock return 52
Table 6. Foreign net purchases and future stock returns 54
Table 7. Trading advantage and firm characteristics 55
Table 8. OLS Results for foreign trading advantage and firm characteristics 56
Table 9. GARCH model estimates for foreign trading and stock returns volatility 57
Exchange Risk Management: The Case of Taiwan 59
Abstract 59
1. Introduction 60
2. Hypotheses 63
2.1 Financial distress costs and under-investment problems 63
2.2 Taxes 65
2.3 Managerial incentives 66
2.4 Foreign exchange risk exposure 67
2.5 The other factors 68
2.6 Summary of hypotheses and variables 69
3. Data and Methodology 69
3.1 Samples 69
3.2 Descriptive characteristics 70
3.3 Econometric model 72
4. Univariate Analysis 74
4.1 The decision to hedge 74
4.2 The extent of hedging 76
5. Multivariate Analysis 77
5.1 The decision to hedge 77
5.2 The decision of hedging extent
6. Conclusion 81
References 83
Figure 1. Hedge proportion Year 1999 and 2000 85
Table 1. Variable definitions and summary of hypotheses 86
Table 2. Instruments used to hedge exchange risk 87
Table 3. Sample Characteristics 88
Table 4. Univariate Analysis — Hedge verse Not Hedge 89
Table 5. Univariate Analysis — Minor Hedge verse Extensive Hedge 90
Table 6. Multivariate Analysis - Cragg Model 91

Foreign investors in emerging markets: The case of Taiwan
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Exchange risk management: The case of Taiwan
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