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研究生:陳玫君
研究生(外文):Mei-Jean Chen
論文名稱:多國籍企業外匯暴露之研究
論文名稱(外文):The Foreign Exchange Rate Exposure of Multinational Corporations
指導教授:董澍琦董澍琦引用關係
指導教授(外文):S.-Chyi Doong
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經營管理碩士在職專班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:59
中文關鍵詞:外匯風險暴露企業價值外匯避險策略
外文關鍵詞:Exchange rate exposurestable enterprise valueforeign exchange refuge danger strategy
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  近來金融海嘯狂襲全世界,美國房市泡沫導致衍生性金融產品問題重重,恐慌氣氛蔓延,整個金融鏈出現問題進而影響投資人心理恐慌,台灣多國籍企業經營上當然無法於此海嘯中置之度外,不論企業運用衍生性金融商品避險、所占外銷比率,公司皆面臨匯率暴露風險。出口下降將導致出口企業倒閉,失業率上升,台灣許多貿易公司、進出口公司都與銀行有借貸關係,多國籍企業當然不例外,此時此刻金融機構負擔沉重企業經營亦困窘。

  本文針對台灣多國籍企業檢視其匯率變動與股價關係及其產業分布議題加以探討。樣本選取台灣69家上市多國籍企業為研究對象,研究期間為2002年5月至2009年3月共計7年10個月。

  一、研究結果證實:
  外匯暴露係數(外匯變動)與台灣多國籍企業價值(即公司股價)相關性為正向僅占約7%,此結果表示僅約7%台幣相對於美元貶值之時有利於出口,因此對企業或產業而言是有益處的。相關性為負向占約93%,換言之台幣對美元貶值,對台灣上市多國籍企業的股價不利,相對的公司的股價報酬率降低。此外亦證實海島型國家的台灣,多國籍企業採取的外匯避險策略是值得深入探討,因此匯率風險控管對企業主而言是不可忽視的。企業主如能了解此議題之相關性,於此時此刻景氣蕭條年代將可幫企業規避一筆匯兌損失甚至賺取一筆匯兌收益。


  二、研究建議:
  本研究證實外匯暴露係數(外匯變動率)與台灣多國籍企業價值(即公司股價)為正相關僅占約7%。因此企業主如能謹慎控管匯率風險,當匯率波動幅度大時將可為企業規避匯兌風險。此外企業主如能熟悉影響匯率的因素與指標增進對匯率變動敏感度並採取外匯避險策略將有助穩定企業價值(即公司股價)。
  Recently the financial tsunami raids the world crazily. The American housing market froth causes the derivative financial product many questions, the panic atmosphere spread, and the entire financial chain has the question then influence investor psychology to be panic. The Taiwan multi-nationality enterprise manages is certainly unable to disregard from this tsunami. No matter the enterprise takes refuge from danger using the derivative financial commodity, accounts for sale abroad ratio, the company all faces the exchange rate exposition risk.

This article aim at Taiwan multi-nationality enterprise to discuss the subjects about inspects its exchange rate change and the stock price relations and the industrial distribution. The sample selected Taiwan 69 multi-nationality enterprises which enter the stock market as the object of study. The research period is from May 2002 to March 2009, total 7 years and 10 months.

  1. Finding confirmation
  The foreign exchange exposition coefficient (foreign exchange change) and Taiwan multi-nationality enterprise value (i.e. company stock price) is the relevance for forward only accounts for approximately 7%, this result expressed the approximately 7% NT dollar are only opposite in US dollar depreciation when is advantageous in the export, therefore speaking of the enterprise or the industry has the profit. The relevance for negative accounts for approximately 93%, in other words, the dollar to US dollar depreciation, goes on the market the multi-nationality enterprise''s stock price to Taiwan to be disadvantageous, the relative company''s stock price return rate reduces. In addition also confirmed island country''s Taiwan, the multi-nationality enterprise adopts the foreign exchange takes refuge from danger the strategy to be worth discussing thoroughly, therefore the exchange rate risk control speaking of the business owner is noticeable. The business owner like can understand that relevance of this subject, might help the enterprise at this moment in the booming bleak age to dodge an exchange loss even to earn a remittance income.

  2. Research suggestion
  This research confirmation foreign exchange exposition coefficient (foreign exchange mobility rate) is being related with Taiwan multi-nationality enterprise value(i.e. company stock price) only accounts for approximately 7%. Therefore the business owner like can control the exchange rate risk discretely, when the foreign exchange fluctuation scope is big might dodge the exchange risk for the enterprise. In addition the business owner like can affect the exchange rate familiar the factor and the target promotes to the exchange rate change sensitivity and adopts the foreign exchange to take refuge from danger the strategy to be helpful the stable enterprise value (i.e. company stock price).
中文摘要..............................................................................................i
英文摘要............................................................................................iii
目錄.....................................................................................................v
圖目錄...............................................................................................vii
表目錄..............................................................................................viii

第一章 緒論........................................................................................1
第一節  研究背景與目的................................................................1
第二節  研究動機............................................................................2
第三節  研究架構............................................................................3
第二章 文獻回顧................................................................................5
第一節  多國籍相關理論................................................................5
第二節  匯率暴露理論與規避方法................................................9
第三節  匯率暴露影響因素之探討..............................................18
第四節  外匯避險策略..................................................................24
第五節  多國籍企業外匯曝露的決定因素..................................26
第六節  匯率變動對公司價值的影響之衡量..............................28
第七節  外匯暴露之不對稱性效果..............................................31
第八節  外匯暴露之遞延效果......................................................33
第三章 研究方法..............................................................................37
第一節  研究步驟..........................................................................37
第二節  資料蒐集來源與研究樣本..............................................38
第三節  研究假設..........................................................................40
第四章 研究結果與分析..................................................................42
第一節  匯率變動與台灣多國籍企業股價關係..........................42
第二節  外匯暴露係數之產業別分布..........................................46
第五章 結論......................................................................................50
第一節  研究結論..........................................................................50
第二節  研究建議..........................................................................51
參考文獻...........................................................................................52
中文部份...........................................................................................52
英文部份...........................................................................................53
附錄...................................................................................................56
中文部份
1.林彩梅 2006年04月18日多國籍企業論 五南書局。
2.李蘭甫(1994)。國際企業論。台北:三民書局。
3.李家維(2008)。做個積極的外匯投資人。財信出版。
4.吳青松國際企業管理─理論與實務2002年03月。
5.何憲章 1995 三版 國際財務管。
6.董澍琦 2007/11/01國際財務管理 (2版) 。
7.周文欽 2007/10 研究方法 (2版) 。
8.紀妤瑩 「台灣多國籍企業外匯暴露決定因素及外匯暴露不對稱性之證實」。逢甲大學企業管理系碩士論文,2001年。
9.董澍琦、楊聲勇、紀妤瑩合著「台灣多國籍企業外匯暴露之研究」亞太經濟合作評論(APEC Review) 第九期 2002年。
10.徐偉軒 外匯衍生性金融商品使用與企業匯率風險暴露之研究。
11.外匯沖浪手的外匯操作日誌。


英文部份
1. A.C. Shapiro, Foundations of Multinational Financial
Management,3rd ed., N. J.: Prentice-Hall,1998, p.4。

2. Alder, M. and B. Dumas, 1984. "Exposure to Currency Risk:
Definition andMeasurement," Financial Management, 26, 1,
41-50.

3. Alder,Michael. And Bernard Dumas.,1984.”Exposure to
Currency Risk:Definition and Measurement”Financial
Management, Vol1.26,No.1,pp.41-50.

4. Amihud, Y., 1994. “Exchange Rates and the Valuation of Equity
Shares” In Y. Amihud and R.M Levich eds., Exchange Rates and
Corporate Performance, New York: Irwin / New York University.

5.Choi, J.J.,“A model of firm valuation with exchange exposure.”
Journal of International Business Studies, Summer 1986,
pp.153-159.

6. Christophe, S.E., 1997. “Hysteresis and the value of U.S.
multinational corporations.” Journal of Business 70, 435-462.

7. Di Iorio, Amalia. And Robert Faff., 2000. ‘An analysis of
Asymmetry in Foreign Currency Exposure of THE Australian
Equities Market’Journal of Multination Financial Management,pp133-159.

8. Eiteman, D.K. and A.I. Stonehill,1979, ”Multinational
Business Finance,”2nd ds.(Addisson Wesley,Reading,Mass.)
9. He, J. and L. K. Ng, 1998, "The Foreign Exchange Exposure of
Japanese Multinational Corporations," The Journal of Finance,
53, 2, 733-753.

10. Journal of International Business Studies, Vol.15, No.2, 1984,
pp.25-39. ... Robinson, R. D.,

11. J. Madura, International Financial Management, 3ed ed.,
N.Y.: West, 1992, p.561.。

12. Jorion, P., “The exchange -rate exposure of U.S.
multinationals.”Journal of Business, 1990, Vol. 63, No. 3,
pp.331-345.

13. Koutmos, G., Martin, A.D., 2003. “Asymmetric exchange rate
exposure : theory and evidence.” Journal of International Money
and Finance 22, 365-383.

14. Knetter, M.M., 1989. “Is export price adjustment asymmetric ? :
evaluating the market share and marketing bottlenecks
hypotheses.” Journal of International Money and Finance 13,
55-70
15.Knetter, Michael M. (1993), “International Comparisons of
Pricing-to-Market Behavior,” American Economic Review, Vol.
83, No. 3, pp. 473-486.

16.Knetter, Michael M. (1989), “Price Discrimination by U.S. and
German Exporters,”American Economic Review, Vol. 79, No. 1,
pp. 198-210.

17. Ljungqvist, L., 1994. “Hystersis in international trade: a general
equilibrium analysis.” Journal of International Money and
Finance 13, 387-399.

18. Nance, D.R., C. W. Smith , and C.W. Smithson (Mar. 1993) ,“On
the Determinants of Corporate Hedging, ”Journal of. Finance,
Vol.48, No.1, pp.267-284 .

19. Pantzalis, Christos., Betty J.Simkins. and Paul Laux.,
1999.”Operation Hedges and Foreign Exchange Exposure of
US Multinational Corporations”Financial Management
Association Annual Meeting.

20. Shapiro, A.C., 1992,“Exchange Rate Change, Inflation and The
Value of The Multinationals”, Journal of Finance, 185-205.

21. Smith, C.W. and R.M. Stulz, 1985, “The determinants of firms
hedging policies.” Journal of Financial and Quantitative
Analysis 20, 391-405.

22. Hodder, James E., Exposure to Exchange-Rate Movements,
Journal of International Economics,13:375-386. 1982.
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