臺灣博碩士論文加值系統

本文擬進行匯率與台灣不同產業之股價報酬間之實證研究。文中修正Inci and Lee(2014)之模型，使用門檻迴歸模型來分析台灣不同產業類之股價報酬受台幣升貶值之影響。本研究之樣本資料為2000年1月1日至2015年8月31日之日資料。本文實證結果可歸納如下：第一、全樣本期間的實證結果顯示，台幣貶值會不利於各產業類股價報酬，但台幣貶值會提升電子類股價報酬。台幣貶值的不利影響程度會較深者，主要為營建類、鋼鐵類、汽車類、觀光類等4類產業。第二、比較金融海嘯前後兩期間的實證結果，多數產業在兩期間皆呈現台幣貶值不利於其股價報酬；少數例外的情形發生於金融海嘯後期間，電子類等六產業在金融海嘯後呈現台幣貶值有利於其股價報酬。第三、人民幣貶值會有利於電子類股價報酬，但對其餘多數產業股價報酬皆為不利影響，尤其是對於營建類、觀光類、食品類等3類產業股價報酬的不利影響程度會較深。第四、韓圜貶值對台灣多數產業股價報酬有不利之影響，尤其是對百貨貿易類與汽車類的不利影響程度會較深。

The aim of this paper is to discuss the relationship between exchange rate and stock returns in different industries in Taiwan. Being based on a modified model of Inci and Lee (2014), threshold regression model are used to analyze the impact of exchange rate on stock returns in different industries in Taiwan. The data sample includes 17 industrial sub-indexes of stock prices in Taiwan over the period 2000-2015. The empirical results can be summarized as follow: First, the empirical results of the whole sample period, except for electronic industry, the depreciation of NT dollar will decrease stock returns for other industries. In light of four industries, construction, steel, automobile, and tourism, their decreasing stock returns as the depreciation of NT dollar is higher than others. Second, the empirical results of the pre-financial and post-financial crisis periods, the depreciation of the NT dollar will drop stock returns for all industries in pre-financial crisis period, but the depreciation of the NT dollar will cause converse impacts on stock returns for six industries in post-financial crisis period. Third, the depreciation of the CNY dollar will increase stock return for electronic industry but drop stock price returns for other industries, and the higher impacts from the depreciation of the CNY dollar on three industries, construction, tourism, and food industry. Fourth, the depreciation of the KRW dollar is will decrease stock returns in most of the industries, and the impacts of the depreciation of the KRW dollar on two industries, general merchandise and automobile industries, are higher.

摘要 I
ABSTRACT II
致謝 III
目錄 IV
表目錄 V
圖目錄 V
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 4
1.3研究架構 4
第二章 文獻回顧 6
第三章 研究方法 11
3.1單根檢定 11
3.2門檻迴歸模型 14
第四章 實證結果與分析 18
4.1資料來源與變數分析 18
4.1.1資料來源 18
4.1.2敘述統計 19
4.2單根檢定 21
4.3門檻迴歸分析 23
4.3.1金融海嘯前後之影響效果 23
4.3.2新增之產業股票指數報酬之影響效果 34
4.3.3加入外幣匯率之影響效果 35
第五章 結論與建議 44
參考文獻 46

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