臺灣博碩士論文加值系統

　　本研究探討我國上市櫃金融業公司價值受匯率波動之影響及影響外匯曝險之決定因素。本文蒐集了台灣31家上市櫃金融業2008年至2018年之樣本，以OLS最小平方法模型及分量迴歸模型全面分析探討我國上市櫃金融業之外匯曝險，並加入樣本期間平均外銷比率70%以上之台灣31家非金融業上市公司加以比較分析。

　　實證結果顯示，在低分量0.01到0.1及高分量0.9到0.99下顯著比例大多介於10%到30%之間，相較OLS分析方法之顯著比例大多低於10%，分量迴歸方法確實有效提升顯著比例，解決過往文獻實證結果顯著比例不高的問題。實證結果顯示大多金融業公司之外匯曝險呈現正向且顯著的關聯性。最後，本文運用OLS最小平方法模型探討我國上市櫃金融業外匯曝險之決定因素，實證結果顯示，財務槓桿對於當期及落後期外匯曝險值的影響，多為負值，尤其在金融業更為顯著。這意謂公司負債比也就是財務槓桿(leverage)愈大，外匯曝險值就愈小。

This study explores the impact of exchange rate fluctuations on the value of financial companies in Taiwan and the determinants of foreign currency exposure. This paper collects samples from 31 financial industry in Taiwan from 2008 to 2018. The OLS analysis model and quantile regression models are used to comprehensively analyze the foreign currency exposure of Taiwan''s financial industry. This study also explores a comparative analysis of 31 non-financial companies in Taiwan which the average export ratio during the sample period is over 70%..

The empirical results show that the significant proportions between the low component of 0.01 to 0.1 and the high component of 0.9 to 0.99 are mostly between 10% and 30%. Compared with the OLS analysis model, the significant proportion is mostly less than 10%. The quantile regression method is effectively improved the problem of low significant proportion in past literature. The empirical results show that the currency exposure of most financial companies is positive and significant. Finally, this paper uses the OLS analysis model to explore the determinants of currency exposure in Taiwan''s financial industry. The empirical results show that the impact of financial leverage on current and backward currency exposures is mostly negative, especially in the financial industry is significant. This means that the greater the company''s financial leverage the smaller the foreign exchange exposure value.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖目錄 v
表目錄 vi
第一章緒論 1
第一節 研究背景 1
第二節 研究動機及目的 3
第三節 研究架構 4
第二章文獻回顧 5
第一節 外匯曝險相關議題 5
第二節 現金流量法文獻探討 8
第三節 分量迴歸文獻探討 9
第三章研究方法 10
第一節 研究流程 10
第二節 研究資料 11
第三節 研究方法 15
第四章實證結果 19
第一節 敘述統計 19
第二節 外匯曝險衡量 20
第三節 非金融業外匯曝險衡量比較 29
第四節 影響外匯曝險之決定因素 38
第五章結論 42
第一節 研究結論 42
第二節 研究貢獻 43
第三節 研究建議 44
參考文獻 45
第一節 中文部分 45
第二節 外文部分 46

參考文獻

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