臺灣博碩士論文加值系統

論文摘要

台灣屬於一個對外貿易依存度高的經濟體系，匯率變動將直接或間接或影響國內企業的獲利、資產甚至國際競爭，而維持匯率穩定自為央行的首要任務。
外匯對台灣跨國企業的經營風險是否顯著，文獻的研究結果並不一致。本研究擬用 . Crabb(2002) 的多因子模式利用台灣跨國企業的對外銷貨及國外資產等項目來探討台灣上市公司暴露於外匯風險的程度及方向。首先，我們將檢視台灣塑化、電子、機械、鋼鐵及紡織五項產業股票報酬受匯率的影響程度；接著，我們將進一步探討企業對外銷售、國外資產和衍生性金融商品使用程度等財務資訊對企業外匯暴露之影響。
而本研究之結論，但台灣的塑化,電子業有明顯的外匯暴露，整體跨國企業的經營風險對外匯暴露並不顯著，對於商使用衍生性金融商品避險可否降低公司的外匯暴露?除塑化業之外,皆不顯著。Crabb(2002)指出過去研究無法有效證明廠商外匯暴露顯著，其原因可能在於廠商已普遍使用衍生性金融商品作為避險工具。本研究依台灣跨國企業作樣本,以同樣的方式進行研究,在結論上並不完今相符.

Abstract

Taiwan area is an economic community as extensively as intensively supported and nurtured by international commercial activities. Thus the foreign exchange rate will directly or directly put great influence on the revenue, asset, and global competence of the Taiwan-based global companies, and how to stabilize the foreign exchange rate is always the top priority of Central Bank of China (Taiwan).
Regarding the significance identification of foreign exchange rate related with the business exposure of Taiwan-based global companies, the previous studies, however, do not reach consensus. This research is to apply the multi-factor analysis model by Peter R. Crabb (2002) to identify the relationship between foreign exchange rate and foreign marketing revenue, foreign asset, and various factors within these companies as well as to discover the aspects and extent on business exposure regarding the foreign exchange rate. First, we are exploring the significance of the foreign exchange rate related with stock investment return rate on five major Taiwan industries, Plastic and Petrochemistry Industry, Electronics Industry, Mechanical Industry, Steel Industry and Textile Industry. Next, we are evaluating the significance of purchasing financial derivatives related with foreign marketing revenue, foreign assets and various factors within these companies regarding the business exposure.
With evidence, except for Plastic and Petrochemistry Industry, Electronics Industry, we conclude that Taiwan-based global companies are not exposed to the foreign exchange rate, and if the product can effectively minimize the risk of foreign exchange rate is not certain.
Crabb (2002) points that the previous studies could not identify the significance because most of the companies prevalently used to purchasing financial derivatives to avoid or divert the potential risk already.In this resurch, we can not find the same conclusion.

Key words: foreign exchange rate exposure, derivatives

目 錄
標題頁
學位考試委員審定書
授權書
致謝辭………………………………………………………………………………..I
中文摘要………………………………………………………….....………………II
英文摘要……………………………………………………………………………..III
目錄…………………………………………………………………………….…….IV
圖目錄………………………………………………………………………….…….V
表目錄 ………………………………………………………………………………VI

頁次
第一章.前言 1

第一節.研究動機 2
第二節.研究目的 3

第二章文獻回顧 5

第一節.外匯暴露的定義 5
第二節.匯率暴露衡量相關文獻 8
第三節.外匯暴露與企業報酬的相關文獻 11
第四節.外匯暴露影響因素 19

第三章.研究方法 30

第一節.外匯暴露之衡量 30
第二節.外匯暴露決定因子之研究 31

第四章.資料特性 33

第一節.研究特性 33
第二節.研究對象之選取 33
第三節.資料來源 33
第四節.實證研究 34

第五章.實證結果 36

第一節.實證研究 36
第二節.匯率暴露決定因子之研究 44

第六章.結論與後續研究建議 47


表目錄 頁次
表一. 研究架構....………………............................................................…………...……4
表二. 匯率暴露依時間變動的分類表......…………………………...……………..…….7
表三. 依不同的比較項目,歸納出三種匯率暴露型態........……………………………..8
表四. 文獻彙總表（國外）………………………………........………………………..24
表五. 文獻彙總表（國內）…………………………………….......…..……………….27
表六. 塑化業樣本迴歸結果……………………………………….........……………….36
表七. 電子業樣本迴歸結果……………………………………………......……………38
表八. 鋼鐵業樣本迴歸結果………………………………….……………......………..39
表九. 電機業樣本迴歸結果………………………………………………………….....41
表十. 紡織業樣本迴歸結果……………………………………………………….....…42
表十一.全部產業樣本迴歸結果……………………………….………………......…..43
表十二.所有廠商的匯率暴露方向………………………………………………...……45
表十三.紡織業的匯率暴露方向……………………………………………………...…44
表十四.塑化業匯率暴露方向…………………………………………………...………46
表十五.電子業匯率暴露方向……………………………………………………...……46
表十六.電機業匯率暴露方向……………………………...……………………………46
表十七.鋼鐵業匯率暴露方向………..……………………….....………………………46


附錄一. 廠商的未避險及避險之外匯暴露係數……………………...………

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