臺灣博碩士論文加值系統

過去幾年，人民幣一直被質疑有嚴重低估的現象，而中國也在飽受各界的輿論及壓力後，遂於2005年7月21日宣布改採管理式浮動匯率制度。此一匯率制度的改變造成人民幣升值2%，為1美元兌換8.11元人民幣，預期將對中國的經濟結構，以及各行業的資產、負債、收入與成本等將產生影響。其中，對出口導向的紡織服裝業來說，衝擊應該是無可避免的。
因此，本研究以2004年7月23日至2006年7月21日之深圳證券交易所紡織服裝業指數為研究對象，應用多元迴歸模型進一步分析中國於2005年7月改採管理式浮動匯率制度對其紡織服裝業的影響。實證結果發現，中國改採管理式浮動匯率制度後，紡織服裝業的超常報酬顯著高於匯率制度改變之前的超常報酬，而此結果與傳統理論的預期不符。因為紡織服裝業的出口依存度甚高，人民幣的升值對出口服裝業而言屬於負面效果，理應使紡織服裝產業的超常報酬降低，但本研究卻發現匯率制度改變後，反而有顯著較高的超常報酬。為檢驗此一現象是否是因為紡織服裝業出口高度成長的正面效應抵銷了匯率制度改變的負面效果，本研究進一步將(淨)出口額納入模型中分析。在控制了(淨)出口額之效果後，本研究仍然得到相同的結果：改變匯率制度之後的超常報酬顯著高於改變前的超常報酬。因此，本研究所提供的證據顯示，中國改採管理式浮動匯率制度對其紡織服裝業之上市公司並未造成負面的影響，而這個結果似乎與中國政府對於人民幣的鬆綁速度緩慢有關。

Renminbi was seriously underestimated in recent years. Under pressure and public opinion, China started using managed floating exchange rate regime since July 2005. This new exchange rate regime caused Renminbi to appreciate for 2%, and changed the official USD/RMB exchange rate to 8.11. It is expected that the new exchange rate regime will affect the economic structure of China and the assets, debts and cost of all industries. The textile clothing industry, which is a highly export-oriented industry, will affected undoubtedly by this change.
The samples of textile clothing industry stock index of this study were drawn from Shenzhen Stock Exchange. We used a Multiple Regression Model to examine the influence caused by that China started using managed floating exchange rate regime since July 2005 on its textile clothing industry. The empirical result came out differently, the abnormal returns of textile clothing industry are surprisingly a lot higher than before due to managed floating exchange rate regime. The textile clothing industry is a highly export-oriented industry, so the appreciation of Renminbi should have a negative effect on textile clothing industry, but the outcome is completely different. To try figuring out why the outcome is completely different from everybody expected, we further put the export value and the net export value into the model. But the result is the same: the abnormal returns of textile clothing industry are significantly higher after the introduction of managed floating exchange rate regime. The evidence of this research reveals that the adoption of managed floating exchange rate regime in China does not bring any negative influence over those listed companies of textile clothing industry, and this result seems to be related to the untying speed of Renmibi from Chinese government.

摘要................................................................iv
英文摘要.............................................................v
誌謝................................................................vi
目次...............................................................vii
表目錄..............................................................ix
圖目錄...............................................................x
第一章 緒論..........................................................1
1.1 研究動機與目的...............................................1
1.2 論文架構....................................................3
1.3 研究程序....................................................4
第二章 中國的外匯管理體制及其紡織服裝業.................................5
2.1中國外匯管理體制的變遷.........................................5
2.1.1 1949年至1980年的外匯管理體制............................6
2.1.2 1981年至1993年的外匯管理體..............................9
2.1.3 1994年至2005上半年的外匯管理體.........................11
2.1.4 2005年7月21日後至今的外匯管理體........................12
2.2 中國紡織服裝業的概況........................................14
2.3 中國紡織服裝業的機會與威脅...................................16
2.3.1 機會.................................................16
2.3.2 威脅.................................................17
2.4 中國紡織服裝業的內需時代....................................20
第三章 文獻探討.....................................................21
3.1匯率波動及風險對進出口貿易的影響...............................21
3.1.1 中文文獻.............................................21
3.1.2 西文文獻.............................................25
3.1.3 小結.................................................28
3.2匯率波動對股票報酬或股票價格的影響..............................29
3.2.1 中文文獻.............................................29
3.2.2 西文文獻.............................................32
3.2.3 小結.................................................34
第四章 研究方法.....................................................36
4.1資料來源....................................................36
4.1.1 樣本選取及來源........................................36
4.1.2 月資料轉換日資料之方法.................................36
4.2超常報酬之估計...............................................38
4.2.1 市場模式.............................................38
4.2.2 市場指數調整模式......................................39
4.2.3 Dimson模式...........................................39
4.3單根檢定....................................................40
4.4迴歸模型....................................................42
4.5修正的迴歸模型...............................................43
4.5.1 加入出口額的修正迴歸模型...............................43
4.5.2 加入淨出口額的修正迴歸模型..............................44
第五章 實證結果.....................................................45
5.1敘述統計分析結果.............................................45
5.2迴歸分析結果.................................................49
5.3修正的迴歸分析結果............................................52
第六章 結論與建議 ...................................................55
6.1結論........................................................55
6.2後續建議....................................................56
參考文獻............................................................57
附錄................................................................61

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