台幣貶值對台灣貨運倉儲業股價報酬之影響

The Impact of New Taiwan Dollar Depreciation on Stock Returns of Transportation and Storage Industry in Taiwan

胡木源(Mu-Yuan Hu)

指導教授 ： 楊永列

共同指導教授 ： 劉凱平(Kai-Ping Liu)

嶺東科技大學/商管學院/財務金融系碩士班/碩士(2025年)

摘要

本研究利用GARCH模型，探討探討台幣貶值對台灣貨運倉儲業股價報酬之影響分析，研究期間自2021年1月1日至2024年11月13日，共937筆交易日資料，資料來源為TEJ。ADF檢定法研究變數之報酬皆顯示為穩定時間序列，且GARCH模型受RTWD匯率報酬波動為負向顯著影響效果，且GARCH風險隨時間而顯著改變，符合研究假說。

關鍵字

台幣貶值 ； 貨運倉儲業 ； GARCH模型

並列摘要

This study employs the GARCH model to investigate the impact of New Taiwan Dollar (TWD) depreciation on the stock returns of Taiwan's transportation and warehousing industry. The research period spans from January 1, 2021 to November 13, 2024, encompassing 937 trading days of data sourced from the Taiwan Economic Journal (TEJ) database. The Augmented Dickey-Fuller (ADF) test indicates that the returns of all research variables exhibit stationary time series characteristics. The GARCH model demonstrates that the volatility of RTWD exchange rate returns has a significant negative impact effect. Furthermore, the GARCH risk significantly changes over time, which aligns with the research hypothesis.。

並列關鍵字

New Taiwan Dollar Depreciation ； Transportation and Warehousing Industry ； GARCH Model

參考文獻

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