在1997年的東南亞金融風暴中,匯率的劇烈變動對股票市場及國家經濟造成了深遠的影響。許多投資人都強調匯率穩定有助於減少股票市場的波動性,但實證上的研究結果並不完全支持這種看法。許多針對美國市場的文獻都發現當期匯率變動對股票報酬的影響並不顯著;就台灣市場而言,以往文獻上的研究結果並沒有一致的結論。本研究旨在探討台灣以出口為主的上市公司股票報酬率與匯率變動率之間的關係,以及影響匯率暴露風險的因素。分析結果發現,只有6.18%比例的樣本公司顯示股價報酬受到當期匯率變動顯著影響。在考慮落後期的匯率變動影響及民國76年到80年間股市狂飆期可能造成的影響之後,實證結果並沒有改變。而在影響匯率暴露因素方面,我們發現發現對台灣廠商來說,負債比率及出口比例對匯率暴露有顯著影響。
The fluctuation of foreign exchange rates exerted significant and serious impact on many domestic economies in Asian financial crises. Even though the effect of foreign exchange rate volatility on stock returns has been studied extensively, the evidence remains inconclusive. Previous studies of American multinational firms generally report that contemporary value change of dollar has insignificant effects on stock returns, while the lagged value change of dollar is found to have strong influence. Using data of exporting firms in Taiwan, we find that only about 6.18% of the sample firms’ stock returns are significantly influenced by exchange rate fluctuation. This result remains the same when the lagged effect of foreign exchange is considered. We also find that exports ratio and debt ratio are the most important determinants of foreign exchange exposure.