台灣上市公司不同產業的外匯風險之實証研究

The Empirical Study of Foreign Exchange Risk of Different Industries in Taiwan's Listed Companies

徐守德(David Shyu) ； 郭照榮(Chau-Jung Kuo) ； 蔡明憲(Min-Shann Taisy) ； 江淑貞(Su-Zen Gian)

《Asia Pacific Management Review》 4卷2期 (1999/06) Pp. 131-146

https://doi.org/10.6126/APMR.1999.4.2.03

摘要

本文透過証券市場報酬來瞭解產業所面臨的外匯風險，同時就產業特性與外匯風險之關係做相關性的檢定。為了消除市場因素對股票市場所造成的扭曲，本文以「市場模型」中的市場風險係數來消除市場的干擾。由實証結果發現各產業的股票報酬的確受匯率變動所影響，且股票報酬變動落後匯率變動。台灣產業中有88.90%面臨負的外匯風險，亦即台幣升值會對大部分的產業造成不利影響。就股價對匯率變動反映效率，資訊電子業的效率最佳，其解釋能力也最好。此結果與Bodnar and Gentry的實証結果一致，亦即外銷依存度愈高，該產業的外匯風險也愈大，而上市資訊業的總外銷比率高達70%，因而該產業具有高度外匯風險是相當合理之實証結果。產業特性對外匯風險的影響，產業外銷比率與產業獨占力這兩項因素對外匯風險的影響並不大，但這二項因素卻會影響產業的系統風險。產業的獨占力愈大，該產業的系統風險也愈低；而產業的外銷依存度愈大，該產業的系統風險則愈高。

關鍵字

外匯風險 ； 產業特性 ； 市場模式

並列摘要

This paper attempts to investigate the foreign exchange risk through stock market returns. It looks at the relationship between industrial characteristics and foreign exchange risk. The empirical results indicate that the changes of foreign exchange rates do affect the industrial stock returns. The changes of foreign exchange rates lead the changes of stock returns. There exists 88.90% of negative foreign exchange risk. As far as the efficiency of changes of foreign exchange rates to stock returns is concerned, information and electronic industries exhibit the highest efficiency and explanation power. This results are also consistent with Bodnar and Gentry's findings. As far as the impact of foreign exchange risk on industrial characteristics is concerned, the influence of industrial exporting ratio and monopolistic power on foreign exchange risk are not significant. On the other hand, above two factors do affect industrial systematic risk. Specifically speaking, the higher the monopolistic power, the lower the systematic risk. The higher the exporting dependence, the higher the systematic risk.

並列關鍵字

Foreign Exchange Risk ； Industrial Characteristics ； Market Model

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