本文探討新臺幣實質有效匯率指數的變動率及波動性是否會影響股價報酬率,藉由Fama-French擴充模型,並使用GARCH(1,1)模型估計匯率波動性,以臺灣567家上市公司自2008年至2020年的平衡型追蹤資料為樣本,進行實證分析。本文發現,匯率變動率與匯率波動性都對同期的股價報酬率有顯著的負向影響,推論匯率變動或匯率波動上升,可能會使企業的營運不確定性上升,因而使股價報酬率下跌。
This thesis investigates if the rates of change and volatilities of the real exchange rate of New Taiwan dollar have an impact on stock returns of Taiwan’s listed companies. An augmented Fama-French model and a balanced panel data of 567 Taiwan listed companies for the period of 2008 to 2020 are used for empirical study. Exchange rate volatilities are estimated using GARCH(1,1) model. We find that the rates of change and volatilities of the real exchange rate have negative effects on stock returns. We postulate when the NT dollar appreciates and its value versus other currencies become more volatile, the business outlook of the listed companies become more uncertain, causing their equity prices to drop.