台幣匯率波動對汽車產業類股價之影響

The Impact of NT Dollar Exchange Rate Fluctuations on the Stock Price of Automobile Industry

許信輝(Hsin-Hui Hsu)

指導教授 ： 李沃牆

共同指導教授 ： 方鏘傑(Chiang-Jye Fang)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00183

摘要

本研究在於檢驗台灣股票報酬和匯率波動是否存在任何的相關性，研究自2015年12月17日起受到美國聯準會升息一國際事件影響下，造成台幣匯率出現明顯波動，故本研究欲探討，以此事件日前250天及後50天日資料做為樣本期間，進行對照分析，觀察不同匯率波動對汽車類股股價是否有顯著影響。
本文採用標準化橫剖面法進行研究，檢定異常報酬率是否顯著異於0，實證結果顯示，投資人因預期台幣將因美國升息影響下而造成貶值，故越靠近事件日，汽車類股之標準化平均異常報酬率(SAR)之震幅高低越趨明顯；而標準化累積平均異常報酬率(SCAR)樣本前、後期比較結果則顯示，股價對外匯呈顯著正向影響為後期大於前期，台幣匯率變化對於汽車類股之股價有正向顯著關係；研判投資人於事件日後，已逐漸恢復投資信心，並重新檢視個股是否因匯率波動而產生非理性下挫，並待事件日過後，進行逢低回補，使股價重新回歸基本面。

關鍵字

美國聯準會升息 ； 匯率 ； 汽車業 ； 標準化橫剖面法 ； 事件研究法

並列摘要

This study examines whether there is any correlation between the returns of Taiwanese stocks and fluctuations in exchange rates. In the wake of interest rate hikes announced by the Federal Reserve on December 17th, 2015, the exchange rate of New Taiwan Dollar (NTD) fluctuated significantly. Therefore, by collecting data from the first 250 days before the event and 50 days after the event as samples, this paper aims to discuss and analyze whether different fluctuations in exchange rates significantly affect automotive stock prices.
By adopting standardized-residual cross-sectional method, this study examines whether the SAR deviates significantly from zero. The empirical results show that as investors expected the NTD would depreciate due to interest rate hikes by the Federal Reserve, the fluctuations of SAR of automotive stock prices become increasingly evident. In addition, the comparison of the SCARs of the early and late periods suggests that the correlation between stock prices and foreign exchange rates became more evident in the late period, as compared to the first. Furthermore, fluctuations in the exchange rate of the NTD positively correlate with automotive stock prices. It is therefore speculated that after the event, investors had gradually regained confidence, and had re-examined whether their stocks plunged unreasonably on account of fluctuating exchange rates, before performing short covering and bringing stock prices back to their fundamental values.

並列關鍵字

US Fed Rate Hike ； Exchange Rate ； Automobile Industry ； Standardized-residual Cross-Sectional Method ； Event study

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