外匯波動對海外直接投資之影響：實質選擇權分析法

Exchange Rate Volatility and Foreign Direct Investment: An Empirical Study of Real Options Approach

陳佳葦(Chia-Wei Chen)

指導教授 ： 李丹

元智大學/管理學院/國際企業學系/碩士(2008年)

摘要

本論文之研究目的為利用實質選擇權分析法探討匯率波動對海外直接投資 (Foreign Direct Investment) 之影響。其樣本選用台灣證券交易所掛牌上市公司為研究對象，樣本期間為1999~2006年。透過個別公司之海外銷售額及海外資產，可以計算個別公司的海外銷售額權重及海外資產權重之匯率指數，進而藉由此專屬個別公司之匯率指數探討外匯波動對海外直接投資之影響。除此之外，本論文亦研究財務會計準則公報第三十五號之揭露對海外直接投資之影響。
使用個別公司匯率指數之實證結果顯示：外匯波動對海外直接投資存在顯著負向影響，此外，對於財務會計準則公報第三十五號揭露前後海外直接投資亦存在顯著性改變之預期，與本論文的實證結果相符合。台灣上市櫃公司確實存在外匯波動愈大，海外投資愈減少之現象

關鍵字

個別公司匯率指數 ； 匯率波動 ； 實質選擇權方法

並列摘要

This study examines whether the volatility of exchange rate affects the level of FDI (foreign direct investment) by using data of Taiwanese firms. Based on the real options theory we expect a negative impact of exchange rate volatility on FDI. We construct a series of weighted exchange rate specifically for each firm from a sample of TSEC (Taiwan Stock Exchange Corporation) listed non-financial firms from 1999 to 2006. We employ the overseas sales and asset of individual firm as the weights and thus can also derive the exchange rate volatility for each firm. In this study we also investigated if the announcement of SFAS 35 significantly affects the foreign investment strategy of Taiwanese firms.
By employing a firm-level unbalance data and panel data of outward FDI of Taiwanese firms, we found the impact of exchange rate volatility on the FDI is significantly negative. We also found FDI level decreases after the announcement of SFAS 35. All empirical results are consistent with the prediction of hypotheses in this study.

並列關鍵字

firm-specific exchange rate ； exchange rate volatility ； real options approach

參考文獻

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