台灣上市公司外匯暴露之研究-個別公司匯率之影響

An Empirical Study on Foreign Exchange Rate Exposure: The Impact of Individual Exchange Rates on the Value of Firm

陳品妤(Pin-Yu Chen)

指導教授 ： 李丹

元智大學/管理學院/國際企業學系/碩士(2007年)

摘要

本研究主要檢驗公司股價報酬與個別公司匯率變動之關係，其樣本選用台灣證券交易所掛牌上市，共295家公司為研究對象，樣本期間為2000~2004年。特別地，本文利用個別公司之海外銷售額來計算個別公司的海外銷售額權重之匯率指數。除了研究一般的當期暴露之外，進一步的檢驗落遲效果、非線性外匯暴露及不對稱外匯暴露，以了解上市公司外匯暴露之情形。

使用個別公司匯率指數之實證結果顯示：台灣上市公司股票報酬與匯率變動之關係呈現顯著的正相關，與預期不符。其原因應為進口成本之影響、相對競爭國之影響、J-curve效果及落後期效果等，因此進一步探討落遲效果，其結果呈現顯著的關係，驗證了投資者資訊反應落後，而產生定價錯誤的情形。台灣公司確實存在顯著的非線性外匯暴露及不對稱外匯暴露，而台灣產業不對稱外匯暴露的原因主要歸於市場訂價理論之市佔率或磁滯效果行為所造成。

關鍵字

個別公司外匯暴露 ； 非線性外匯暴露 ； 不對稱外匯暴露

並列摘要

This study examines the relationship between stock returns and changes in firm-specific exchange rate for a sample of 295 firms listing in TSEC market over 2000-2004. Specifically, we employ the amount of foreign sales of individual firm to create foreign sales-weighted exchange rate for each firm. Besides exploring the contemporaneous exposure, we further investigate the lagged exposure, nonlinear exposure, and asymmetric exposure. The results are summarized as follows.

Using firm-specific exchange rate index, we find the correlation between stock returns and the contemporaneous changes in exchange rate is significantly positive. This is the opposite of the expectation. The results of the lagged effect show powerful evidence that Taiwan market is inefficient and the existences of mispricing and information lag by investors. We also find that nonlinear exposure is statistically and economically significant. Additionally, we find that most of industries have asymmetric exchange rate exposure and the asymmetric exposed industries may be attributed to the PTM with MSO and/or hysteresis behaviors.

並列關鍵字

Firm-specific Exchange Rate Exposure ； Nonlinear Exposure ； Asymmetric Exposure

參考文獻

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