企業外匯風險暴露：以新興市場為例

Stock Exposure to Exchange Rate Risk: Evidence from Emerging Markets

陳麗珍(Li-Jen Chen)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2006年)

摘要

此篇論文中我們研究亞洲新興市場中匯率變動對於股票報酬的影響，包含南韓、香港、新加坡、馬來西亞、泰國、台灣，以及印尼。研究發現公司的外匯風險會隨著時間而改變但卻與國家整體經濟的進出口數據不甚相符，因而判斷有其他因素影響了股票報酬與外匯風險的關係。因此我們將公司的外匯風險來源分成了來自於市場、產業以及公司本身的影響。實證結果發現，公司的外匯風險在市場、產業或公司本身不同的影響下對於股票報酬的影響方向可能會不相同，同時在相對比較下，主要影響外匯風險的來源會因國家而有所差異。而後，我們也探討影響公司外匯風險大小的因子，包括是否為外資標的、公司避險活動以及國際產業競爭力的程度，然而，並沒有強烈的顯著結果支持我們的假設。期望未來在這些市場能有更完整資料去做進一步的研究。

關鍵字

外匯風險暴露 ； 新興市場 ； MSCI成分股 ； 全球競爭力

並列摘要

In this study I examine the effect of exchange rate changes on stock returns in Asian emerging markets, including Hong Kong, Indonesia, Korea, Malaysia, Singapore, Thailand and Taiwan. The total exchange rate effects on stocks are found to change over time while the changes do not conform to those of real economies in terms of national import/export data, suggesting the existence of other forces in the relationship between stock returns and the exchange rate risk. I thus decompose the total exchange rate risk exposure of a stock return into market-level, industry-level, and firm-level effects. The empirical results find that exchange rate risk often shows impacts of opposite directions on a firm’s stock return due to market-level, industry-level and firm-level factors. The relative importance of these sources of currency risk exposure varies across markets. We further test for specific determinants of stock exposures to exchange rate risk, including the attention of foreign capital, the engagement of hedging activities, and the degree of international competition. Nonetheless, none of those factors provide strong and consistent results as hypothesized. More complete firm-level information is expected to shed more light on such observation.

並列關鍵字

exchange rate exposure ； emerging markets ； MSCI components ； global competition

參考文獻

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