台灣上市公司外匯暴露及其避險策略之關係

A Study of Foreign Exchange Exposure and Hedging Strategies：Evidence in Taiwan

林亞潔(Ya-Chieh Lin)

指導教授 ： 李丹

元智大學/管理學院/國際企業學系/碩士(2006年)

摘要

本研究使用在台灣證券交易所掛牌上市，共計265間廠商為研究對象。實證結果主要分為兩個部份：首先在第一部份，本研究採用民國八十八年至九十四年間的時間序列資料估計廠商之外匯暴露係數；並加入其他重要影響因數，如時間落遲效果及非線性外匯暴露等，以嘗試解釋上市企業外匯暴露顯著比例不高的原因。接著在第二部份，以第一部分估計所得之廠商外匯暴露係數，探討其決定因數，尤其著重於廠商避險策略影響效果。
實證結果顯示：第一、台灣上市廠商外匯暴露之顯著比例不高，且顯著為正之廠商家數反而較高，與預期不符。而造成此現象之原因應為投資者資訊反應落後，而產生定價錯誤的結果。第二、台灣廠商確實存在顯著的非線性外匯暴露。第三、衍生性金融商品的使用並無法有效降低廠商外匯暴露，但是隨著廠商國際多角化程度愈高，卻能降低其外匯暴露。第四、廠商規模愈大，使得廠商在財務避險及營運避險的使用上較具經濟效益，故使用程度亦較高。第五、廠商之財務避險與營運避險互為互補策略，亦即隨著廠商營運避險程度的增加，其財務避險程度也會增加。

關鍵字

外匯暴露 ； 財務避險 ； 營運避險

並列摘要

This research examines the exchange-rate exposure and its determinants by using a sample of 265 firms listing in TSEC market. There are two parts in this study. First, I estimate the exchange-rate exposure of firms by using time series data over the 1999-2005 period. I also employ some important variables that might influence the significance of the exchange-rate exposure. Second, I examine the major determinants of firms’ exchange-rate exposure. The findings of this paper are as follows.
First, the level of significance in picking out exchange exposure is as low as other studies. Besides, the number of firms with positive significant exposure is much larger than that with negative exposure which is opposite to the expectation. The result of significant lagged effect shows that the reason might be the mispricing of investors. Then, there exists significant relationship between non- linear exchange-rate changes and stock return changes. Third, firms seem not able to reduce their exposure by using financial hedge. By contrast, operational hedge seem to be more efficient. Forth, larger firms tend to engage in derivatives use and international diversification. This may because they have the advantage of economics of scale. Fifth, operational and financial hedging strategies are complementary；i.e., firms use more derivatives when they operate in more regions.

並列關鍵字

Foreign Exchange Exposure ； Financial Hedge ； Operational Hedge

參考文獻

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