匯率波動與台灣電子股股價報酬率之關係研究

A Research of the Relation Between The Fluctuation of Exchange Rate and the Return Rate of Taiwan Electronic Sector Stock Index

許淑涓(Shu-Chuan Hsu)

指導教授 ： 王澤世

共同指導教授 ： 林霖

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

摘要

外匯市場與股票市場在一開放經濟體的經濟發展中扮演重要的角色，台灣又以電子業為發達，本論文探討台美及台日之間匯率與台灣電子股股價指數的因果關係。本論文為了分別討論名目與實質匯率造成之影響，因此日資料使用名目匯率而月資料使用實質匯率。研究結果發現：當台幣兌美元名目匯率貶值，電子股股價指數會當期反映股價上漲，而台日名目匯率對電子股股價報酬沒有影響，且台美匯率波動發生後可持續影響三日內與五日內的股價報酬，沒有見到當期過度反應的狀況。而以月資料來看，台日實質匯率波動可以負向影響電子股股價指數，而台美實質匯率波動則無法影響股價報酬率。

關鍵字

匯率 ； 電子股股價指數 ； 外匯風險暴露

並列摘要

The foreign exchange market and the stock market are both important for the open economy's development, and Taiwan's electronic industry is prosperous. This Thesis is to discuss the causal relation between Taiwan Electronic Sector Stock Index and the exchange rates of NT dollar to US dollar and to Japanese yen. In order to find the effects of real exchange rate and nominal exchange rate respectively, the nominal data are daily and real data are monthly. The empirical results show: when NT dollar depreciates toward dollar, the index of Taiwan Electronic Sector will rise in the same day. Moreover, the effect can retain for three days and five days which means there is no over shooting. But the volatility of nominal exchange rate between NT dollar and yen doesn't lead any significant effect. The volatility of real exchange rate between NT dollar and yen, the monthly data, can affect the return rate of Electronic Sector Stock Index, and the direction is negative. But the volatility of nominal exchange rate between NT dollar and dollar doesn't lead any significant effect.

並列關鍵字

exchange rate ； Taiwan Electronic Sector Stock Index ； exchange rate risk-exposure

參考文獻

英文部分：

1. Bodnar, Gordon M. and Gentry, William M. 1993, Exchange rate exposure and industry characteristics：evidence from Canada, Japan and the USA, Journal of International Money and Finance 12(1), 29-45.

2. Raymond Donnelly and Edward Sheehy 1996, The share price reaction of U.K. exporters to exchange rate movements: An empirical study, Journal of International Business Studies 20(1), 157-165.

3.Jorion, Philippe 1990, The exchange-rate exposures of U.S. multinationals, Journal of Business 63(3), 331-345.

4.Jorion, Philippe 1991, The pricing of exchange rate risk in the stock market, Journal of Financial and Quantitative Analysis 26(3), 363-376.