匯率暴露、匯率制度改變及匯率暴露決定因子： -以中國上市公司為實證研究-

EXCHANGE RATE EXPOSURE, CHANGE OF EXCHANGE RATE REGIME AND DETERMINANTS OF EXPOSURE： THE CASE OF CHINA STOCK MARKET

鄭惠文(Hui-Wen Cheng)

指導教授 ： 蕭榮烈 ； 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2009年)

摘要

本文主要目的在研究中國大陸上市公司於2005年7月21日人民幣宣布在匯率制度改變前後期匯率暴露的情形，並分析其匯率暴露的決定因子。本研究參考Adler & Dumas（1984）及Nguyen, Faff and Marshall (2007)的迴歸模型檢驗匯率暴露，此外，參考He and Ng(1998)的模型，以公司規模、槓桿比率、速動比率及市價對帳面價值比4個變數來檢驗匯率暴露因子。本文以2002年1月4日至2008年12月31日為研究期間，針對航空及防禦類、汽車零件、化學製品化學藥品、電子及電機設備、醫療保健設備、工業運輸、手機通訊、製藥及生物技術、軟體及電腦服務、與技術硬體及設備等十個類別，上海市場212家、深圳市場147家上市公司為研究對象。

實證結果發現：
1.在匯率制度改變以後，匯率暴露係數顯著的公司家數減少許多，前期有42家公司，後期有19家公司。
2.在匯率制度改變前後，匯率暴露估計值平均數由0.347087變成-0.83025，表示匯率敏感度增加，匯率變動對公司所造成的影響變大，而且對公司股價報酬影響由正轉為負，造成公司有所損失。
3.在匯率制度改變之前，具有統計顯著性的匯率暴露決定因素主要是槓桿比率、速動比率及市價對帳面價值比。在匯率制度改變之後，中國上市公司匯率暴露主要決定因素是由公司規模較為顯著。

關鍵字

匯率暴露 ； 匯率暴露決定因子 ； 人民幣

並列摘要

The main purpose of this study discusses the conditions of exchange rate exposure of China listed corporations before and after the exchange rate system changed on July 21, 2005, and also analyzes its determinants of exchange rate exposure. This research refers to Adler & Dumas (1984) and Nguyen, Faff and the Marshall (2007) regression model examining exchange rate exposure, in addition, refers to He and Ng (1998) model, by the corporation size, the leverage ratio, the quick ratio and the market value to book value, these four variables examining the exchange rate exposure factors. This study analyzes the high-tech products corporations in China, 212 corporations in Shanghai markets and 147 corporations in Shenzhen markets, from January 4th, 2002 to December 31, 2008.

Empirical results are summarized as follow:
1.After exchange rate regime changed, the number of the corporations that have significant exchange rate exposure coefficients is significantly reduced. The earlier period has 42 corporations and later period has 19 corporations.

2.Before exchange rate regime changed, the statistical significance exchange rate exposure determining factors are leverage ratio, the quick ratio and the market / book value. After exchange rate regime changed, the statistical significance exchange rate exposure determining factor is corporation size.

並列關鍵字

Exchange Rate Exposure ； Determinants of Exposure ； Renminbi

參考文獻

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