臺灣產業外匯風險之衡量

The measurement of foreign exchange rate exposure for industries in Taiwan

陳鑾琴(Luan-Chin Chen)

指導教授 ： 嚴宗銘

朝陽科技大學/管理學院/保險金融管理系/碩士(2010年)

摘要

摘　要
先前有許多的學者不斷研究各上市公司對外匯風險暴露等相關文獻，貢獻其多。但多數採資本資產訂價模式(CAPM)來衡量外匯暴露風險的程度，實證結果均顯示為不顯著較多，後來有其他學者更進一步使用正交化法來改進資本資產訂價模式檢驗匯率暴露的程度，實證後結果顯示出改善先前的不顯著性。
基於國際資本全球化下，將資本資產訂價模式應用到國際投資組合上，建立出國際資本資產訂價模式(ICAPM)。較多的學者都是以台灣進、出口最大之國家（日本、美國）為研究對象，本研究更納入了人民幣及歐盟推出的共同貨幣－歐元等四種外匯來進行實證研究。
外匯風險暴露的係數是以β值來代表各產業的股價報酬率對匯率變動的敏感程度，而β值的正、負號即表示匯率變動對股價的影響方向。若β值為正號時，則表示匯率的變動與股價的變動為正相關，即當匯率上升時股價亦為同方向變動；若β值為負號時，表示匯率的變動與股價的變動為負相關，即當匯率下跌時股價為反方向變動。
本研究實證後，日圓、美元、人民幣及歐元在未正交化前許多的產業總顯著性並不高，加入殘差項進行正交化後，各產業的顯著性明顯增加很多，甚有些產業總顯著比率高達百分百。

關鍵字

資本資產訂價模式 ； 外匯風險暴露 ； 國際資本資產訂價模式

並列摘要

Abrstract
Many scholars have done researches about the foreign exchange risk exposure of listed companies and contributed greatly. However, most of them adopted Capital Asset Pricing Model (CAMP) to estimate the risk of foreign exchange exposure. The result of the researches shows that it is mostly not significant. Later other researchers further adopted the method of orthogonalization to improve the degree of exposure of CAMP. The result demonstrates that it has improved the insignificance conducted by the previous method.
International Capital Asset Pricing Model (ICAPM) was established under the premise of the globalization of international capital which is to apply the capital asset pricing model to international investments. Most researchers have conducted their studies on Japan and America, the two major countries where Taiwan imports and exports goods to. In this research, RMB and the common currency, the Euro are included.
The coefficient of foreign exchange risk exposure is indicated by Beta. It is to demonstrate how the stock returns in various industries react to the currency exchange. The positive and negative sign of Beta indicate how the currency fluctuation influences the stock prices. If Beta is the positive sign, it means the currency fluctuation has a positive correlation with the stock prices. In other words, when the currency exchange rate raises, the stock price moves to the same direction. On the contrary, when Beta is the negative sign, it indicates the negative correlation between currency fluctuation and the stock prices which means when the currency exchange rate decreases, the stock price moves to the opposite direction.
It is proven in the research that before the industries underwent orthogonalization; the overall significance was not enormous. However, after adding the estimated residuals and implementing orthogonalization, the significance in all industries rose up tremendously. Some even reached the percentage of one hundred.

並列關鍵字

International capital asset pricing model ； Capital asset pricing model ； Foreign exchange risk exposure

參考文獻

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