台灣鋼鐵產業匯率暴露和決定因子之研究 台灣鋼鐵產業匯率暴露和決定因子之研究

EXCHANGE RATE EXPOSURE AND DETERMINANTS OF EXPOSURE IN TAIWAN STEEL INDUSTRY

賴寶月(Pao-Yueh Lai)

指導教授 ： 潘明全

大同大學/經營設計學院/事業經營學系所/碩士(2004年)

摘要

本研究以證券暨期貨管理委員會核准在台灣證券交易所及中華民國櫃檯買賣中心上市上櫃鋼鐵公司，共計33家為研究對象，以民國89 年至92 年為研究期間，探討上市上櫃鋼鐵公司匯率風險暴露之情形，分析流程共分成四個步驟，首先以二因數模型由當期的匯率變動率和股價報酬率關係開始，接下來進一步調整匯率變動率的變數，將公司已採取避險活動規避預期匯率變動的因數考慮進模型中，利用不可預測的匯率變數放入迴歸模型中，希望藉由此調整，能得到更為顯著的匯率暴露。第三部分是檢驗台灣鋼鐵業匯率暴露有無顯著落後的情行。第四部份是利用橫斷面資料探討匯率暴露決定因子的研究。設定五個
變數為匯率風險影響因數，分別為公司規模、負債比率、流動比率、利息保障
倍數及帳面對市場價值比率，此五變數為自變數，匯率風險係數為因變數，進行
多元迴歸分析。本研究實證結果的摘要如下：
一、 匯率風險暴露情形：
(一) 結果發現當期的匯率變動有12.1%的樣本公司匯率暴露呈現顯著正相
關。
(二) 匯率變動變數利用指數平滑法調整後，顯著的比率只由12.1%上升到
15.15%。
(三) 落後一期的匯率暴露只有2家公司達顯著，顯著的比率為6% 且為正
相關。表示台灣投資人對於匯率變動的反應仍以當期為主，故以下的
分析以當期匯率暴露進行。
二、匯率暴露的決定性因子：
公司避險動機因子方面負債比率和利息保障倍數皆為顯著，表示當公司負債比率越大或利息保障倍數越小時，會造成較高的面臨財務危機的可能性，公司為了降低破產成本和代理成本，會較積極採取避險活動來規避匯率風險，使匯率暴露降低。實證結果發現，公司規模越大會有越顯著的匯率暴露。而流動比率和帳面對市場價值比與匯率暴露呈負相關，只可惜Beta係數都不顯著不具有統計意義。

關鍵字

匯率暴露 ； 指數平滑法 ； 橫段面分析 ； 迴歸分析 ； 匯率風險

並列摘要

This research studied 33 Taiwan steel companies approved by Security and Futures Commission to be listed in TSEC & OTC, over the 2000-2003 period, probe into the exchange rate exposure of Steel Corporation. Analysis procedure was divided into four steps, first, used a two-factor model engaging in the relationship between contemporaneous exchange-rate fluctuations and stock returns. Next, all variables are adjusted. Taking into account the hedging activities that some companies take to hedge the determinants of expected exchange rate fluctuation, this study puts the variable of unpredictable exchange rate into the regression model in hopes of getting a better picture of exchange rate exposure. Third step a test is done to check whether there is a significantly lagged effect in exchange rate exposure of steel industry in Taiwan. Finally, use cross-sectional data to investigate into determinants of exchange
rate exposure, Then employ corporate size, debt ratio, current ratio, the times interest earned ratio and the book-to-market ratio, conduct a multi-regression analysis of five proxy variables on individual corporate coefficient of exchange rate risks. The empirical findings of this research are as follows:
一、Estimate of Exchange Rate Exposure:
1. Among 33 TSEC & OTC listed steel companies in Taiwan, 12.1% of them showed significance in contemporary exchange rate exposure, and their values were all positive.
2. Adjusted the variable of exchange rate fluctuation by using exponential smoothing technique the significant rate only increases from 12.1% to 15.15%.
3. The lagged exchange rate exposure of Taiwan steel industry isn't as significant as contemporary exchange rate exposure, only 2 companies reach the level of significance, or 6%, and with positive value. However, the lagged exchange rate exposure is less significant than the contemporary exchange rate exposure. So the next analysis is based on contemporary exchange rate exposure.
二、 Determinants of Exchange Rate Exposure:
Among determinants of influencing exchange rate exposure of steel industry, debt ratio and the times interest earned ratio, which are belonging to hedging motivations of companies, are both significant. It means when having a bigger debt ratio (or smaller times interest earned ratio) a company has higher odds of facing financial distress. In order to reduce bankruptcy cost and agency cost, companies will aggressively take hedging activities, and thus lower their exposure to exchange rate movements. The bigger company size has the more significant of the exchange rate exposure. The beta coefficient of current ratio and book-to-market ratio all show a negative relationship to exchange rate exposure. Nevertheless, all the beta coefficients don't reach the significant level, and thus there's no statistic meaning inside.

並列關鍵字

Cross-Sectional Analysis ； Exchange Rate Exposure ； Exchange Rate Risk ； Regression Analysis ； y Exponential Smoothing Technique

參考文獻

Adler, M., and Dumas B., 1984 “Exposure to Currency Risk : Definition and Measurement.” Financial Management, Summer 41-50.

Allayannis, George and Eli Ofek. 2001, “Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives.” Journal of International Money and Finance 20, .273-296.

Bartov, E., Bodnar, Gordon M. 1994, “Firm Valuation, Earnings, Expectations and the Exchange Rate Exposure Effect.” Journal of Finance, December vol XLIV, no. 5, 1755-1785.

Block, S. B., and T. J. Gallagher. 1986, “The Use of Interest Rate Futures and Options by Corporate Financial Managers.” Financial Management 15, 73-78.

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 12,29-45.