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  • 學位論文

未預期匯率變動對股票報酬的影響-以台灣半導体公司為例-

The Impact of Unexpected Change in Exchange Rate on Stock Return : Evidence from Taiwanese Semiconductor Firms

指導教授 : 吳博欽

摘要


隨著全球化的推展台灣對外貿易與投資亦呈現蓬勃的發展。加上央行對外匯市場的開放尊重市場機制,電子產業已成為最大產值的產業,且為主要的外銷產業,而對國外市場仰賴程度更遠大於國內市場,一旦匯率發生未預期的變動,將影響公司的營運與穫利。換言之,電子公司的價值,受到匯率變動的影響最大,亦即公司的價值暴露於匯率的變動中。因此,如何評估匯率曝露,以及重要公司財務變數對於匯率曝露的影響為何,對於股市投資人而言,均是相當重要的工作。 然而所影響的企業並不僅限於國際化的公司,國內導向之公司亦無法置身於匯率風險之外,特別是台灣的電子產業。因此,本研究以台灣上市櫃電子類別中的半導體產業為研究對象,探討電子產業匯率曝露情形,以及台灣上市櫃電子半導體業股票報酬率,受美元匯率變動影響的程度。研究期間為2001年1月至2009年12月共計9年,採用月報酬資料,並利用自我迴歸模型估計未預期匯率成份,以判斷公司價值是否會受到未預期變動率的影響。 實證結果顯示,對全體半導體族群而言,平均顯著外匯曝險有25%,且曝險的結果會隨著產業特性不同而有差異。至於本研究所穫得匯率曝露的顯著程度和數值都較過去文獻的結論來的大,其可能原因在於公司已廣泛使用衍生性金融商品,以從事避險。其次,公司價值對匯率升貶值的情況存在不對稱反應,特別是在全體樣本公司、上游IC設計及中游IC製造。此外,在考慮正交後的匯率反而降低匯率曝險的顯著性,其可能原因為處理正交的方式有很多種,故本文所考慮正交方式雖未能提高顯著性,卻也不表示使用其他正交方式亦將如此。

並列摘要


With the speed promotion of globalization, Taiwan’s foreign trade and investment also develop vigorously. In addition, the phenomenon central bank obeys the price mechanism of foreign exchange market also stimulate the growth in Taiwan’s electronic industry. The industry has the largest output value and is the major export industry in Taiwan. more importantly, the sales of electronic industry are more dependent on foreign market than domestic market. Once there has unexpected change of exchange rate, the operation and earning of the firms are deeply influenced. In other words, firm value is exposed in the unexpected variation of exchange rate. Therefore, how to evaluate exchange rate exposure and how about the effects of financial digits on exchange rate exposure are important tasks for stock investors. In addition to international firms, domestic firms are also exposed to foreign exchange risk, especially for Taiwan electronics industry. Therefore, this study takes the Semiconductor firms, listed in Taiwan stock exchange corporation (TSEC), as sample objects to explore how NTD/USD exchange rate influences firm value. The sample period spans from January, 2001 to December, 2009. Moreover, this study uses the autoregressive model of exchange rate to estimate the unexpected component of exchange rate. The empirical results reveal that the ratio of exchange rate exposure in whole Semiconductor Industry is 25% averagely; this result varies with industry characteristic. The significance and value of exchange rate exposure in this study is higher than the ones in previous studies. The probable reason is that the firms have realized to use financial derivatives to hedge foreign exchange risk. Moreover, firm value responds to the appreciation and depreciation of exchange rate asymmetrically, especially in the whole sample firms, upstream IC design and middle stream IC manufacturing firms. Finally, by employing the orthogonalized exchange rate, the significance of exchange rate exposure will decrease. The possible reason is that there are many methods to deal with the orthogonal problem. Although this study get low significant ratio, it doesn’t mean other orthogonal ways also obtain the same result.

參考文獻


葉諮諺(2009),「未預期匯率對公司價值的影響」,中原大學國際貿易學系碩士論文。
施衍礽,高櫻芬(2002),「公司價值與匯率之間的關係:台灣上市公司之實證研究」, 風險管理學報,第四卷,第一期,19-45。
曾韻中(2007),「經際因素避險措施與現金流量風險值」,中原大學國際貿易學系碩士論文。
黃珮純(2007),「總體因素與現金流量風險值:台灣半導體產業之實證分析」,中原大學國際貿易學系碩士論文。
Adler, M., and B. Dumas, 1984, “Exposure to Currency Risk:Definition and Measurement,” Financial Management, Vol.13, PP.40-50.

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