匯率波動對台灣上市公司股票報酬率的影響

自 1973 年之後，各國都採取浮動匯率制度，而台灣以出口為主的公司價值會受到匯率的波動的影響。而本研究以台灣證券交易所的上市公司，共計 541 家為研究對象，以 1993年 1 月至 2011 年 3 月為研究期間，探討未預期的匯率變動對台灣上市公司的影響情形及影響外匯暴露之決定因素，首先，我們以雙因子模型來衡量未預期的匯率變動對上市公司價值的影響，實證結果發現台灣上市公司的外匯暴露顯著比例只有 25%。其中，外匯暴露係數正值多過於負值，表示，新台幣的貶值的確會增加上市公司的價值。考慮到上市公司所面臨的外匯暴露會隨者時間而改變，而得到的外匯暴露顯著比例反而只有 13.6%，而外匯暴露係數正及負值顯著的比例幾乎相同。接者利用縱橫資料 (panel data) 來探討影響外匯暴露的決定因素，其因素之變數為外銷比率、公司規模、速動比率、負債比率、帳面價值對市場價值比及經驗。實證結果發現不論是線性或非線性，上市公司所要面臨的外匯暴露與公司規模及帳面價值對市場價值比有顯著的負相關。而非線性的部分發現速動比率 (QR_it) 及經驗 (AGE_it)的線性皆呈現正向顯著，而非線性皆呈現負向顯著，其圖形皆呈現倒U的形狀。

關鍵字

外匯暴露之決定因素；縱橫資料；外匯暴露

並列摘要

This thesis examines the effect of unexpected exchange rate exposure on the value of enterprise and the determinants of exchange rate exposure in Taiwan. The sample used in this study consists of 541 corporations from January 1993 to March 2011. Based on the two factor model, empirical evidences show that about 25 percent of Taiwanese listed companies' stock returns experienced economically significant exposure effects with positive coefficient of exchange rate exposure. It signifies that the depreciation of New Taiwan dollar will increases the value of listed companies. We also employ the panel data approach to explore the determinants of exchange rate exposure, including of the export ratio, size, quick ratio, debt ratio, book-to-market value of equity, and AGE. Empirical evidence shows that no matter the linear or the nonlinear, the size of the company and book-to-market value both have negative and significant effect on the exchange rate exposure. For the nonlinear effect, we find the quick ratio and AGE have positive effect on the exchange rate exposure. We also find the nonlinear pattern shows reversed U-shape.

並列關鍵字

Exchange Rate Exposure ； panel data ； the determinants of exchange rate exposure

參考文獻

高櫻芬與施衍礽。 (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，4， 19-45。

Adler, M., & Dumas, B. (1984). Exposure to currency risk: definition and measurement. Financial Management, 13(2), 41-50.

Allayannis, G., & Ofek, E. (2001). Exchange rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance, 20(2), 273-296.

Bartram, S.M. (2004). Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations. Journal of International Money and Finance, 23(4), 673.

Chamberlain, S., Howe, J.S., & Popper, H. (1997). The exchange rate exposure of US and Japanese banking institutions. Journal of Banking & Finance, 21(6), 871-892.

國際替代計量

匯率波動對台灣上市公司股票報酬率的影響

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