台灣上市公司「產業匯兌損益指標」之研究

Industrial Indexes of Foreign Exchange Gains and Losses and Industrial Exposures to Major Foreign Currencies

逯仲玫(Chung-Mei Lu)

指導教授 ： 林修葳

國立臺灣大學/管理學院/國際企業學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.10321

摘要

本研究建立「產業匯兌損益指標」，藉以呈現2004年1月1日到2011年3月31日間，台灣上市公司中鋼鐵工業、汽車工業、半導體產業、光電產業、電子零組件產業以及電腦及週邊產業的匯兌損益，並檢測各產業匯兌損益受美元、日圓、歐元以及人民幣匯率變動的影響。進一步探討這六大產業的股市報酬率是否受各主要外幣匯率變動影響。並且探討各產業經理人在面對匯率波動時，尤其是產業匯兌損益總數值較大的產業，是否在匯率風險操作管理面，獲得匯兌利益者，較不積極趨避匯率風險，而有匯兌損失者，較會積極趨避匯率風險。
研究結果顯示在電子工業相關產業，如半導體、光電、電子零組件以及電腦及週邊產業的匯兌損益，皆受到美元匯率變動的正向影響，顯示在直接報價法下，美元匯率升值時，有顯著的匯兌利益，而美元匯率貶值時，有顯著的匯兌損失。其中光電產業以及電子零組件產業亦受到日圓匯率變動的負向影響，在直接報價法下，日圓匯率升值時，有顯著匯兌損失，而日圓匯率貶值時，有顯著匯兌利益。
但是電子工業相關產業的股票市場報酬率並沒有受到美元匯率變動的顯著影響；反而在汽車、半導體、電子零組件以及電腦及週邊產業的產業季報酬率，受到歐元匯率變動的顯著正向影響，顯示在直接報價法下，歐元匯率升值時，對這些產業的報酬率有顯著正向影響。
而產業匯兌損益總數值較大的電腦及週邊產業，前期「產業匯兌損益指標」報酬率較正者，後期「產業匯兌損益指標」報酬率絕對值也較高，可得知產業經理人在獲得匯兌利益時，較不積極趨避匯率風險，而有匯兌損失時，較積極趨避匯率風險。

關鍵字

匯兌損益 ； 產業匯兌損益指數 ； 匯率風險暴露 ； 匯率變動

並列摘要

This empirical study aims to construct Industrial Indexes of Foreign Exchange Gains and Losses and explore the extent to which Taiwan’s listed firm earnings are affected by U. S. dollar, Japanese yen, Euro and Renminbi exchange rate changes.
This study chooses the iron and steel industry, the automobile industry, the semiconductor industry, the light electrical industry, the electronic spare parts industry and the computer and peripheral industry from Taiwan’s listed corporations during 2004/01/01 to 2011/03/31. It also tests whether the stock returns of firms in these six industries may be explained by the exchange rate variation.
The findings indicate that in semiconductor, light electrical, electronic spare parts and computer and peripheral industries, the exchange gains and losses associated with U. S. dollars exchange rate variation are most pronounced. Furthermore, in the light electrical and the electronic spare parts industries, Japanese yen exchange rate variation serves to explain the foreign exchange gains and losses.
Nevertheless, in the electronics related industry, the U. S. dollars variation does not help explain the industrial stock return. In contrast, in the automobile, the semiconductor, the electronic spare parts and the computer and peripheral industries, the industrial security return is affected by Euro exchange rate variation.

並列關鍵字

Exchange Gains and Losses ； Industrial Indexes of Foreign Exchange Gains and Losses ； Currency Risk Exposure ； Exchange Rate Variation

參考文獻

Bartov, E. and G. M. Bodnar (1994), “Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect” Journal of Finance , December 1994, Vol. XLIV,

Rees, Bill and Sanjay C. Unni (2005), “Exchange Rate Exposure among European Firms: Evidence from France, Germany and the UK.”Accounting and Finance, Vol. 45, No. e, pp. 479-497, November 2005

Bodnar, G. M. and W. M. Gentry (1993), ”Exchange rate Exposure and Industry Characteristics：Evidence from Canada, Japan and the USA” Journal of International Money and Finance, Vol.8, p233-251.

Bodnar, G. M. and M. H. F. Wong (2000), “Estimating Exchange Rate Exposures: Some “Weighty” Issues” Working Paper, January 2000, 55.

Choi, J. J. and A. M. Prasad (1995), “Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals” Financial Management,