日圓匯率對汽車業、觀光業、航空運輸業股價異常報酬之影響

The Influence of Japanese Yen Exchange Rate on Abnormal Stock Returns in Motor Vehicles, Tourism, and Air Transportation Industries

曾莉薇(Li-Wei Tseng)

指導教授 ： 林谷峻

共同指導教授 ： 徐志順(Chih-Shun Hsu)

淡江大學/商管學院/會計學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00475

摘要

本研究旨在探討日圓匯率對台灣汽車業、觀光業、航空運輸業股價異常報酬之影響。以2008年至2012年間之五項事件影響日圓匯率變動，採用事件研究法，共32家公司為樣本，分析台灣汽車業、觀光業、航空運輸業股價異常報酬是否受到日圓匯率變動之影響。
實證結果顯示，當日圓匯率變動對於台灣汽車業、觀光業、航空運輸業之股價皆有顯著影響。當美國金融海嘯及311日本大地震等事件影響導致日圓升值時，市場預期因日圓升值導致企業營運成本增加而企業利潤減少，故對於台灣汽車業、觀光業、航空運輸業股價異常報酬率影響為負向顯著。當安倍晉三確定出任日本總理大臣事件影響導致日圓貶值時，市場預期因日圓貶值降低企業營運成本而企業獲利增加，故對於台灣汽車業、觀光業、航空運輸業股價異常報酬率影響為正向顯著。
其實證結果可提供台灣投資人作為投資決策之參考，以及提供汽車業、觀光業、航空運輸業之主管機關制定產業經濟政策之參考。

關鍵字

日圓匯率 ； 股價異常報酬 ； 事件研究法

並列摘要

This study aims to explore the impact of Japanese Yen exchange rate on abnormal Stock Returns in Taiwan Motor Vehicles, Tourism, and Air Transportation industries. Using the five events from 2008 to 2012, in which affected the Japanese Yen exchange rate, the study analyzes,32 sample companies, whether their abnormal Stock Return are influenced by the Japanese Yen exchange rate.
The empirical results show that Japanese Yen exchange rate has a significant influence on abnormal Stock Returns of Motor Vehicles, Tourism, and Air Transportation industries. Because the events of U.S. financial crisis and March 11th Japan tsunami caused the increase in Japanese Yen appreciation, the market expected that the increase in Japanese Yen led to increase enterprise operational cost and decrease its profit. It indicates the negative effects on the abnormal stock price in the Motor Vehicles, Tourism and Air Transportation in Taiwan. When Abe Shinzo was assured to the official post as the prime minister of Japan, the Japanese Yen depreciation was expected to increase. The market expected the increase in Japanese Yen resulting in the decrease of the enterprise operational cost; therefore, the enterprise’s profit increased. Consequently, it indicates the positively significant influence on the abnormal Stock Returns in the Motor Vehicles, Tourism and Air Transportation in Taiwan.
This study contributes to providing the investors in Taiwan the reference for investment decision, and to offer the relevant authorities the reference in making the economic policies for Motor Vehicles, Tourism and Air Transportation in Taiwan.

並列關鍵字

Japanese Yen Exchange Rate ； Abnormal Stock Returns ； Event study method

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