| 摘要: | 本文以台灣及韓國大型公司為研究對象，探討在2001年至2011年間，美元匯率變動對於公司股價報酬的影響。在分析兩國企業之匯率曝險 (foreign exchange exposure) 程度方面，因研究期間發生金融海嘯，匯率短期間波動加劇，故本文進一步討論金融海嘯之發生，是否會造成企業匯率曝險程度及方向的改變。本文採用Jorion (1990) 所提出之修正後資本市場模型 (market model) 估計匯率曝險的大小，並採用台灣50及韓國KOSPI50指數之成份股為研究樣本，第一階段研究結果顯示，台灣樣本中有25%的企業對於匯率有顯著曝險，並且普遍存在負向曝險，而韓國樣本中，顯著比率則高達67.86%，且普遍存在正向曝險。在第二階段研究結果發現，在金融海嘯發生時期，新台幣及韓圜兌美元匯率均發生短期快速貶值，但台灣及韓國企業對匯率曝險的顯著比例都無明顯上升，原正向曝險的企業會有曝險值下降，或轉變為負向曝險，造成顯著正向顯著曝險比例下降，原負向曝險的企業則有曝險值增加，及顯著比例上升的現象。This text regards large-scale company of Taiwan and South Korea as the research object, canvass it between 2001 and 2011, the change of exchange rate of U.S. dollar, to the influence of stock price remuneration of company. In analyzing intensity of foreign exchange exposure of the enterprise of the two countries, because financial tsunami takes place while studying, the exchange rate fluctuates and aggravates among a short time, so this text further discusses the taking place of financial tsunami, whether will cause the changes of enterprise foreign exchange exposure's intensity and direction. This literary grace uses Jorion (1990) Estimate foreign exchange exposure's size in model of capital market after the revision put forward, and adopt Taiwan 50 and South Korean KOSPI50 index composition burst in order to study samples, the first stage result of study reveals, there are 25% of the enterprises that show the exposure to the exchange rate in the sample of Taiwan, and generally exist and shoulder to the exposure, but in the South Korean sample, it is up to 67.86% to show the rate, and the forward exposure generally exists. Result of study find take place period in financial tsunami, New Taiwan dollar, and South Korean Won cash the intersection of U.S. dollar and exchange rate take place, devalue fast a short time in second stage, but Taiwan and South Korean enterprise showing the proportion without obviously rising to foreign exchange exposure, enterprises of the original forward exposure will have exposure value that drop, or change into shouldering the exposure, cause apparently to show the proportion of exposure to drop forward, have exposure value that increase to enterprises of the exposure to shoulder originally, and show the phenomenon that the proportion rises. |
