摘要(英) |
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.
|
參考文獻 |
1.張紹基及蘇松齡,2001,台灣出口廠商面臨的匯率風險,企業管理學報,第51期,87-108。
2.張忠謀,科技新觀-匯率對出口商的影響,2011年5月9日經濟日報A3版。
3.周麗娟、林靖中及陳勝源,2003,未預期匯率變動對股票報酬率及波動性之影響,中山管理評論,第11卷第4期,613-639。
4.董澍琦、楊聲勇及紀妤瑩,2002,台灣多國籍企業外匯風險曝露之研究,亞大經濟合作評論,第9期,36-49。
5.高櫻芬及施衍礽,2002,台灣價值與匯率變動之間的關係:台灣上市公司之實證研究,風險管理學報,第4卷第1期,19-45。
6.藍麗惠、廖源星及林育志,2007,臺灣金融機構之外匯風險,臺灣經濟預測與政策,第38卷第1期,127-151。
7.林育志,2010,外匯風險迷思現象:台灣上市公司之實證研究,財務金融學刊,第18卷第3期,33-62。
8.許嘉棟,匯率升貶的魚與熊掌,台灣銀行家,第16期,8-12。
9.蘇鼎欽,台灣上市公司之外匯風險因子與金融風暴前後之變化,2000,中央大學財務管理研究所碩士論文。
10.王仁甫,2009,匯率競貶是金融狂捲的希望或恐懼?,台灣經濟研究月刊,第32卷第10期,39-49。
11.王雪華,匯率曝險與市場競爭之關係-以台灣電子業為例,2012,中央大學財務金融學系未出刊碩士論文。
12.吳冠霖,台灣上市公司所面臨之匯率風險的決定因素的探討,2006,中正大學財務金融研究所碩士論文。
13.楊聲勇、董澍琦、郭憲章及徐偉軒,2009,外匯衍生性商品使用與企業匯率風險曝露:以台灣企業為例,臺大管理論叢,第20卷第1期,157-188。
14.Alder, M. and B. Dumas, 1984, “Exposure to Currency Risk: Definition and Measurement,” Financial Management, 13, 41-50.
15.Bartov, E. and G.M. Bodnar, 1994, “Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect,” Journal of Finance, 49, 1755-1785.
16.Chamberlain, S., J.S. Howe, and H. Popper, 1997, “The Exchange Rate Exposure of U.S. and Japanese Banking Institutions,” Journal of Banking and Finance, 21, 871-892.
17.He, J. and L.K. Ng, 1998, “The Foreign Exchange Exposure of Japanese MNC,” Journal of Finance, 53, 733-753.
18.Jorion, P., 1990, “The Exchange-Rate Exposure of U.S. Multinationals,” Journal of Business, 63, 331-345.
19.Li, D., F. Moshirian, T. Wee, and E. Wu, 2009,“Foreign exchange exposure: evidence from the U.S. insurance industry,”Journal of International Financial Markets, Institutions and Money 19, 306-320.
20.Martin, A. D. and L. J. Mauer, 2005, “A Note on Common Methods Used to Estimate Foreign Exchange Exposure,” Journal of International Financial Markets, Institutions and Money, 15, 125-140.
21.Muller, A. and W.F.C. Verschoor, 2006, “Foreign Exchange Risk Exposure: Survey and Suggestions,” Journal of Multinational Financial Management, 16, 385-410.
22.Schena, P.J., 2005, “Measuring and Managing the Foreign Exchange Exposure of Chinese Companies: Recent Evidence,” unpublished manuscript.
23.Walsh, E.J., 1994, “Operating Income Exchange Rate Changes and the Value of the Firm: An Empirical Analysis,” Journal of Accounting, Auditing and Finance, 9, 703-724.
|