| 摘要: | 本研究旨在分析台灣電子次產業─網路通訊族群的外匯風險狀況。研究方法上，本文捨棄傳統的「資本市場法」，改採用Almon (1965)所提出的「多項式遞延分配模型」來計算長短期外匯曝險，另一方面，我們不以股價報酬，而改以能直接反應公司營運狀況的「營業利益」做為分析公司價值是否受到匯率變動影響之變數。本文的主要貢獻有二，其一，我們改變過去國內文獻對於電子產業外匯風險的研究方法，賦予此議題新的詮釋。其二，本文同時分析了12種貨幣之外匯風險，可補充過去文獻多以美金、日圓作為研究對象之不足。本文的實證結果發現，網通族群所承受的外匯曝險多為長期，當期或短期曝險的比例並不高。另外，平均來看，上櫃公司的外匯風險高於上市公司，通訊類公司的外匯風險高於網路類公司。而在整體網通族群中，相較於其他業者，手機製造業與光纖產品業的外匯風險較高，至於外匯風險最低者為系統整合與電信數據服務業者。另一方面，從個別公司角度，超過六成的公司具有兩種以上的外匯曝險，顯示網通族群針對匯兌風險所採取之避險操作普遍不佳，大部分並無法完全免除外匯風險。最後，造成外匯曝險(是否顯著、曝險程度)的決定因素，不論公司的營運特性，或者是公司的投資避險特性上來看，都至少對一種貨幣所造成的外匯曝險具有解釋能力。故整體來看，營運特性因子─公司規模、營業收入成長率、現金流量允當率，以及投資避險因子─流動比率、長期投資對總資產比、長期負債對股東權益比，皆是外匯風險的決定因素之一，而除了公司規模與長期負債對股東權益比對外匯風險的影響為負向之外，其於因子皆為正向。 This study analyzes the foreign exchange rate exposure and its determinants of listed and OTC-listed electronic corporations in Taiwan, particularly for network and communication firms. For our purpose to investigate the short-term and long-term foreign exchange rate exposure, we adopt the “polynomial distributed lag model” from Almon (1965) to replace the conventional “capital market approach”. In addition, we use operation revenue rather than stock price return as the proxy of firm value, to avoid the possible bias from noise trading in the stock market. Our analyses go for twelve different currencies, and the empirical findings can be summarized as follows. First, the majority of network and communication firms do not have the short-term foreign exchange rate exposure, but bear the long-term foreign exchange rate exposure. Second, on average, the listed firms in OTC have higher foreign exchange rate risk than the listed firms, and then the communication firms have higher foreign exchange rate risk than the network firms. In addition, among all the network and communication firms, the mobile phone manufacturing and optical fiber manufacturing firms have highest foreign exchange rate risk; on the contrary, the system conformity and telecommunications service firms have the lowest risk. Finally, we find the six firms characteristics factors, including size, operation growth ratio, C/F adequacy ratio, current ration, long-term investment to total asset, long-term debt to total equity, etc., could be the determinants of foreign exchange rate exposure. Moreover, size and long-term debt to total equity have negative effect, and the rest of factors then have positive effect. |
