企業以遠期外匯作為匯率避險執行策略之探討

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題名:	企業以遠期外匯作為匯率避險執行策略之探討
作者:	徐春民;Hsu, Chun-Ming
貢獻者:	財務金融學系在職專班
關鍵詞:	遠期外匯;匯率避險;避險策略;新台幣匯率;外匯風險管理;forward foreign exchange;exchange rate hedging;hedging strategy;New Taiwan dollar exchange rate;oreign exchange risk management
日期:	2025-07-18
上傳時間:	2025-10-17 12:05:36 (UTC+8)
出版者:	國立中央大學
摘要:	台灣的經濟與全球的經濟和金融環境的變動密切相關，國際的重大政治或經濟變動極可能引發台灣外匯市場的顯著震盪與變化。台灣經濟高度依賴進出口貿易，而企業的進出口業務所面臨的外匯風險與國際匯率走勢緊密相連。在匯率波動的不確定性下，企業可能面臨難以掌控的經營風險，進而對其公司價值造成潛在衝擊。本研究以台灣的出口廠商S公司為例，探討企業如何利用遠期外匯合約作為匯率避險的執行策略，分析S公司在2009年至2024年間新台幣兌美元匯率波動環境下的避險效果。S公司為一家以出口為主的電子業上市公司，高度依賴國際貿易，承擔顯著的外匯曝險。本研究透過模擬自然避險、固定比例避險（30%、50%、70%）、100%全部避險及連續避險策略，比較不同天期（30天、60天、90天、120天遠期匯率）的避險績效，並採用平均報酬、標準差及夏普比率作為績效指標。研究結果顯示，50%固定比例避險策略在90天及120天期表現最佳，其損益的夏普比率分別為-0.2675及-0.2136，而120天連續避險策略的損益波動性最低，標準差為4,086,610元，穩定性較高。自然避險策略之損益的波動度最高，其標準差為6,064,364元，顯示在匯率波動劇烈的環境下，避險效果不佳。本研究建議企業建立全面的外匯風險管理機制，根據匯率趨勢與風險偏好選擇合適策略，並完善內部控制以應對匯率的不確定性。後續研究可探討多元避險組合、避險時機選擇及新興避險工具，以提供更全面的風險管理方案。 ;Taiwan′s economy is closely related to changes in the global economics and financial environment. International political or economic fluctuations can induce significant shocks and impacts on the foreign exchange market in Taiwan. Taiwan is highly dependent on international trade, and the foreign exchange exposure of import and export businesses is directly linked to the movement in the USD/TWD exchange rates. Amid the uncertainty of exchange rate fluctuations, companies may face operational risks that are difficult to control, which in turn can have a potential impact on their operating value. Basing on the actual transaction data of Company S, a Taiwanese company, this thesis studies how companies can use forward contracts to hedge exchange rate exposure and analyzes the hedging performance for USD/TWD exchange rate during the period from 2009 to 2024. Company S is a listed company in the electronics industry in Taiwan Stock Exchange (TWSE) and mainly exports goods to the U.S. It is highly dependent on international trade and has significant foreign exchange exposure. The thesis analyzes and compares the hedging performance of forward contracts for various maturities (30-day, 60-day, 90-day, and 120-day) by simulating the performance of many strategies, including natural hedging, fixed-ratio hedging (30%, 50%, and 70%), 100% total hedging, and continuous hedging strategies. We consider the average return, standard deviation of the return, and Sharpe ratio to evaluate the hedging performance. The results show that the 50% fixed ratio hedging strategy performs best for using forwards with maturities of 90 and 120 days, with Sharpe ratios of -0.2675 and -0.2136, respectively, while the return of the continuous hedging strategy of forward with the maturity of 120 days has the lowest volatility and is relatively stable. The return of the natural hedging strategy has the highest volatility and is not very effective in hedging under situations of dramatic fluctuations of exchange rates. The results suggest that companies can consider establishing a comprehensive foreign exchange risk management mechanism, select appropriate strategies based on exchange rate trends and risk appetite, and improve internal controls to cope with uncertainty in exchange rates. The future research can further explore diversified hedging portfolios, hedging timing selection and emerging hedging tools to provide a more comprehensive risk management solution.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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