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題名：臺灣上市公司不同產業的外匯風險之實証研究
書刊名：亞太管理評論
作者：徐守德 引用關係／郭照榮 引用關係／蔡明憲／江淑貞 引用關係
作者(外文)：Shyu, David／Kuo, Chau-jung／Taisy, Min-shann／Gian, Su-zen
出版日期：1999
卷期：4:2
頁次：頁131-146
主題關鍵詞：外匯風險；產業特性；市場模式；Foreign exchange risk；Industrial characteristics；Market model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(5) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:0
  • 點閱點閱:24
　　　　　本文透過証券市場報酬來瞭解產業所面臨的外匯風險，同時就產業特性與外匯風 險之關係做相關性的檢定。為了消除市場因素對股票市場所造成的扭曲，本文以「市場模 型」中的市場風險係數來消除市場的干擾。由實証結果發現各產業的股票報酬的確受匯率 變動所影響，且股票報酬變動落後匯率變動。台灣產業中有88.90%面臨負的外匯風險，亦 即台灣升值會對大部分的產業造成不利影響。就股價對匯率變動反映效率，資訊電子業的 效率最佳，其解釋能力也最好。此結果與Bodnar and Gentry的實証結果一致，亦即外銷依 存度愈高，該產業的外匯風險也愈大，而上市資訊業的總外銷比率高達70%，因而該產業具 有高度外匯風險是相當合理之實証結果。產業特性對外匯風險的影響，產業外銷比率與產 業獨占力這兩項因素對外匯風險的影響並不大，但這二項因素卻會影響產業的系統風險。 產業的獨占力愈大，該產業的系統風險也愈低；而產業的外銷依存度愈大，該產業的系統 風險則愈高。
　　　　　This paper attempts to investigate the foreign exchange risk through stock market returns. It looks at the relationship between industrial characteristics and foreign exchange risk. The empirical results indicate that the changes of foreign exchange rates do affect the industrial stock returns. The changes of foreign exchange rates lead the changes of stock returns. There exists 88.90% of negative foreign exchange risk. As far as the efficiency of changes of foreign exchange rates to stock returns is concerned, information and electronic industries exhibit the highest efficiency and explanation power. This results are also consistent with Bodnar and Gentry's findings. As far as the impact of foreign exchange risk on industrial characteristics is concerned, the influence of industrial exporting ratio and monopolistic power on foreign exchange risk are not significant. On the other hand, above two factors do affect industrial systematic risk. Specifically speaking, the higher the monopolistic power, the lower the systematic risk. The higher the exporting dependence, the higher the systematic risk.
期刊論文
1.Eun, C. S.、Resnick, B.(1988)。Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection。Journal of Finance，43(1)，197-215。  new window
2.Chiang, T. C.(1991)。International asset pricing and equity market risk。Journal of International Money and Finance，10(3)，349-364。  new window
3.Branson, W. H.(1977)。Asset Markets and Relative Prices in Exchange Rate Determination。Sozialwissenschaftliche Annalen，1，69-89。  new window
4.Engel, C.(1992)。On the foreign exchange risk premium in a general equilibrium model。Journal of International Economics，32(3/4)，305-319。  new window
5.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14(1/2)，3-24。  new window
6.Booth, L.、Rotenberg, W.(1990)。Assessing Foreign Exchange Exposure: Theory and Application Using Canadian Firms。Journal of International Financial Management and Accounting，2(1)，1-22。  new window
7.Adler, M.、Dumas, B.(1984)。Exposure to Currency Risk: Definition and Measurement。Financial Management，13(2)，41-50。  new window
8.Jorion, P.(1990)。The Exchange-Rate Exposure of U. S. Multinationals。Journal of Business，63(3)，331-345。  new window
9.李紀珠(19920400)。有效匯率指數、實質購買力、出口競爭力與新台幣匯率。臺灣經濟金融月刊，28(4)=327，14-24。  延伸查詢new window
10.錢盡忠(1990)。台灣地區匯率與股價因果關係之實證研究。證券管理。  延伸查詢new window
11.Abuaf, N.、Jorion, P.(1990)。Purchasing Power in the Long Run。Journal of Finance，1990(Mar.)，157-174。  new window
12.Adler, M. and Lehman, B.(1983)。Deviations from PPP in the Long Run。Journal of Finance，1983(Dec.)，1471-1487。  new window
13.Benet, Bruce A.(1992)。Hedge Period Length and Ex-Ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges。Journal of Future Markets，1992(Apr.)，163-173。  new window
14.Bodnar, Gordon M.、Gentry, Willian M.(1993)。Exchange Exposure and Industry Characteristics Evidence from Canada, Japan, and the U. S. A.。Journal of International Money and Finance，1993(Feb.)，29-45。  new window
15.Booth, L.(1982)。Hedging and Foreign Exchange Exposure。Management International Review，1982(Spring)，26-42。  new window
16.Bradford, Cornell(1980)。Inflation Relative Price Changes, and Exchange Risk。Financial Management，1980(Autumn)，30-34。  new window
17.Ceglowski, J.(1989)。Dollar Depreciation and U. S. Industry Performance。Journal of International Money and Finance，1989(Jun.)，233-251。  new window
18.Cheng, Leonard(1983)。Ex Ante Plant Design, Portfolio Theory, and Uncertain Terms of Trade。Journal of International Economics，14(1/2)，25-52。  new window
19.Dufey, Gunter、Srinivasulu, S. L.(1983)。The Case for Corporate Management of Foreign Exchange Risk。Financial Management，1983(Winter)，54-62。  new window
20.Eaker, M. R.(1981)。The Numeraire Problem and Foreign Exchange Risk。Journal of Finance，1981(May)，419-426。  new window
21.Fama, Engene F.(1973)。A Note on the Market Model and the Two-Parameter Model。Journal of Finance，32-48。  new window
22.Flicker, Scott R.、Blina, Dennis M.(1990)。Managing Foreign Currency Exchange Risk。Journal of Accountancy，1990(Aug.)，21-25。  new window
23.Glaum, Martin(1990)。Strategic Management of Exchange Rate Risks。Long Range Planning，1990(Aug.)，65-72。  new window
24.Korajczyk, Robert A.、Viallet, Claude J.(1992)。Equity Risk Premia and the Pricing of Foreign Exchange Risk。Journal of International Economics，1992(Nov.)，199-219。  new window
25.Ma, T.、Kao, J. C.(1990)。Assessing Foreign Exchange Exposure。Journal of International Financial Management and Accounting，1990(Jun.)，23-40。  new window
26.Schnabel, Jacques A.(1989)。Exposure to Foreign Exchange Risk: A Multi-Currency Extension。Managerial & Decision Economics，10(4)，331-333。  new window
27.Sercu, S.(1990)。The Exchange Rate Exposure of U.S. Multinationals。Journal of International Economics，1990(Feb.)，3-24。  new window
28.Soenen, Luc A.、Madura, Jeff(1991)。Foreign Exchange Management--A Strategic Approach。Long Range Planning，1991(Oct.)，119-124。  new window
29.Binder, J. J.(1985)。On the Use of the Multivariate Regression Model in Event Studies。Journal of Accounting Research，23(1)，370-383。  new window
30.顏錫銘、劉弘毅(19920300)。臺灣國際企業交叉規避匯率風險之實證研究。臺灣銀行季刊，43(1)，35-59。new window  延伸查詢new window
31.Khoo, Andrew(1994)。Estimation of foreign exchange exposure: an application to mining companies in Australia。Journal of International Money and Finance，13(3)，342-363。  new window
學位論文
1.吳一舜(1991)。進口原料、國外商品價格與央行之匯率、貨幣政策(碩士論文)。國立中興大學。  延伸查詢new window
2.翁書儒(1992)。預期與非預期總體經濟變數對我國股價指數影響之實證研究(碩士論文)。國立政治大學。  延伸查詢new window
3.游重斌(1991)。匯率與股價的互動實證研究--以台灣地區為例(碩士論文)。國立清華大學。  延伸查詢new window
4.潘璟靜(1992)。臺灣貨幣購買力平價成敗之探討(碩士論文)。國立中正大學。  延伸查詢new window
5.蘇正哲(1992)。股價､匯率動態與政策的跨國影響--以兩對稱國模型分析(碩士論文)。東吳大學。  延伸查詢new window
圖書
1.Dominguez, K.(1992)。Exchange-Rate Efficiency and the Behavior of International Asset Markets。New York：Garland Publishing。  new window
圖書論文
1.吳致寧(1995)。台灣長期購買力評價説之實證研究。開放總體經濟論文集。中央研究院經濟研究所。  延伸查詢new window
2.Adler, Michael(1982)。Translation Methods and Operational Foreign Exchange Risk Management。International Financial Management。Stockhdlm：Norstedts。  new window
3.Roll, R.(1979)。Violations of Purchasing Power Parity and Their Implications for International Commodity Markets。International Financial and Trade。  new window
 
 
 
 
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