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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72531


    Title: 外匯避險策略與國際主要金融機構在中國大陸發展經驗對台資銀行之啟示論文集
    Two Essays on Exchange Hedging Strategies and Lessons from Experiences of Foreign Banks in China to Taiwanese Banks
    Authors: 盧淑惠
    Lu, Shu Hui
    Contributors: 廖四郎
    朱浩民
    Liao, Szu Lang
    Chu, Hau Min
    盧淑惠
    Lu, Shu Hui
    Keywords: 外匯避險
    選擇性避險
    外資銀行
    大陸台資銀行
    Foreign exchange hedge
    Selective hedging
    Foreign bank
    Taiwanese banks in China
    Date: 2014
    Issue Date: 2015-01-05 11:18:16 (UTC+8)
    Abstract: 台灣屬於「海島型經濟體」，受到國內面積小、人口數量少及資源有限等特性，拓展出口及海外市場成為經濟重要影響因素。從出口企業面來說，外匯波動成為最大風險，因此如何透過避險策略來降低風險，成為重要課題。而近年來銀行業海外布局，係以中國大陸為主要市場，台資銀行在發展上晚於國際主要金融機構，因此可借鏡其發展經驗做為策略規劃之參考。本論文擬分別就上述兩項議題進行研究。
    在外匯避險策略研究上，本文以台資出口商角度進行美元遠匯避險操作分析，並以實務上所採行6個月內之避險期間，分別以完全避險及最適避險比率，以及配合各項避險策略來分析其相關避險績效。其中避險績效衡量包含風險抵減程度、風險與報酬併同衡量及隨機優佔原則等。研究發現：若單以風險為考量，則以全期間避險原則及完全避險比率為最佳，但若同時考量報酬及避險成本下，雖然整體避險投資組合單位風險報酬降低，則在最適避險比率及3個月避險期間下，採行遠期避險原則相對其他為優。然而在隨機優佔方面，則是以6個月天期輔以遠期避險與實質利率避險組合原則具有一階隨機優佔特性，而對於避險期間則無任何二階與三階優佔情形；在最後本文亦將研究期間區分為金融海嘯前與金融海嘯後來予以分析，基於金融海嘯後匯率波動與曝險程度相對為高，故其對各項績效衡量指標表現相較於金融海嘯前表現更為顯著。
    在台資銀行海外布局中國大陸市場之研究上，2001年12月中國大陸加入WTO，金融市場循序對外開放，國際主要金融機構紛紛搶進中國大陸設立分行及參股當地銀行，隨著2006年底中國大陸對WTO金融市場開放承諾事項的完全實施，外資銀行更加緊腳步申設獨立的法人機構(子行)，然而台資銀行卻因受兩岸政策之限制，發展時程與規模遠落後於國際主要金融機構。但也因此，在後續發展上得以借鏡外資銀行在中國大陸之發展經驗。本研究首先說明中國大陸銀行業之現況與未來發展，整理外資銀行在中國大陸發展情況及後續機會與挑戰，並以外資銀行進入中國大陸之資料，進行統計實證分析。最後歸納外資銀行在中國大陸發展經驗對台資銀行之啟示，以為台灣銀行業未來登陸及進一步之發展做出結論與建議。
    Taiwan is an island-style economy, under the conditions of small size, limited population and natural resources, to increase export and overseas market have became critical issues. From the perspective of Taiwan export-oriented firms, reducing foreign exchange fluctuation through hedging is an important question. Furthermore, recently Taiwan banking corporations are eager to develop overseas market, especially China. However, due to politic restriction, their entry and developing actions in China are much slower than international financial institutions. As a result, the experiences from international financial institutions could be good references to Taiwan banks. In this study, we make further analysis for the above two issues.
    To analyze USD forward exchange contract hedging strategies from the perspective of Taiwan export-oriented firms, we use forward exchange contracts within 6 months to group with the naive hedge and optimal hedge ratio separately to evaluate their hedging performances including risk reducing, hedging return, risk-return combination and stochastic dominance rules. Our results show that taking risk as the only consideration, the Whole Period Hedge Rule(WPR) and naive hedge are the best strategies. While considering both hedging portfolio return and cost, the overall hedge strategies generate lower return of unit risk, but the Forward Hedge Rule (FHR) comparatively outperforms the others under the optimal hedge ratio and 3-month horizon. Furthermore, as measuring hedging performance by stochastic dominance rules, 6-month horizon coordinated with FHR and RIR hedging strategies presents first-order stochastic dominance while none of hedge period and strategies performs significantly effective under second and third-order stochastic dominance. Finally, we divide the total sample period into two sub-periods as the pre-crisis and post-crisis period. Since the fluctuation and risk exposed levels of foreign exchange rates are relatively higher in the post-crisis period, its performances of all strategies clearly outperform the pre-crisis period.
    To analyze the development from international financial institutions, we introduce current situation and future development of Chinese banking industry. Then we collect relevant papers and materials as well as conducting the empirical study by applying the regression analysis and survival test to summarize the experiences of foreign banks in China to help Taiwanese banks into China. Finally the conclusions and suggestions are presented.
    Reference: 【英文文獻】
    1.Aliber, Robert Z.(1984), “International Banking：A Survey,” Journal of Money, Credit and Banking, vol. 16, No. 4, Part 2：Bank Market Studies.
    2.Bollerslev T., (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics(April) 31.
    3.Bryant(1987), International Financial Intermediation, Washington DC: The Brookings Institution.
    4.Buch, C. M.(2000), ” Why Do Banks Go Abroad? Evidence from German Financial Markets,” Institution & Instruments, 9 (1).
    5.Buckley, Peter. J.(1988), “The Limits of Explanation: Testing the Internalization Theory of the Multinational Enterprise,” Journal of International Business Studies, 19(2).
    6.Buckley, Peter. J., John H. Dunning, and Robert B. Pearce(1977), “The Influence of Firm Size, Industry, Nationality, and Degree of Multinationality in the Growth and Profitability of the World’s Largest Firms,” Weltwirtschaftliches Archiv, CXIV.
    7.Chen, K. M., B. K. Guo, X. Z. Lin and J. Q. Lin, (2011), "A Search of the Relationship Between NTD Real Effective Exchange Rate, Industry Upgrading and Foreign Investment", Central Bank of Republic of China (Taiwan).
    8.Chiang, Y. C., T. L. Liao and T. A. Hsiao, (2011), "Evaluating Hedging Strategies in the Foreign Exchange Market With the Stochastic Dominance Approach", Applied Financial Economics 21.
    9.Chowdhury, A. R. (1993), "Does exchange rate volatility depress trade flows? Evidence from error-correction models". Review of Economics and Statistics, 75.
    10.Di Giovanni, J.(2005), ” What Drives Capital Flows? The Case of Cross-Border M&A Activity and Financial Deepening,” Journal of International Economics, 65 (1).
    11.Eaker, M. R. and Grant, D. M., (1990), "Currency Hedging Strategies for Internationally Diversified Equity Portfolios", Journal of Portfolio Management 17.
    12.Ederington, L. H., (1979), "The Hedging Performance of the New Futures Markets", The Journal of Finance 34.
    13.Focarelli, D., & A. F. Pozzolo (2000),” The Determinants of Cross-Border Bank Shareholders: An Analysis with Bank-Level Data from OECD Countries,” Temi di discoussion no. 381, BANCA D’ITALIA.
    14.Fladmoe-Lindquist, K. and S. Tallman (1994), “Resource-Based Strategy and Competitive Advantage among Multinationals,” Advances in Strategic Management, Shrivastava P., Huff A., and J. Dutton (Eds.), 10A, Greenwich, CT: JAI Press.
    15.Goldberg Lawrence G. and Anthony Saunders (1981), “The Determinants of Foreign Banking Activity in the United States,” Journal of Banking and Finance, 5.
    16.Goldberg Lawrence G. and Anthony Saunders (1981), “The Determinants of Foreign Banking Activity in the United States,” Journal of Banking and Finance, 5.
    17.Hazuka, T. B. and Huberts, L. C., (1994), "A Valuation Approach to Currency Hedging", Financial Analysts Journal 50.
    18.Levine, R. (2002), “Bank Based or Market Based Financial Systems: Which Is Better?” Minneapolis: Department of Finance, Carlson School of Management , University of Minnesota.
    19.Morey, M. R. and M. W. Simpson, (2001), "To Hedge or not to Hedge: the Performance of Simple Strategies for Hedging Foreign Exchange Risk", Journal of Multinational Financial Management 11.
    20.Miguel Sebastian and Carmen Hernansanz (2000), The Spanish Banks’ Strategy in Latin America, Vienna, ISBN 3-902109-01-7.
    21.Outreville, J. F. (2007), “Foreign Affiliates of the World’s Largest Financial Groups: Location and Governance,” Research in International Business and Finance, 21(1).
    22.Piscitello (2003), “ The Recent Globalization of the Italian Banking Sector: an Interpretation Based on the Eclectic Paradigm” In J. Cantwell and R. Narula (Eds), International Business and the Eclectic Paradigm: Developing the OLI framework, London Routledge.
    23.Shu-Hui Lu、Szu-Lang Liao and Hui-Lung Chang (2014), "Currency Hedging Strategy and Analysis of Taiwan Export-Oriented Firms." International Research Journal of Finance and Economics, Issue 121 May, 2014.
    24.Simpson, M. W. and A. Dania, (2006), "Selectively Hedging the Euro", Journal of Multinational Financial Management 16.
    25.Slager (2005), Internationalization of Banks: Strategic Patterns and Performance, (中譯本:銀行大就美?銀行國際化的模式、策略與績效，長智文化，民96年)
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    【中文文獻】
    1.中國銀行業監督管理委員會(2013)，「中國銀行業監督管理委員會2006年年報」
    2.行政院金融監督管理委員會(2010)，「兩岸金融往來參考資料」
    3.陳望博(2013)，「中國大陸三中全會後金融市場之變革」，銀行公會會訊第78期，P6-10
    4.周秀霞(2008)，「銀行業海外擴張因素之研究」，國立政治大學金融研究所未出版之博士論文。
    5.蔡金城(1991)，「外資銀行在台投資決策因素之探討」，國立中興大學企業管理研究所未出版之碩士論文。
    【資料庫、網站及其他】
    1.WIND資料庫
    2.中央銀行，www.cbc.gov.tw
    3.中國銀行業監督管理委員會網站， www.cbrc.gov.cn。
    4.行政院金融監督管理委員會，www.fsc.gov.tw
    Description: 博士
    國立政治大學
    金融研究所
    96352508
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0963525081
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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