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    題名: Exchange-rate exposure : evidence from the electronic firms in Taiwan
    作者: 黃慧怡
    貢獻者: 朱美麗
    黃慧怡
    關鍵詞: 匯率暴露風險
    Exchange-rate exposure
    日期: 2003
    上傳時間: 2009-09-18 16:04:21 (UTC+8)
    摘要: The purpose of this study is to investigate the exchange-rate exposure of the electronic firms in Taiwan. Particularly, we consider the potential correlations between the market returns and the changes in exchange rates, which are two important variables when we examine the exchange-rate exposure, and try to examine the exchange-rate exposure via nonlinear model. In contrast to previous results which used U.S. data; however, the movements of the value of the electronic firms in Taiwan, as reflected in the stock returns, seem highly sensitive to changes in the exchange rates. Examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against US dollar, the ratio of long-term debt has significant effects, but the sign is not consistent with the hypothesis. Besides, further examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against Japan Yen, we found there are only showing weak evidence for the influence of the possible determinants.
    參考文獻: Adler, M. and B. Dumas, ‘Exposure to currency risk: definition and measurement’, Financial Management, Vol. 13, 1984, pp. 41-50.
    Amihud, Y., ‘Evidence on exchange rates and the valuation of equity shares’, in Amihud, Y. and R. M. Levih, eds, Exchange Rates and Corporate Performance ( New York University Salomon Center, New York, 1994).
    Bartov, E. and G.. M. Bodnar, ‘Firm valuation, earnings expectations, and the exchange-rate exposure effect’, The Journal of Finance, Vol. 44, 1994, pp. 1755-1785
    Chamberlian, S., J. S. Howe, and H. Popper, ‘The exchange rate exposure of U.S. and Japanese banking institutions’, Journal of Banking and Finance, Vol. 21, 1997,pp.871-892.
    Chiao, C., and K. Hung, ‘Exchange-rate exposure of Taiwanese exporting firms’, Review of Pacific Basin Financial Markets and Policies, Vol. 3, 2000, pp. 201-233.
    He, J., and L. K. Ng, ‘The foreign exchange exposure of Japanese multinational corporations’, Journal of Finance, Vol. 53, 1998, pp.733-753.
    Jorion, P., ‘The exchange rate exposure of U.S. multinationals’, Journal of Financial and Quantitative Analysis, Vol. 26, 1991, pp. 363-376.
    Nance, D. R., C. W. Smith, and C. W. Smithson,’ On the determinants of corporate hedging’, Journal of Finance, Vol. 48 ,1993, pp.267-284.
    Nydahl, S., ‘Exchange rate exposure, foreign involvement and currency hedging of firms: some Swedish evidence’, European Financial Management, Vol. 5, 1999, pp. 241-257.
    Smith, C. W., and R. Stulz,’ The determinants of firms hedging policies’, Journal of Financial and Quantitative Analysis, Vol.20, 1985, pp.337-348.
    Willianson, R., ‘Exchange rate exposure and competition: evidence from the automotive industry’, Journal of Financial Economics, Vol. 59, 2001, pp.441-475.
    Xie, S. F. (2002), Master-Thesis (In Chinese)
    描述: 碩士
    國立政治大學
    經濟研究所
    91258011
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0912580111
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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