匯率曝險與市場競爭之關係-以台灣電子業為例;Exchange Rate Exposure and Market Competition – the case of Taiwanese electronics industry

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题名:	匯率曝險與市場競爭之關係-以台灣電子業為例;Exchange Rate Exposure and Market Competition – the case of Taiwanese electronics industry
作者:	王雪華;Hsueh-hua Wang
贡献者:	財務金融研究所
关键词:	匯率曝險;市場競爭;Exchange Rate Exposure;Market Competition
日期:	2012-01-09
上传时间:	2012-06-15 20:35:08 (UTC+8)
摘要:	本文以我國171 家電子業為對象，研究期間為2000 年至2006 年。第一階段研究先衡量股票報酬與匯率變動率之關係，實証結果顯示2000 至2006 年間約7％的企業對美元匯率有顯著曝險。對實質與名目有效匯率之曝險皆為正，與一般認知不相符，可能因為有效匯率是多種匯率根據貿易額加權而得，曝險作用因此相互抵銷，使曝險方向不如預期。第二階段以匯率曝險係數為被解釋變數，以企業之流動比率、負債比率、外銷比率、營業毛利率與公司規模等五個因子來分析匯率曝險值。其中，以營業毛利率代理市場競爭強弱。結果顯示若企業的外銷比率越高、規模越小、營業毛利率越低，其匯率曝險程度越大。整體而言，若企業處在越競爭的市場（以營業毛利率為市場競爭指標，營業毛利率越低表競爭越激烈），其匯率曝險將越高。This paper examines the impact of foreign exchange rate movements on the stock returnsof Taiwanese electronics corporations from 2000 to 2006. First of all, the results show that about 7% of the samples of 171 corporations are significantly and positively affected by exchange rate movements of US dollars. However, the nominal and real appreciations are associated with positive stock returns, possibly due to offsetting effect of various bilateral exchange rates. Secondly, we model exposure as a function of company characteristics which are current ratio, debt reatio, export ratio, firm size and gross profit margin which is a proxy for market competition. Empirical results show that as a whole, the corporations with higher export ratio, smaller size and lower gross profit margin have higher exchange rate exposure. In conclusion, our results support that firms in more competitive market (as proxied by lower gross profit margin) are charatized by higher exposure.
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