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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/35798
DC FieldValueLanguage
dc.contributor.advisor朱美麗zh_TW
dc.contributor.author黃慧怡zh_TW
dc.creator黃慧怡zh_TW
dc.date2003en_US
dc.date.accessioned2009-09-18T08:04:21Z-
dc.date.available2009-09-18T08:04:21Z-
dc.date.issued2009-09-18T08:04:21Z-
dc.identifierG0912580111en_US
dc.identifier.urihttps://nccur.lib.nccu.edu.tw/handle/140.119/35798-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description經濟研究所zh_TW
dc.description91258011zh_TW
dc.description92zh_TW
dc.description.abstractThe 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.en_US
dc.description.tableofcontents1. Introduction 1\n2. A review of literature on exchange-rate exposure 2\n3. Exchange-rate exposure of individual firms 6\n3.1. Corresponding model of the exchange-rate exposure 6\n A. The basic regression of exchange-rate exposure 6\n B. The lagged response hypothesis 7\n C. Nonlinear exposure 8\n3.2. Data descriptions and empirical results 10\n Ⅰ. Data descriptions 10\n Ⅱ. Empirical results 14\n A. Results of the basic regression 14\n B. Results of the lagged response hypothesis 15\n C. Results of nonlinear exposure 17\n4. Determinants of the exchange-rate exposure 19\n4.1. Hypotheses and corresponding models 19\n Ⅰ. Exports-to-sales ratio 19\n Ⅱ. Incentives to hedge 20\n Ⅲ. Corresponding model for determinants of the exchange- rate 23\n exposure\n4.2. Data descriptions and empirical results 24\n Ⅰ. Data descriptions 24\n Ⅱ. Empirical results 24\n5. Conclusions 28\nReference 30\nAppendix 32zh_TW
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dc.language.isoen_US-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0912580111en_US
dc.subject匯率暴露風險zh_TW
dc.subjectExchange-rate exposureen_US
dc.titleExchange-rate exposure : evidence from the electronic firms in Taiwanzh_TW
dc.typethesisen
dc.relation.referenceAdler, M. and B. Dumas, ‘Exposure to currency risk: definition and measurement’, Financial Management, Vol. 13, 1984, pp. 41-50.zh_TW
dc.relation.referenceAmihud, 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).zh_TW
dc.relation.referenceBartov, E. and G.. M. Bodnar, ‘Firm valuation, earnings expectations, and the exchange-rate exposure effect’, The Journal of Finance, Vol. 44, 1994, pp. 1755-1785zh_TW
dc.relation.referenceChamberlian, 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.zh_TW
dc.relation.referenceChiao, 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.zh_TW
dc.relation.referenceHe, J., and L. K. Ng, ‘The foreign exchange exposure of Japanese multinational corporations’, Journal of Finance, Vol. 53, 1998, pp.733-753.zh_TW
dc.relation.referenceJorion, P., ‘The exchange rate exposure of U.S. multinationals’, Journal of Financial and Quantitative Analysis, Vol. 26, 1991, pp. 363-376.zh_TW
dc.relation.referenceNance, D. R., C. W. Smith, and C. W. Smithson,’ On the determinants of corporate hedging’, Journal of Finance, Vol. 48 ,1993, pp.267-284.zh_TW
dc.relation.referenceNydahl, S., ‘Exchange rate exposure, foreign involvement and currency hedging of firms: some Swedish evidence’, European Financial Management, Vol. 5, 1999, pp. 241-257.zh_TW
dc.relation.referenceSmith, C. W., and R. Stulz,’ The determinants of firms hedging policies’, Journal of Financial and Quantitative Analysis, Vol.20, 1985, pp.337-348.zh_TW
dc.relation.referenceWillianson, R., ‘Exchange rate exposure and competition: evidence from the automotive industry’, Journal of Financial Economics, Vol. 59, 2001, pp.441-475.zh_TW
dc.relation.referenceXie, S. F. (2002), Master-Thesis (In Chinese)zh_TW
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