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題名 台灣壽險公司之海外投資、避險結構及外匯風險的研究
The Study on Foreign Investment, Hedging Strategies and Exchange Rate Exposure of Financial Holding Companies with Life Insurance Subsidiary in Taiwan作者 陳乃慈
Chen, Nai-Tzu貢獻者 張元晨
陳乃慈
Chen, Nai-Tzu關鍵詞 外匯準備金制度
海外投資限制
IFRS9
海外投資比率
傳統避險比率加計外幣保單比率
一籃子貨幣避險比率
股價報酬率
Hedging strategy
Foreign Exchange Reserve
IFRS9
Foreign investment ratio
Traditional hedging plus FX policy hedging ratio
Currency basket hedging ratio
Stock return rate日期 2020 上傳時間 1-七月-2020 13:38:51 (UTC+8) 摘要 本研究整理近年來台灣壽險業面臨海外投資比率增加，伴隨而來的外匯曝險相關問題，在實際個案探討中，詳細分析六大壽險公司之海外投資比率及避險結構在外匯價格準備金制度的設立與海外投資限制的放寬下的變化以及IFRS9實施對於六大壽險業的影響，實證研究則探討壽險公司的海外投資及避險結構對於該壽險公司所屬金控公司股價報酬率的影響。實證結果發現，壽險公司的海外投資比率對該壽險公司所屬金控公司股價報酬率為負向影響但不顯著；壽險公司的傳統避險比率加計外幣保單比率對於該壽險公司所屬金控公司股價報酬率有顯著負向影響，表示壽險公司的傳統避險比率加計外幣保單比率越高，該壽險公司所屬金控公司的股價報酬率越低；壽險公司的一籃子避險比率對於該壽險公司所屬金控公司股價報酬率有正向影響但不顯著。
The study examines the changes on foreign investment, hedging strategy and exchange rate exposure of life insurance companies in Taiwan through times. Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries and established the Foreign Exchange Reserve system, life insurance companies increase their capital in foreign investments and change their hedging strategy. Moreover, the study finds that the exchange rate risk of life insurance companies has increased after applying IFRS9. In addition, this study examines the effect of foreign investment and hedging strategies on the stock return rate of financial holding companies with life insurance subsidiary in Taiwan by using a sample of six largest life insurance companies. The empirical results show that the foreign investment ratio of life insurance companies has negative but not statistically significant impact on the stock return rate of their holding companies. Second, results show that traditional hedging plus FX policy hedging ratio of life insurance companies has significantly negative impact on stock return rate of their holding companies. It represents higher traditional hedging plus FX policy hedging ratio has negative influence on the stock return rate of their holding companies. Lastly, results also show that currency basket hedging ratio of life insurance companies has positive but not statistically significant impact on stock return rate of their holding companies.參考文獻 一、中文資料林惠芳、張邦茹、葉寧欣，2012年，壽險公司使用衍生性金融商品決定因素之研究，風險管理學報，第十四卷第一期，25-47。陳振桐、梁正德，2010年。一籃子避險策略之實證研究，風險管理學報，12(1)，p.133-154。張士傑，2019年。匯率風險對我國壽險業經營之短中長期影響，財團法人台北外匯市場發展基金會專題研究計畫。李冠杰，2018年，「匯率避險策略對壽險業之影響–以利率變動型壽險商品為例」，國立政治大學風險管理與保險學系碩士論文。陳淑盈，1999 年，「上市公司運用衍生性金融商品避險之研究」，國立中興大學財務管理研究所碩士論文。二、英文資料Allayannis, G., and E. Ofek. 2001. Exchange rate exposure, hedging, and the foreign currency derivatives. Journal of International Money and Finance Vol.20 No.2: 273-296.Aggarwal R, JT Harper, 2010. Foreign exchange exposure of “domestic” corporations. Journal of International Money and Finance 29 (2010) 1619–1636Boulland, R., GJ Lobo, GJ., and Paugam, L. 2019. Do investors pay sufficient attention to banks’ unrealized gains and losses on available-for-sale securities?. European Accounting Review 28 (5), 819-848Bodnar, G.M., Gentry, G.M., 1993. Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. Journal of International Money and Finance 12 (1), 29–46.Bartram SM, GW Brown, BA Minton, 2010. Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics 95 (2010) 148–173Bodnar, G. M., and M. H. F. Wong. 2003. Estimating exchange rate exposures: Issues in model structure. Financial Management Vol.32 (Spring): 35-68.Bartov Eli and Gordon M. Bodnar, 1994. Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect. The Journal of Finance, Vol. 49, No. 5 (Dec., 1994), pp. 1755-1785Geczy Christopher, Bernadette A. Minton, Catherine Schrand, 1997. Why Firms Use Currency Derivatives. The Journal of Finance, Vol. 52, No. 4 (Sep., 1997), pp. 1323-1354He, J., and Ng, L. K., 1998. The Foreign Exchange Exposure of Japanese Multinational Corporations. Journal of Finance, Vol. 53, pp. 733-753.Jorion, P. 1990. The exchange-rate exposure of U.S multinationals. Journal of Business Vol.63 No.3 : 331-345.JJ Choi, E Elyasiani, KJ Kopecky, 1992. The sensitivity of bank stock returns to market, interest and exchange rate risks. Journal of Banking and Finance 16 (1992) 983–1004. North-HollandShapiro, A.C., 1975. Exchange-rate changes, inflation, and the value of the multinational corporation. Journal of Finance 30 (2), 485–502.Schrand, C. M. 1997. The association between stock-price interest rate sensitivity and disclosure about derivative instruments. The Accounting Review Vol.72 No.1 (Jan):87-109.Venkatachalam, M. 1996. Value-relevance of banks’ derivatives disclosures. Journal of Accounting and Economics Vol. 22 : 327-355.Williamson R, 2001. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics 59 (2001) 441– 475 描述 碩士
國立政治大學
財務管理學系
107357020資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357020 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.author (作者) 陳乃慈 zh_TW dc.contributor.author (作者) Chen, Nai-Tzu en_US dc.creator (作者) 陳乃慈 zh_TW dc.creator (作者) Chen, Nai-Tzu en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-七月-2020 13:38:51 (UTC+8) - dc.date.available 1-七月-2020 13:38:51 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2020 13:38:51 (UTC+8) - dc.identifier (其他 識別碼) G0107357020 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130531 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357020 zh_TW dc.description.abstract (摘要) 本研究整理近年來台灣壽險業面臨海外投資比率增加，伴隨而來的外匯曝險相關問題，在實際個案探討中，詳細分析六大壽險公司之海外投資比率及避險結構在外匯價格準備金制度的設立與海外投資限制的放寬下的變化以及IFRS9實施對於六大壽險業的影響，實證研究則探討壽險公司的海外投資及避險結構對於該壽險公司所屬金控公司股價報酬率的影響。實證結果發現，壽險公司的海外投資比率對該壽險公司所屬金控公司股價報酬率為負向影響但不顯著；壽險公司的傳統避險比率加計外幣保單比率對於該壽險公司所屬金控公司股價報酬率有顯著負向影響，表示壽險公司的傳統避險比率加計外幣保單比率越高，該壽險公司所屬金控公司的股價報酬率越低；壽險公司的一籃子避險比率對於該壽險公司所屬金控公司股價報酬率有正向影響但不顯著。 zh_TW dc.description.abstract (摘要) The study examines the changes on foreign investment, hedging strategy and exchange rate exposure of life insurance companies in Taiwan through times. Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries and established the Foreign Exchange Reserve system, life insurance companies increase their capital in foreign investments and change their hedging strategy. Moreover, the study finds that the exchange rate risk of life insurance companies has increased after applying IFRS9. In addition, this study examines the effect of foreign investment and hedging strategies on the stock return rate of financial holding companies with life insurance subsidiary in Taiwan by using a sample of six largest life insurance companies. The empirical results show that the foreign investment ratio of life insurance companies has negative but not statistically significant impact on the stock return rate of their holding companies. Second, results show that traditional hedging plus FX policy hedging ratio of life insurance companies has significantly negative impact on stock return rate of their holding companies. It represents higher traditional hedging plus FX policy hedging ratio has negative influence on the stock return rate of their holding companies. Lastly, results also show that currency basket hedging ratio of life insurance companies has positive but not statistically significant impact on stock return rate of their holding companies. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 5第三節 研究架構 6第二章 文獻探討 7第一節 外匯風險曝露 7第二節 外匯避險工具 8第三節 國際財務報導準則IFRS9 10第三章 實際個案探討 13第一節 六大壽險公司海外資產比率及避險結構歷年變化 13第二節 IFRS9實施對六大壽險公司之影響分析 37第四章 研究方法 43第一節 研究設計與假說發展 43第二節 資料描述 46第三節 模型建立與變數說明 47第五章 實證結果 49第六章 穩健性檢驗 52第七章 研究結論與建議 54第一節 結論 54第二節 未來研究建議 55參考文獻 56 zh_TW dc.format.extent 2711572 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357020 en_US dc.subject (關鍵詞) 外匯準備金制度 zh_TW dc.subject (關鍵詞) 海外投資限制 zh_TW dc.subject (關鍵詞) IFRS9 zh_TW dc.subject (關鍵詞) 海外投資比率 zh_TW dc.subject (關鍵詞) 傳統避險比率加計外幣保單比率 zh_TW dc.subject (關鍵詞) 一籃子貨幣避險比率 zh_TW dc.subject (關鍵詞) 股價報酬率 zh_TW dc.subject (關鍵詞) Hedging strategy en_US dc.subject (關鍵詞) Foreign Exchange Reserve en_US dc.subject (關鍵詞) IFRS9 en_US dc.subject (關鍵詞) Foreign investment ratio en_US dc.subject (關鍵詞) Traditional hedging plus FX policy hedging ratio en_US dc.subject (關鍵詞) Currency basket hedging ratio en_US dc.subject (關鍵詞) Stock return rate en_US dc.title (題名) 台灣壽險公司之海外投資、避險結構及外匯風險的研究 zh_TW dc.title (題名) The Study on Foreign Investment, Hedging Strategies and Exchange Rate Exposure of Financial Holding Companies with Life Insurance Subsidiary in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文資料林惠芳、張邦茹、葉寧欣，2012年，壽險公司使用衍生性金融商品決定因素之研究，風險管理學報，第十四卷第一期，25-47。陳振桐、梁正德，2010年。一籃子避險策略之實證研究，風險管理學報，12(1)，p.133-154。張士傑，2019年。匯率風險對我國壽險業經營之短中長期影響，財團法人台北外匯市場發展基金會專題研究計畫。李冠杰，2018年，「匯率避險策略對壽險業之影響–以利率變動型壽險商品為例」，國立政治大學風險管理與保險學系碩士論文。陳淑盈，1999 年，「上市公司運用衍生性金融商品避險之研究」，國立中興大學財務管理研究所碩士論文。二、英文資料Allayannis, G., and E. Ofek. 2001. Exchange rate exposure, hedging, and the foreign currency derivatives. Journal of International Money and Finance Vol.20 No.2: 273-296.Aggarwal R, JT Harper, 2010. Foreign exchange exposure of “domestic” corporations. Journal of International Money and Finance 29 (2010) 1619–1636Boulland, R., GJ Lobo, GJ., and Paugam, L. 2019. Do investors pay sufficient attention to banks’ unrealized gains and losses on available-for-sale securities?. European Accounting Review 28 (5), 819-848Bodnar, G.M., Gentry, G.M., 1993. Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. Journal of International Money and Finance 12 (1), 29–46.Bartram SM, GW Brown, BA Minton, 2010. Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics 95 (2010) 148–173Bodnar, G. M., and M. H. F. Wong. 2003. Estimating exchange rate exposures: Issues in model structure. Financial Management Vol.32 (Spring): 35-68.Bartov Eli and Gordon M. Bodnar, 1994. Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect. The Journal of Finance, Vol. 49, No. 5 (Dec., 1994), pp. 1755-1785Geczy Christopher, Bernadette A. Minton, Catherine Schrand, 1997. Why Firms Use Currency Derivatives. The Journal of Finance, Vol. 52, No. 4 (Sep., 1997), pp. 1323-1354He, J., and Ng, L. K., 1998. The Foreign Exchange Exposure of Japanese Multinational Corporations. Journal of Finance, Vol. 53, pp. 733-753.Jorion, P. 1990. The exchange-rate exposure of U.S multinationals. Journal of Business Vol.63 No.3 : 331-345.JJ Choi, E Elyasiani, KJ Kopecky, 1992. The sensitivity of bank stock returns to market, interest and exchange rate risks. Journal of Banking and Finance 16 (1992) 983–1004. North-HollandShapiro, A.C., 1975. Exchange-rate changes, inflation, and the value of the multinational corporation. Journal of Finance 30 (2), 485–502.Schrand, C. M. 1997. The association between stock-price interest rate sensitivity and disclosure about derivative instruments. The Accounting Review Vol.72 No.1 (Jan):87-109.Venkatachalam, M. 1996. Value-relevance of banks’ derivatives disclosures. Journal of Accounting and Economics Vol. 22 : 327-355.Williamson R, 2001. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics 59 (2001) 441– 475 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000604 en_US
