| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 黃柏松 | zh_TW |
| dc.contributor.author (Authors) | Huang,Sinclair | en_US |
| dc.creator (作者) | 黃柏松 | zh_TW |
| dc.creator (作者) | Huang,Sinclair | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 12-Sep-2009 12:15:16 (UTC+8) | - |
| dc.date.available | 12-Sep-2009 12:15:16 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Sep-2009 12:15:16 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090932725 | en_US |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=31740 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經營管理碩士學程(EMBA) | zh_TW |
| dc.description (描述) | 90932725 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 台灣為外貿型及淺碟型經濟體，對外貿易依存度高，故國際匯率之變動對台灣企業之獲利能力影響深遠，而台灣上市櫃公司為台灣企業之縮影，外資持有國內上市櫃公司之市值平均已超過20%以上，國外資金之匯進匯出對股市之報酬亦形成重大之影響，而其匯進/出之誘因就是匯率之變動或預期變動率。本文擬就國內344家上市櫃公司獲利之代理變數個股股價報酬率之匯率暴露及其解釋或決定因子進行迴歸分析研究，發現有61%家數之公司有匯率暴露，且在新台幣實質有效匯率指數與台幣/美元不同匯率變動計算下產生不同結果，前者新台幣之升貶與企業獲利(成反比，而後者新台幣之升貶與企業獲利(或個股報酬率)成正比，前者應為企業外幣報價競爭力增加所致，而後者係國外資金流入/流出之誘因所產生之資金行情(效果)或負效果(無行情)所致。\r\n\r\n 在解釋或決定此匯率暴露之因子方面，本文嘗試以六個因子股利發放率、長期負債比率、外銷比率、速動比率、淨值市價比與公司規模來對匯率變動率之係數進行迴歸，結果各產業有不同程度之顯著性，某些因子甚至有很大之顯著性。而本文另亦進行共線性與時間落後效果測試與分析，證實前述六因子確實有一半存在彼此之共線性，而在時間落後效果上六因子亦顯示似有落後二期之效果存在。 | zh_TW |
| dc.description.abstract (摘要) | 第一章 緒論---------------------------------------1\r\n第一節 研究動機/目的------------------------------1\r\n第二節 研究架構----------------------------------2\r\n第二章 匯率暴露之定義與分類----------------------------4\r\n第一節 匯率暴露之定義-----------------------4\r\n第二節 匯率暴露之分類-----------------------6\r\n第三章 文獻探討-------------------------------------12\r\n第一節 外匯風險對公司價值之影響-----------------------12\r\n第二節 外匯風險對產業之影響-------------------------27\r\n第四章 研究方法--------------------------------------35\r\n第一節 研究假說-------------------------------------35\r\n第二節 研究設計與模型的建立----------------------------43\r\n第三節 資料蒐集與定義-----------------------------------46\r\n第五章 實證統計結果分析-----------------------------53\r\n第一節 匯率暴露係數之實證結果分析-----------------------53\r\n第二節 匯率風險暴露與公司營運特性之關係分析-------------58\r\n第三節 共線性分析 -------------------------------------64\r\n第四節 落後效果分析 -----------------------------------66\r\n第五節 綜合分析 ---------------------------------------69\r\n第六章 結論與建議-------------------------------------71\r\n第一節 研究限制-----------------------------------------71\r\n第二節 研究結論-----------------------------------------72\r\n第三節 後續研究建議-------------------------------------73\r\n參考文獻-----------------------------------------75\r\n\r\n表 目 錄\r\n表2-1 匯率暴露各類型之定義-----------------------------------11\r\n表3-1 外匯風險對產業之影響-----------------------------------37\r\n表4-1 使用衍生性商品公司公司規模佔總樣本百分比---------------39\r\n表4-2 使用衍生性商品金融工具種類占總樣本百分比---------------39\r\n表4-3 匯率暴露決定因子預期方向-------------------------------42\r\n表4-4 各企業所屬產業列表-------------------------------------50\r\n表5-1 新台幣之實質有效匯率指數之產業別外匯風險暴露係數表-----54\r\n表5-2 台幣/美元之產業別外匯風險暴露係數表--------------------56\r\n表5-3 外幣組合/新台幣實質有效匯率指數Beta之子期間分析-------57\r\n表5-4 新台幣兌美元Beta之子期間分析--------------------------57\r\n表5-5 外幣組合/台幣產業別公司營運特性與匯率風險暴露之顯著性--59\r\n表5-6 新台幣/美元產業別公司營運特性與匯率風險暴露之顯著性----61\r\n表5-7 全產業營運特性與匯率風險暴露之顯著性(包含國營特性)-----63\r\n表5-8 共線性分析彙總表---------------------------------------65\r\n表5-9 外幣組合/台幣匯率風險暴露落後期之顯著性----------------67\r\n表5-10 新台幣/美元匯率風險暴露落後期之顯著性-----------------68\r\n\r\n\r\n圖 目 錄\r\n圖1-1 研究架構流程圖-----------------------------------3\r\n圖 2-1匯率暴露之分類----------------------------------10\r\n圖4-1 研究方法流程圖---------------------------------35 | - |
| dc.description.tableofcontents | 第一章 緒論---------------------------------------1\r\n第一節 研究動機/目的------------------------------1\r\n第二節 研究架構----------------------------------2\r\n第二章 匯率暴露之定義與分類----------------------------4\r\n第一節 匯率暴露之定義-----------------------4\r\n第二節 匯率暴露之分類-----------------------6\r\n第三章 文獻探討-------------------------------------12\r\n第一節 外匯風險對公司價值之影響-----------------------12\r\n第二節 外匯風險對產業之影響-------------------------27\r\n第四章 研究方法--------------------------------------35\r\n第一節 研究假說-------------------------------------35\r\n第二節 研究設計與模型的建立----------------------------43\r\n第三節 資料蒐集與定義-----------------------------------46\r\n第五章 實證統計結果分析-----------------------------53\r\n第一節 匯率暴露係數之實證結果分析-----------------------53\r\n第二節 匯率風險暴露與公司營運特性之關係分析-------------58\r\n第三節 共線性分析 -------------------------------------64\r\n第四節 落後效果分析 -----------------------------------66\r\n第五節 綜合分析 ---------------------------------------69\r\n第六章 結論與建議-------------------------------------71\r\n第一節 研究限制-----------------------------------------71\r\n第二節 研究結論-----------------------------------------72\r\n第三節 後續研究建議-------------------------------------73\r\n參考文獻-----------------------------------------75\r\n\r\n表 目 錄\r\n表2-1 匯率暴露各類型之定義-----------------------------------11\r\n表3-1 外匯風險對產業之影響-----------------------------------37\r\n表4-1 使用衍生性商品公司公司規模佔總樣本百分比---------------39\r\n表4-2 使用衍生性商品金融工具種類占總樣本百分比---------------39\r\n表4-3 匯率暴露決定因子預期方向-------------------------------42\r\n表4-4 各企業所屬產業列表-------------------------------------50\r\n表5-1 新台幣之實質有效匯率指數之產業別外匯風險暴露係數表-----54\r\n表5-2 台幣/美元之產業別外匯風險暴露係數表--------------------56\r\n表5-3 外幣組合/新台幣實質有效匯率指數Beta之子期間分析-------57\r\n表5-4 新台幣兌美元Beta之子期間分析--------------------------57\r\n表5-5 外幣組合/台幣產業別公司營運特性與匯率風險暴露之顯著性--59\r\n表5-6 新台幣/美元產業別公司營運特性與匯率風險暴露之顯著性----61\r\n表5-7 全產業營運特性與匯率風險暴露之顯著性(包含國營特性)-----63\r\n表5-8 共線性分析彙總表---------------------------------------65\r\n表5-9 外幣組合/台幣匯率風險暴露落後期之顯著性----------------67\r\n表5-10 新台幣/美元匯率風險暴露落後期之顯著性-----------------68\r\n\r\n\r\n圖 目 錄\r\n圖1-1 研究架構流程圖-----------------------------------3\r\n圖 2-1匯率暴露之分類----------------------------------10\r\n圖4-1 研究方法流程圖---------------------------------35 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090932725 | en_US |
| dc.subject (關鍵詞) | 外匯風險暴露 | zh_TW |
| dc.subject (關鍵詞) | 外匯風險決定因素 | zh_TW |
| dc.subject (關鍵詞) | Exchange rate exposure | en_US |
| dc.subject (關鍵詞) | Exchange rate determinants | en_US |
| dc.title (題名) | 台灣企業外匯風險暴露及其決定因子之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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