| dc.contributor.advisor | 林信助 | zh_TW |
| dc.contributor.author (作者) | 聶瑋瑩 | zh_TW |
| dc.creator (作者) | 聶瑋瑩 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-九月-2009 14:09:02 (UTC+8) | - |
| dc.date.available | 18-九月-2009 14:09:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 14:09:02 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0091351038 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35095 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 91351038 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本文選取台灣電子產業發行之11支海外存託憑證(Global Depositary Receipts，GDR)為樣本，其中10支於美國發行、1支於歐盟發行。研究目的分別為國內標的股報酬、存託憑證報酬是否受匯率報酬影響，以及國內、外投資人對匯率風險之看法是否相同。本文選取財務上最常用之估計非線性模型條件共變數之雙變量GARCH(1,1)模型(Bivariate GARCH Model)，經過AIC(Akaike Information Criteria)比較、及相關係數是否隨時間而改變之檢定後，得知所有樣本皆適用DCC(1,1)模型(Dynamic Conditional Correlation Model)，於估計存託憑證報酬與匯率報酬之條件共變數後，再運用多元迴歸模型，探討實證結果。實證結果顯示國內標的股均存在顯著之匯率風險，存託憑證則多數存在顯著之匯率風險。而國內、外投資人對匯率風險之看法異同方面，宏□、鴻海、茂矽、仁寶、錸德、台積電所發行之海外存託憑證，國內、外投資人對存託憑證、國內標的股匯率風險之看法無顯著不同，可歸因於其較其他存託憑證及標的股國際化。而華邦、智邦、旺宏之海外存託憑證，國內、外投資人對存託憑證匯率風險之看法顯著不同，本文又將匯率風險之來源，歸納為兩部分：一、由標的股產生，可歸因於標的股國際化程度；二、由換匯(foreign exchange)產生，可歸因於匯率變動程度；而華邦、智邦、旺宏實證顯示匯率風險皆由標的股產生，因其於美國或歐盟上市，美元或歐元又為強勢貨幣，故不存在換匯風險。 | zh_TW |
| 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........................................................................................................4第三節 研究架構........................................................................................................5第二章 理論模型與實證方法..................................................................6第一節 衡量匯率風險................................................................................................6第二節 衡量匯率風險看法之異同............................................................................7第三節 匯率共變異風險之估計................................................................................9第三章 實證結果分析.................................................................................15第一節 資料來源與資料處理..................................................................................15第二節 敘述統計分析..............................................................................................16第三節 匯率風險之分析..........................................................................................17第四節 匯率共變異風險之分析..............................................................................18第四章 結論......................................................................................................22文獻回顧......................................................................................................................24 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091351038 | en_US |
| dc.subject (關鍵詞) | 海外存託憑證 | zh_TW |
| dc.subject (關鍵詞) | 匯率風險 | zh_TW |
| dc.subject (關鍵詞) | 匯率共變異風險 | zh_TW |
| dc.subject (關鍵詞) | GDR | en_US |
| dc.subject (關鍵詞) | Dynamic Conditional Correlation Model | en_US |
| dc.subject (關鍵詞) | Bivariate GARCH | en_US |
| dc.title (題名) | 台灣電子產業海外存託憑證報酬率之匯率風險 | zh_TW |
| dc.type (資料類型) | thesis | en |
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