| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 盧淑惠;張惠龍;廖四郎 | zh_TW |
| dc.creator (作者) | Lu, Shu-Hui; Liao, Szu-Lang ; Chang, Hui-Lung | en_US |
| dc.date (日期) | 2014.06 | en_US |
| dc.date.accessioned | 6-Nov-2014 16:18:38 (UTC+8) | - |
| dc.date.available | 6-Nov-2014 16:18:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Nov-2014 16:18:38 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71191 | - |
| dc.description.abstract (摘要) | This study aims at analyzing USD forward exchange contract hedging strategies from the perspective of Taiwan export-oriented firms. The forward exchange contracts within 6 months are grouped with the naïve hedge and optimal hedge ratio separately to evaluate their hedging performances including risk reducing, hedging return, risk-return combination and stochastic dominance rules. Our results show that taking risk as the only consideration, the Whole Period Hedge Rule (WPR) and naïve hedge are the best strategies. While thinking out both hedging portfolio return and cost, the overall hedge strategies generate lower return of unit risk, but the Forward Hedge Rule (FHR) comparatively outperforms the others under optimal hedge ratio and 3-month horizon. Furthermore, as measuring hedging performance by stochastic dominance rules, 6-month horizon coordinated with FHR and RIR hedging strategies presents first-order stochastic dominance while none of hedge period and strategies performs significantly effective under second and third-order stochastic dominance. Finally, we divide the total sample period into two sub-periods as the steady and weak economy. Since the fluctuation and risk exposed levels of foreign exchange rates are relatively higher in the weak economy period, its performances of all strategies clearly outperform the steady economy. | en_US |
| dc.format.extent | 155 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | International Research Journal of Finance and Economics, 121, 106-117 | en_US |
| dc.subject (關鍵詞) | Hedging Strategy;Hedge Ratio;Hedging Performance | en_US |
| dc.title (題名) | Currency Hedging Strategy and Analysis of Taiwan Export-Oriented Firms | en_US |
| dc.type (資料類型) | article | en |
