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題名 Currency Hedging Strategy and Analysis of Taiwan Export-Oriented Firms
作者 盧淑惠;張惠龍;廖四郎
Lu, Shu-Hui; Liao, Szu-Lang ; Chang, Hui-Lung
貢獻者 金融系
關鍵詞 Hedging Strategy;Hedge Ratio;Hedging Performance
日期 2014.06
上傳時間 6-十一月-2014 16:18:38 (UTC+8)
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.
關聯 International Research Journal of Finance and Economics, 121, 106-117
資料類型 article
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-Lungen_US
dc.date (日期) 2014.06en_US
dc.date.accessioned 6-十一月-2014 16:18:38 (UTC+8)-
dc.date.available 6-十一月-2014 16:18:38 (UTC+8)-
dc.date.issued (上傳時間) 6-十一月-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, 106-117en_US
dc.subject (關鍵詞) Hedging Strategy;Hedge Ratio;Hedging Performanceen_US
dc.title (題名) Currency Hedging Strategy and Analysis of Taiwan Export-Oriented Firmsen_US
dc.type (資料類型) articleen