本研究探討我國上市櫃金融業公司價值受匯率波動之影響及影響外匯曝險之決定因素。本文蒐集了台灣31家上市櫃金融業2008年至2018年之樣本，以OLS最小平方法模型及分量迴歸模型全面分析探討我國上市櫃金融業之外匯曝險，並加入樣本期間平均外銷比率70%以上之台灣31家非金融業上市公司加以比較分析。

　　實證結果顯示，在低分量0.01到0.1及高分量0.9到0.99下顯著比例大多介於10%到30%之間，相較OLS分析方法之顯著比例大多低於10%，分量迴歸方法確實有效提升顯著比例，解決過往文獻實證結果顯著比例不高的問題。實證結果顯示大多金融業公司之外匯曝險呈現正向且顯著的關聯性。最後，本文運用OLS最小平方法模型探討我國上市櫃金融業外匯曝險之決定因素，實證結果顯示，財務槓桿對於當期及落後期外匯曝險值的影響，多為負值，尤其在金融業更為顯著。這意謂公司負債比也就是財務槓桿(leverage)愈大，外匯曝險值就愈小。

This study explores the impact of exchange rate fluctuations on the value of financial companies in Taiwan and the determinants of foreign currency exposure. This paper collects samples from 31 financial industry in Taiwan from 2008 to 2018. The OLS analysis model and quantile regression models are used to comprehensively analyze the foreign currency exposure of Taiwan's financial industry. This study also explores a comparative analysis of 31 non-financial companies in Taiwan which the average export ratio during the sample period is over 70%..

The empirical results show that the significant proportions between the low component of 0.01 to 0.1 and the high component of 0.9 to 0.99 are mostly between 10% and 30%. Compared with the OLS analysis model, the significant proportion is mostly less than 10%. The quantile regression method is effectively improved the problem of low significant proportion in past literature. The empirical results show that the currency exposure of most financial companies is positive and significant. Finally, this paper uses the OLS analysis model to explore the determinants of currency exposure in Taiwan's financial industry. The empirical results show that the impact of financial leverage on current and backward currency exposures is mostly negative, especially in the financial industry is significant. This means that the greater the company's financial leverage the smaller the foreign exchange exposure value.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖目錄 v
表目錄 vi
第一章緒論 1
第一節 研究背景 1
第二節 研究動機及目的 3
第三節 研究架構 4
第二章文獻回顧 5
第一節 外匯曝險相關議題 5
第二節 現金流量法文獻探討 8
第三節 分量迴歸文獻探討 9
第三章研究方法 10
第一節 研究流程 10
第二節 研究資料 11
第三節 研究方法 15
第四章實證結果 19
第一節 敘述統計 19
第二節 外匯曝險衡量 20
第三節 非金融業外匯曝險衡量比較 29
第四節 影響外匯曝險之決定因素 38
第五章結論 42
第一節 研究結論 42
第二節 研究貢獻 43
第三節 研究建議 44
參考文獻 45
第一節 中文部分 45
第二節 外文部分 46

參考文獻

第一節 中文部分

1. 藍麗惠、廖源星、林育志(2007)，台灣金融機構之外匯風險，中央研究院經濟研究所，38(1)，127-151。
2. 高櫻芬、施衍礽(2002)，公司價值與匯率之間的關係:台灣上市公司之實證研究，風險管理學報，4，19-45。
3. 周麗娟、林靖中、陳勝源(2003)，未預期匯率變動對股票報酬率及波動性之影響，中山管理評論，11，613-639。
4. 董澍琦、楊聲勇、紀妤瑩(2002)，台灣多國籍企業外匯風險曝露之研究，亞太經濟合作評論，9，36-49。
5. 張紹基與蘇松齡(2001)，台灣出口廠商面臨的匯率風險，企業管理學報，51，87-108。
6. 蘇松齡(1999)，探討匯率變動對股票價格之影響：以台灣股票市場為例，成功大學會計學系碩士論文。
7. 莊家彰與管中閔(2005)，台灣與美國股市價量關係的分量迴歸分析，經濟論文，33(4)，379-404。
8. 廖仲仁與張金鶚(2006)，不對稱仲介服務價格效果，都市與計畫，33(1)，1-16。
9. 陳乃霜(2005)，匯率波動對台灣工資:分量迴歸，中國文化大學經濟學研究所碩士論文。
10. 陳彥如(2007)，台灣股票報酬四因子模型再檢定-分量迴歸之應用，義守大學財務金融學系碩士論文。
11. 高菁宜(1967)，國際企業匯率之研究-我國國際企業股價與匯率關係之實證，國立台灣大學國際企業學研究所碩士論文。
12. 楊佳蓉(2009)，匯率變動對公司價值之影響-以分量迴歸分析，國立高雄第一科技大學財務管理系碩士論文。
13. 張志鵬(2002)，商業銀行外匯風險管理與外匯風險曝露之研究，銘傳大學國際企業管理研究所碩士論文。
14. 黃薏萍(2000)，上市公司使用衍生性金融商品避險動機與行為之研究，國立成功大學國際企業研究所碩士論文。
15. 張淑芳(1999)，金融業與非金融業外匯風險管理及其策略差異性之探討，國立成功大學企業管理研究所碩士論文。


 
第二節 外文部分

1. Adler, M. and Dumas, B.,(1984), “Exposure to Currency Risk: Definition and Measurement” , Financial Management, Vol.13, pp.41-50.
2. Akaike, H.,(1973), “Information Theory and An Extension of the Maximum Likelihood Principle,”in B. Petrov and F. Csaki, (eds), Second International Symposium on Information Theory, 267–281, Budapest: Akademiai Kiado.
3. Amihud, Y. (1994), “Evidence on Exchange Rates and Valuation of Equity Shares” in Amihud, Y. and Levich, M. (eds), Exchange Rates and Corporate Performance, Irwin Professional Publishing, New York.
4. Banz, R.W.,(1981), “The Relationship between Return and Market Value of Common Stocks” , Journal of Finance Economics, Vol.35, pp.3-18.
5. Bhandari, L.C.,(1988), “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence” , Journal of Finance, Vol.60, pp.507-528.
6. Bodnar, G..M. and Gentry, W.M.,(1993), “Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan, and the USA” ,Journal of International Money and Finance, Vol.21, pp.871-889.
7. Bartov, E. and Bondar, G..M.,(1994), “Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect”, Journal of Finance, Vol.49, pp.1755-1785.
8. Barber, W.C., Mukherji, J.S. and Raines, G.A.,(1996), “Do Sales-Price and Debt-Equity Explain Stock Returns better than Book-Market and Firm Size” ,Financial Analysts Journal,Vol.24, pp.56-60.
9. Booth, L.(1996).”On the Nature of Foreign Exchange Exposure”,Journal of Multinational Financial Management, Vol.6, pp.1-23
10. Choi, J.J., and Prasad, A.I.,(1995), “Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals”, Financial Management, Vol.24, pp.77-88.
11. Choi, Elyasiani and Kopecky(1992),”The Sensitivity of Bank Stock Returns to Market ,Insterest and Exchange Rate Risks. ”,Journal of Banking and Finance, Vol.16, pp.983-1004.
12. Chow,Lee and Solt,”The Exchange-Rate Risk Exposure of Asset Return”,Journal of Business,Vol.70,pp.105-123.
13. Chamberlain, S., Howe, J.S., and Popper, H.,(1997), “The Exchange rate Exposure of U.S. and Japanese Banking Institutions,” Journal of Banking and Finance, Vol.32, pp.871-889.
14. Dumas, B., (1978), “The Theory of the Trading Firm Revisited”, Journal of Finance, Vol.33, pp.1019-1029.
15. Dominguez, K., and Tesar, L. L.,(2001), “A Re-examination of Exchange Rate Exposure”, Working Paper.
16. Dornbusch, R., (1987), Exchange Rates and Prices, American Economic Review, 77, 93-106.
17. Doidge,C., Griffin,J.,and Williamson, R.,(2006), Measuring the economic importance of exchange rate exposure, Journal of Empirical Finance, 13, 550-576.
18. Fama, E.F., and French, K.F.,(1992), “The Cross-Section of Expected Stock Returns”, Journal of Finance, Vol.47, pp.427-466.
19. Flood, E., Jr. and D. R. Lessard,(1986), On the Measurement of Operating Exposure to Exchange Rates: A Conceptual Approach, Financial Management, 15, 25-35.
20. Froot, K., Scharfstein, D., and Stein J.,(1993), “Risk Management: Coordinating Corporate Investment and Financing Policies”, Journal of Finance, Vol.48, pp.1629-1658.
21. Griffin, J.M., and Stulz, R.M.,(2001),“International Competitoin and Exchange Rate Shocks: a Cross –Country Industry analysis of Stock Returns”, The View of Financial studies, Vol.14, pp.17-35.
22. Harris, J.M., Marr, M.W. and Spivey, M.F.(1991), ‘‘Exchange rate movements and the stock returns of US commercial banks’’, Journal of Business Research, Vol. 22, pp. 233-42.
23. He, J., and Ng, L.K.,(1998), “The Foreign Exchange Exposure of Japanese Multinational Corporations”, Journal of Finance, Vol.53, pp.733-753.
24. Hodder, J.,(1982), “Exposure to Exchange rate Movement”, Journal of International Economics, Vol.13, pp.375-386.
25. Jorion, P.,(1990), “The Exchange Rate Exposure of U.S. Multinationals”, Journal of Business, Vol.63, pp.331-345.
26. Jorion, P.,(1991), “The Pricing of Exchange Rate Risk in the Stock Market”, Journal of Financial and Quantitative Analysis, Vol.26, pp.363-376.
27. Koneker, R., and Bassett, G.,(1978), “Regression Quantiles”, Econometrica, Vol.46, pp.33-50.
28. Khoo, A.,(1994), “Estimation of Foreign Exchange Exposure- an Application to Mining Companies in Australia”, Journal of International Money and Finance, Vol.13, pp.342-363.
29. Kiymaz, H.,(2003), “Estimation of Foreign Exchange Rate Exposure: an Emerging Market application”, Journal of Multinational Financial Management, Vol.13, pp.71-84.
30. Levi, M. D., (1994), Exchange Rates and the Valuation of Firms, in Amihud, Y., and R. M. Levich (eds), Exchange Rates and Corporate Performance,New York: New York University Saloman Center.
31. Loudon, G..F.,(1993a), “The Foreign Exchange Operating Exposure of Australia Stocks”, Accounting and Finance, Vol.33, pp.19-32.
32. Martin, A. D., J. Madura, and A. Akhigbe,(1999), Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe, Financial Review, 34,21-36.
33. Miller, K.D., and Reuer, J.J.,(1998a), “Firm Strategy and Economic Exposure to Foreign Exchange rate movements”, Journal of International Business Studies, Vol.29, pp.493-514.
34. Mussa, M. ,(1979), “Empirical Regularities in the Behavior of Exchange Rates and Theories ofthe Foreign Exchange Market,” Carnegie-Rochester Conference Series on Public Policy, 11,9–54.
35. Nance, D.R., Smith, C.W., and Smithson, C.,(1993), “On the Determinants of Corporate Hedging”, Journal of Finance, Vol.48, pp.391-405.
36. Parsley, D. C. and H. Popper ,(2006), “Exchange Rate Pegs and Foreign Exchange Exposure in East and South Asia,” Journal of International Money and Finance, 25(6), 992–1009.
37. Shapiro, A. C.,(1975), Exchange Rate Changes, Inflation, and the Value of the Multinational Corporation, Journal of Finance, 30, 485-502.
38. Walsh, E. J. ,(1994), “Operating Income, Exchange Rate Changes and the Value of the Firm: An Empirical Analysis,” Journal of Accounting, Auditing and Finance, 9(4), 703–724.
39. Williamson, R., (2001), Exchange Rate Exposure and Competition:Evidence from the Automotive Industry, Journal of Financial Economics,59 ,441-475.
40. Yan, H. and J. He,(2000), Government Intervention and the Exchange-Rate Exposure in Emerging Markets, manuscript, Hong Kong Chinese University.