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題 名 | 未預期匯率變動對股票報酬率及波動性之影響=The Impact of Unexpected Change of Exchange Rate on Taiwan Stock Return and Volatility |
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作 者 | 周麗娟; 林靖中; 陳勝源; | 書刊名 | 中山管理評論 |
卷 期 | 11:4 2003.12[民92.12] |
頁 次 | 頁613-639 |
分類號 | 563.54 |
關鍵詞 | 未預期匯率; 報酬率; 波動性; 匯率風險; 亞洲金融風暴; Unexpected exchange rate; Exchange rate risk; Return; Volatility; Asia financial crisis; |
語 文 | 中文(Chinese) |
中文摘要 | 本文探討了在1997年東南亞金融風暴發生後台灣股票市場之短期現象。實證主要著重在匯率變動劇烈的時期中,未預期匯率變動對台灣公司股票報酬率及波動,性所產生的影響。實證結果發現台灣上市公司匯率風險顯著的家數比例並不高,且未預期匯率變動對股票報酬率亦不存在落後的影響效果:而公司所面臨的匯率風險大小平日公司之外銷比例、公司規模及帳面價值對市場價值比率三項因素有顯著之正向關係。此外,無論是內銷型公司或是外銷型公司,在東南亞金融危機發生後股票的波動性均顯著地增大,且外銷型公司增加的程度顯著大於內銷型公司。 |
英文摘要 | This paper examines the impact of unexpected change of exchange rate on Taiwan stock return and volatility during the period of the Asia financial crisis arose in 1997. Empirical results show a low proportion of Taiwan listed companies are significantly exposed to exchange rate risk and there is no lagged effects of exchange rate risk on stock return. Furthermore, the exchange rate risk which firms are exposed to is significantly determined by sales exporting ratio, firm's size and book-to-market ratio. We also find significant increases in Taiwan stock volatility after Asia financial crisis both in exporting and importing companies. The increment of exporting firms' volatility is significantly larger than that of importing firms. |
本系統中英文摘要資訊取自各篇刊載內容。