| Summary: | 碩士 === 佛光人文社會學院 === 經濟學研究所 === 92 === First, this paper examines the foreign exchange exposure of a sample of non-financial companies listed on the Taiwan Stock Exchange Market between January 1991 and December 2003. The level of exposure is obtained from time- series regressions between weekly returns of firms, as a dependent variable and the weekly market return and the nominal effective exchange-rate change of the Taiwan currency as independent variables. The results indicate 92% of the Taiwanese firms have significantly negative exposure in our samples at full period, 62% at subperiod 1, and 86% at subperiod 2 at the 5% level.
The second part of our study is dedicated to the analysis of levels of firm size, debt ratio, quick ratio and foreign sales as possible explanatory factor of exchange rate exposure on the levels of economic exposure. Then a cross-sectional regression between the exposure coefficients, as a dependent variable, and the previous factors as independent variables is carried out. There are 5 industries with significantly negative exposure in all 16 industries. Our empirical evidences denominate four factors（debt ratio, quick ratio, foreign ratio and total assets）are with significantly negative characters.
The third part is about linearity function test. We test the FOREX rate return and TSE index return with daily, weekly and monthly data, but find their returns series are nonlinearity function except the weekly TRS index return at full period and the weekly FOREX rate return at subperiod 2.
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