Exchange rate exposure and determinants of exposure in Taiwan electronic industry

• Main Authors: Wu Chien-Jung, 吳健榮
• Other Authors: Ko Sheng-Huei
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/20743284932255374775

碩士 === 中國文化大學 === 國際貿易學系碩士班 === 92 === This study uses 83 companies of Taiwan electronic industry as our samples. A re-gression analysis was used to test the degree of exchange rate exposure and weather the exchange rate risk has lag effect in Taiwan electronic industry. Moreover, we also use regression analysis to test the effects of export ratio, stock pledge ratio, debt ratio, firm’s size and research and development ratio on foreign exchange ratio and see weather all of them are the determents of foreign exchange exposure. The empirical results show that our test about the degree of exchange rate exposure in Taiwan electronic industry is not significant. This result is as the same as the em-pirical test of Jorion (1990)、Amihud (1994)、Bartov and Bodnar (1994). However, we will test weather the exchange rate risk has lag effect in Taiwan elec-tronic industry. The empirical results show that it exists lag effect between the firm’s value and exchange rate exposure. The result implies that there may be inefficient in Taiwan investment market. When it mentions to the determents of exposure, debt ratio and firm’s size were significantly related with exposure, however, export ratio, stock pledge ratio, research and development ratio weren’t significantly related with exposure.