Exchange Rate Exposure and Stock Return

• Main Authors: Yu-ren Chen, 陳裕仁
• Other Authors: Shu-ching Chou
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/42938302846040100781

碩士 === 雲林科技大學 === 財務金融系碩士班 === 98 === This study investigates the influence of exchange rate exposures on stock returns of listed companies in Taiwan. This study first measures exchange rate exposure from 1999 to 2009 and that most of the coefficients of exchange rate exposure in all overlapping periods are positive. This finding means that the depreciation of NT dollar has a positive impact on companies’ stock returns, and this result is similar to previous studies. This study further examines the factors affect exchange rate exposure by using regression model. The result show a negative coefficient of hedge activity in short-term, but a positive coefficient in long-term. These findings indicate that using the derivatives could reduce the exchange rate exposure in the short run, but in the long run will increase the exchange rate exposure. The results also find larger company has lower exchange rate exposure and gain or loss of financial assets and liabilities will decrease exchange rate exposure in the long run.