The Impact of Changes in the Exchange Rate on Stock Returns : Evidence from the Corporations in Taiwan

• Main Authors: Chieh-Hung Fang, 方介宏
• Other Authors: Shyh-Wei Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/ym82b5

碩士 === 中原大學 === 國際貿易研究所 === 99 === This thesis examines the effect of unexpected exchange rate exposure on the value of enterprise and the determinants of exchange rate exposure in Taiwan. The sample used in this study consists of 541 corporations from January 1993 to March 2011. Based on the two factor model, empirical evidences show that about 25 percent of Taiwanese listed companies' stock returns experienced economically significant exposure effects with positive coefficient of exchange rate exposure. It signifies that the depreciation of New Taiwan dollar will increases the value of listed companies. We also employ the panel data approach to explore the determinants of exchange rate exposure, including of the export ratio, size, quick ratio, debt ratio, book-to-market value of equity, and AGE. Empirical evidence shows that no matter the linear or the nonlinear, the size of the company and book-to-market value both have negative and significant effect on the exchange rate exposure. For the nonlinear effect, we find the quick ratio and AGE have positive effect on the exchange rate exposure. We also find the nonlinear pattern shows reversed U-shape.