| Summary: | 碩士 === 國立交通大學 === 管理學院財務金融學程 === 100 === Following the accelerating pace of globalization, trade between countries has become much more frequent and thus the topic of exchange risk management has become important. Researchers from different countries have been exploring and raising different opinions regarding hedging strategies, theories, tools, periods in foreign exchange rates. However, the conclusions based on their studies might not be applicable in Taiwan since each individual country has different restrictions based on their own foreign exchange policies and regulations and the market environments are not similar as well. As for the research within Taiwan, the derivative prices which are used in the model cannot be obtained easily. Hence, they are often substituted with numbers from calculations based on pricing theory and this may be too idealized. The objective of this study is to analyze the effectiveness of various hedging strategies using the actual transaction price based on different periods. This study may be used as a reference for enterprises, investors, government and other foreign market participants when they deal with the corresponding hedging strategies.
The empirical findings of this study showed：
1. According to the traditional theory, the hedging effects of forward and options are close but on the whole, options is still better. This is especially evident when it comes to selective strategy.
2. Portfolio theory is a more effective than traditional theory and the optimal hedge ratio method performance.
3. The most effective hedging period will be one month to three months when there are no special financial issues, government interventions or any other external factors.
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