Exchange Rate Exposure and Market Competition –the case of Taiwanese electronics industry

• Main Authors: Hsueh-hua Wang, 王雪華
• Other Authors: Chung-Da Ho
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/46893085015370649983

碩士 === 國立中央大學 === 財務金融研究所 === 100 === This paper examines the impact of foreign exchange rate movements on the stock returnsof Taiwanese electronics corporations from 2000 to 2006. First of all, the results show that about 7% of the samples of 171 corporations are significantly and positively affected by exchange rate movements of US dollars. However, the nominal and real appreciations are associated with positive stock returns, possibly due to offsetting effect of various bilateral exchange rates. Secondly, we model exposure as a function of company characteristics which are current ratio, debt reatio, export ratio, firm size and gross profit margin which is a proxy for market competition. Empirical results show that as a whole, the corporations with higher export ratio, smaller size and lower gross profit margin have higher exchange rate exposure. In conclusion, our results support that firms in more competitive market (as proxied by lower gross profit margin) are charatized by higher exposure.