An Analysis of Foreign Exchange Rate Exposure and Its Determinants in Taiwanese Optoelectronics Industry

• Main Authors: EN-CHENG, LI, 李恩丞
• Other Authors: Jien-Wei Yang, Ph.D.
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/23pnxn

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This study is using Capital Market Law to measure foreign exchange exposures. The model of this study reference Alder and Dumas （1984） the single-factor model and Jorion（1990） two-factor model to measure Taiwan Optoelectronics Industry foreign exchange exposures. The study period is from 2005 to 2014. This study divided sections： First, compare with single-factor model and two-factor model to measure the differences in foreign exchange exposures.The result indicated that the two-factor model is more credibility. Second, According to the viewpoint of Muller and Verschoor （2006）, This study attempts to use day, week, season, month, year, five variables to observed the change of the foreign exchange exposures. Third, Based on the financial crisis in 2008 that changed the marketing structure,the period divided categories.The period before financial crisis （January 2005 to December 2007）, period of financial crisis （January 2008 to August 2011）,and the period of financial crisis late stage （September 2011-December 2014）. Fourth, investigating the determinants of foreign exchange rate exposure. Variables are export ratio, company size, quick ratio and debt ratio. The empirical results show that the export ratio and company size is determinants from foreign exchange rate exposure.