Foreign Exchange Rate Exposure of Taiwan Export Listed Corporations: Using Multi-Factor Models

• Main Authors: LAN, TAN-CHIN, 藍丹璟
• Other Authors: LIN, LUKE
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/9vdw28

碩士 === 國立高雄科技大學 === 財務管理系 === 107 === Researchers usually use traditional market model to estimate foreign exchange rate exposure in previous studies. In this study, we use three-factor and five-factor as control variables to construct models of estimate foreign exchange rate exposure and compared five-factor model with three-factor model and traditional market model. We use a sample of 519 Taiwan listed corporations that have export ratio for at least 10 percent in the sample period to examine their exchange rate exposure. In the determinants of exchange rate exposure, we add the degree of use of derivatives and its interacting effect with other variables. When we use the five-factor model, the result of the determinants of exchange rate exposure have changed and exchange rate exposure is positively related to the export ratio. The degree of use of derivative products is significantly positive in the two-factor model, but not significant in the five-factor model, indicating the degree of use of derivatives doesn’t affect exchange rate exposure. In addition, the positive and negative exchange rate exposure and industry characteristics are also affected the determinants of exchange rate exposure.