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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110672

    Title: 台幣匯率波動對汽車產業類股價之影響
    Other Titles: The impact of NT Dollar exchange rate fluctuations on the stock price of automobile industry
    Authors: 許信輝;Hsu, Hsin-Hui
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;方鏘傑;Lee, Wo-Chiang;Fang, Chiang-Jye
    Keywords: 美國聯準會升息;匯率;汽車業;標準化橫剖面法;事件研究法;US Fed Rate Hike;Exchange rate;automobile industry;Standardized-residual Cross-Sectional Method;Event Study
    Date: 2016
    Issue Date: 2017-08-24 23:33:09 (UTC+8)
    Abstract: 本研究在於檢驗台灣股票報酬和匯率波動是否存在任何的相關性,研究自2015年12月17日起受到美國聯準會升息一國際事件影響下,造成台幣匯率出現明顯波動,故本研究欲探討,以此事件日前250天及後50天日資料做為樣本期間,進行對照分析,觀察不同匯率波動對汽車類股股價是否有顯著影響。
    This study examines whether there is any correlation between the returns of Taiwanese stocks and fluctuations in exchange rates. In the wake of interest rate hikes announced by the Federal Reserve on December 17th, 2015, the exchange rate of New Taiwan Dollar (NTD) fluctuated significantly. Therefore, by collecting data from the first 250 days before the event and 50 days after the event as samples, this paper aims to discuss and analyze whether different fluctuations in exchange rates significantly affect automotive stock prices.
    By adopting standardized-residual cross-sectional method, this study examines whether the SAR deviates significantly from zero. The empirical results show that as investors expected the NTD would depreciate due to interest rate hikes by the Federal Reserve, the fluctuations of SAR of automotive stock prices become increasingly evident. In addition, the comparison of the SCARs of the early and late periods suggests that the correlation between stock prices and foreign exchange rates became more evident in the late period, as compared to the first. Furthermore, fluctuations in the exchange rate of the NTD positively correlate with automotive stock prices. It is therefore speculated that after the event, investors had gradually regained confidence, and had re-examined whether their stocks plunged unreasonably on account of fluctuating exchange rates, before performing short covering and bringing stock prices back to their fundamental values.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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