台灣電子次產業對匯率變化長度與寬度之資訊內涵研究

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題名:	台灣電子次產業對匯率變化長度與寬度之資訊內涵研究
其他題名:	The Information Contents for Length and Width of Exchange Rate Change in Taiwan's Electronics Sub-industries
作者:	倪衍森;李仁在;廖怡晴;尤嘉民
貢獻者:	淡江大學企業管理學系
關鍵詞:	匯率;異常報酬;資訊內涵;exchange rate;abnormal returns;information contents
日期:	2009-05
上傳時間:	2013-10-08 14:48:14 (UTC+8)
出版者:	臺北縣淡水鎮：淡江大學企業管理學系
摘要:	匯率變化長度(持續升貶日數)與匯率變化寬度(升貶幅度)是否具有資訊內涵為本研究所探討的課題，由於不少台灣的電子次產業是以出口為導向，所以匯率變動可能引起投資人對未來匯兌盈虧的連想，進而有可能影響這些次產業股價的表現。經由本實證研究，有以下幾點重要的發現:其一以貶值幅度或連貶天數來當事件日，這些類股在事件日之股價表現遠較大盤為弱;其二這些類股以連續多日升值為事件日，在事件日的前後皆有正的異常報酬，此說明連續升值有助於這些類股之股價表現;其三當匯率升值或貶值愈劇烈時，這些電子次產業皆易出現正的異常報酬，此亦說明匯率升貶對這些電子次產業的股價變動相當地動見觀瞻。 We investiagate whether the lasting (length) and range (width) of depreciation and appreciation of exchange rates would have infonnation contensts. Many of Taiwan's electronic sub-industries are export-oriented, so the movement of exchange rate may induce investors to concern the probability of the profit or loss caused by exchange rate change. Furthennore, the above concern might affect share prices of these electroics stocks. By way of this empirical study, there are several important findings disclosed as follows: First of all, no mater what range of depreciation per day or how many days for continuous depreciation, the perfonnances of these sub-industries are weaker than those of the market. Secondly, the abnonnal returns are positive for the perfonnaces of these sub-industry index returns for many days appreciation continuously. It means that the continous appreciation might have an aid for the performance of these sub-industry indexes. Thirdly, while happening depreciaton or appreciation enormaously, these electronic sub-industries might have positive abnormal index returns. It is shown that derpreciation and aprrciation might play an important role for the performance of these electronic sub-industry indexes in this empirical study.
關聯:	2009年(第六屆)提升競爭力與經營管理研討會論文集，頁405-427
顯示於類別:	[企業管理學系暨研究所] 會議論文

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