Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market

doi:10.5539/ibr.v6n7p120

機構典藏 > College of Global Entrepreneurial Development > Department of Global Political Economy > Journal Article > Item 987654321/97952

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/97952

Title:	Exchange Rate Exposure: Do Asymmetries and Volatilities Matter? Evidence from the Taiwan Stock Market
Other Titles:	外匯曝險:不對稱與波動度是否重要?台灣股票市場的實証研究
Authors:	Varga, R F Franck=馬為騰
Contributors:	全球政治經濟學系
Keywords:	匯率曝險;不對稱曝險;匯率波動度;波動不對稱
Date:	2013-07
Issue Date:	2014-05-13 14:31:38 (UTC+8)
Publisher:	Canadian Center of Science and Education
Abstract:	This study investigates foreign exchange exposure and the impact of asymmetries and volatility on the daily returns of Taiwanese non-financial firms from 1990 to 2010. Eighty-eight point eight percent of the study's samples were negatively exposed companies benefiting from an appreciation of the domestic currency. Fourteen percent of the firms had asymmetrical profiles. If this percentage is not negligible, Taiwanese firms exhibited mainly symmetrical exposures. Currency volatility had a significant impact on only 7.5% of the firms, but for 37.38% of the sample, the study observed the existence of an asymmetrical volatility. Among them, 65% exhibited negative signs, meaning that good news had a greater impact on the volatility than bad news, which seems counter-intuitive. These results may be explained by the behavior of chasing good news and the effects of a high level of information uncertainty. 本研究旨在調查分析台灣股票市場非金融上市公司外匯交易曝險的不對稱性與波動度對其股票日報酬率的影響。研究期間為自1990年至2010年。研究結果指出88.8%的樣本公司-呈現負的曝險關係，這樣的結果表示這些公司因台幣升值而受益， 14%的樣本公司則具有不對稱屬性。這個比例並非微小到可被忽視，所以，台灣上市公司的日報酬率受外匯交易曝險影響，基本上具有對稱特性。只有7.5%的樣本公司其外匯波動度對股票日報酬率的影響具顯著性，但是37.38%的樣本，外匯曝險的不對稱波動度具解釋能力。這中間， 65%樣本呈現負的符號，表示好的消息對波動度的影響明顯地要大於不好的消息，直覺地反面推論亦可成立。這樣的結果可被解釋為是由於投資人偏好追求好消息，以及市場普遍存在高度的資訊不確定性。
Relation:	International Business Research 6(7), pp.120-130
DOI:	10.5539/ibr.v6n7p120
Appears in Collections:	[Department of Global Political Economy] Journal Article

Files in This Item:

File	Description	Size	Format
Exchange Rate Exposure Do Asymmetries and Volatilities Matter Evidence from the Taiwan Stock Market.pdf		191Kb	Adobe PDF	0	View/Open
index.html		0Kb	HTML	89	View/Open

Loading...