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URN etd-0722104-161135 Statistics This thesis had been viewed 2665 times. Download 2747 times. Author Pao-Yueh Lai Author's Email Address firstname.lastname@example.org Department Management Business Administration Year 2003 Semester 2 Degree Master Type of Document Master's Thesis Language English Page Count 65 Title EXCHANGE RATE EXPOSURE AND DETERMINANTS OF EXPOSURE IN TAIWAN STEEL INDUSTRY Keyword y Exponential Smoothing Technique Regression Analysis Exchange Rate Risk Exchange Rate Exposure Cross-Sectional Analysis Cross-Sectional Analysis Exchange Rate Exposure Exchange Rate Risk Regression Analysis y Exponential Smoothing Technique Abstract This research studied 33 Taiwan steel companies approved by Security and Futures Commission to be listed in TSEC & OTC, over the 2000-2003 period, probe into the exchange rate exposure of Steel Corporation. Analysis procedure was divided into four steps, first, used a two-factor model engaging in the relationship between contemporaneous exchange-rate fluctuations and stock returns. Next, all variables are adjusted. Taking into account the hedging activities that some companies take to hedge the determinants of expected exchange rate fluctuation, this study puts the variable of unpredictable exchange rate into the regression model in hopes of getting a better picture of exchange rate exposure. Third step a test is done to check whether there is a significantly lagged effect in exchange rate exposure of steel industry in Taiwan. Finally, use cross-sectional data to investigate into determinants of exchange
rate exposure, Then employ corporate size, debt ratio, current ratio, the times interest earned ratio and the book-to-market ratio, conduct a multi-regression analysis of five proxy variables on individual corporate coefficient of exchange rate risks. The empirical findings of this research are as follows:
一、Estimate of Exchange Rate Exposure:
1. Among 33 TSEC & OTC listed steel companies in Taiwan, 12.1% of them showed significance in contemporary exchange rate exposure, and their values were all positive.
2. Adjusted the variable of exchange rate fluctuation by using exponential smoothing technique the significant rate only increases from 12.1% to 15.15%.
3. The lagged exchange rate exposure of Taiwan steel industry isn't as significant as contemporary exchange rate exposure, only 2 companies reach the level of significance, or 6%, and with positive value. However, the lagged exchange rate exposure is less significant than the contemporary exchange rate exposure. So the next analysis is based on contemporary exchange rate exposure.
二、 Determinants of Exchange Rate Exposure:
Among determinants of influencing exchange rate exposure of steel industry, debt ratio and the times interest earned ratio, which are belonging to hedging motivations of companies, are both significant. It means when having a bigger debt ratio (or smaller times interest earned ratio) a company has higher odds of facing financial distress. In order to reduce bankruptcy cost and agency cost, companies will aggressively take hedging activities, and thus lower their exposure to exchange rate movements. The bigger company size has the more significant of the exchange rate exposure. The beta coefficient of current ratio and book-to-market ratio all show a negative relationship to exchange rate exposure. Nevertheless, all the beta coefficients don't reach the significant level, and thus there's no statistic meaning inside.
Advisor Committee Ming-Chuan Pan - advisor
Wen-Chueh Hsieh - co-chair
Wen-Kuei Liang - co-chair
Files Date of Defense 2004-06-21 Date of Submission 2004-07-22