教師資料查詢 | 類別: 學位論文 | 教師: 許信輝 HSU HSIN HUI (瀏覽個人網頁)

標題:台幣匯率波動對汽車產業類股價之影響
學年104
學期2
畢業日期2016/06/26
著者許信輝 HSU HSIN HUI
中文題名台幣匯率波動對汽車產業類股價之影響
英文題名The Impact of NT Dollar Exchange Rate Fluctuations on the Stock Price of Automobile Industry
畢業學校系所淡江大學財務金融學系碩士在職專班
學位碩士
指導教授李沃牆方鏘傑
頁數68
備註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.
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