A Study of the Correlation between the Foreign Exchange Exposure and Standardized Abnormal Volatility

[[abstract]]本研究以台灣資訊電子產業之上市公司為研究對象，探討公司的外匯曝險及其使用衍生性金融商品避險等變數對季盈餘宣告日股價報酬率異常波動之影響。研究結果顯示：盈餘宣告日之異常波動與外匯曝險呈正相關，此說明了投資人會以盈餘宣告日的資訊來推估匯率變動對公司績效的影響。除此之外，公司的無形資產與異常波動也具有顯著的正向關係。而公司規模則是與異常波動呈負向關係。在金融資產避險方面，盈餘宣告日異常波動與避險衍生性金融商品之使用並無顯著相關性。這可能是避險金融商品的使用對於公司價值以及現金流量的影響皆極小，且投資人缺乏資訊來評斷公司的避險績效，故反應在統計上不具統計顯著性。[[abstract]]This paper investigates the effect of exchange exposure and hedging activities on the abnormal stock price volatility surrounding quarterly earnings announcements The findings show that abnormal volatility is positively correlated with exchange exposure this suggesting that investors use the information in quarterly earnings announcements to assess the impact of exchange rate changes on firm performance In addition abnormal volatility is positively correlated with intangible assets and negatively correlated with size but not significantly correlated with the use derivatives hedging According to this result we argue that this may stem from investors’ inability to correctly evaluate information on the derivatives usage or that investors lack the information needed to correctly judge the effect of derivatives on firm performance So its reflection on the abnormal volatility is statistic insignifican