The Evidence of Foreign Exchange Exposure from the Corporations in Taiwan －Compare Asia Financial Crisis with Global Financial Crisis

[[abstract]]1997年東南亞金融風暴影響至今，在2007年同樣為金融風暴的環球性的金融風暴也相繼爆發，一為地域型金融風暴，一為全球型金融風暴，故本文擬定探討在兩風暴發生至今，台灣上市企業的股票報酬率與未預期匯率變動率間的交互現象。實證結果發現在未預期匯率變動下，環球性金融風暴相較於東南亞金融風暴，對於台灣上市企業衝擊較為劇烈且為廣泛，且整體而言只有在東南亞金融風暴中，存在無遞延期的效果，而在無風暴與環球性金融風暴中則具有強烈的遞延期解釋力；整體而言，台灣的環球性金融風暴中非高科技產業外暴曝險衝擊較為嚴重，電子零組產業和電腦週邊此兩種產也在環球性金融風暴中相較於其他高科技產業反應較劇烈且深的外匯暴險情形，而電機產業在環球性金融風暴對於美元外匯曝險反應較為劇烈，而化學產業則為也在環球性金融風暴為對日幣外匯曝險影響最廣的產業。根據高低外銷比率分類企業得知，在環球性金融風暴中此因素對外匯曝險的影響分度不大。最後在外匯曝險決定因素方面，在東南亞金融風暴期間，外匯曝險值較容易與外銷比率呈正相關，而環球金融風暴的決定因素較不具有顯著解釋能力。[[abstract]]The recession in1997 happened in southern east Asia had been a big impact on our economics until now; meanwhile the recent crisis results from subprime mortgage in America which breaks out a series of problems And one is regional financial crisis the other is global financial crisis So we try to examine the impact of unexpected change of exchange rate on stock return in Taiwan during the period of Asia financial crisis and global financial crisis Empirical results show that Taiwan corporation has more serious foreign exchange exposure in global financial crisis than in Asia financial crisis And there is no lagged effect of foreign exchange exposure only in Asia financial crisis but there is lagged effect of foreign exchange exposure in global financial crisis The foreign exchange exposure which firms is seriously exposed in the electronic component industry and the computer peripheral industry in global financial crisis And the electrical machinery industry seriously exposes to US dollar foreign exchange in global financial crisis The chemistry industry is affected the Japanese currency foreign exchange in global financial crisis Furthermore the foreign exchange exposure to the sales exporting ratio are positive inclined to be in Asia financial crisis And there is no reason to explain the foreign exchange exposure in global financial crisi