The Exchange Rate Factor and Stock Market-An Evidence of Taiwan Stock Market

Autor: Jung-Tzu Chang, 張容慈
Rok vydání: 2013
Druh dokumentu: 學位論文 ; thesis
Popis: 101
This research extends the researching structure from Kolari, Moorman and Sorescu(2008). It uses four methods to group the exposure of Taiwanese listed companies according to the foreign exchange-sensitivity into 3 groups, 5 groups, 10 groups, and 25 groups. We created a zero-investment portfolio taking short positions in stocks that have the extreme negative or positive sensitivity to foreign exchange risk and long positions in all other stocks. We refer to this factor as XMI. Also, it includes one-factor model, three-factor model, four-factor model, and etc. With adding XMI, it will examine the asset-pricing model to see if it will be able to effectively reduce the pricing errors for exchange-sensitive portfolios. This article aims to look into Taiwanese listed companies which exclude those companies with insufficient data as research sample from June 2002 to May 2012. Different from the inverted U-shaped what Kolari et al. (2008) found between expected returns and foreign exchange exposure, this article found that the Taiwanese stock expected returns and foreign exchange exposure present U-shaped relations. That is, the extreme portfolios have higher return than other portfolios Employing Kolari et al. (2008)’s structure, this article set up different exchange rate risk factor and include its asset-pricing model of one-factor model, three-factor model, and four-factor model. The results show that the sample companies which divided into five groups according to foreign exchange exposure comparatively lower the error-pricing of the traditional one-factor model, three-factor model, and four-factor model. However, the exchange rate risk factor is still incapable of explaining error-pricing which brought about by asset-pricing models to the extreme portfolios.
Databáze: Networked Digital Library of Theses & Dissertations
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