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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李存修(Tsun-siou Lee) | |
dc.contributor.author | Yung-Fang Chen | en |
dc.contributor.author | 陳永芳 | zh_TW |
dc.date.accessioned | 2021-06-15T06:04:42Z | - |
dc.date.available | 2015-08-17 | |
dc.date.copyright | 2010-08-17 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-08-15 | |
dc.identifier.citation | 一、中文部份
1.風險管理學報 第四卷 第一期 2002 年 5 月 Journal of Risk Management Vol.4 No.1 May 2002 pp.19-45。 2.公司價值與匯率變動之間的關係 : 台灣上市公司之實證研究。 Changes in the Exchange Rate and Firm Valuation : Evidence from the Corporations in Taiwan 高櫻芬 (Yin-Feng Gau) 施衍礽 (Yen-Jen Shih) 摘要。 3.玉山銀行雙月刊文集,匯率避險之有效性分析,謝冠仁。 4.我國進出口商匯率風險規避之探討與新金融巿場潛在需求之分析,台灣大學商學研究所碩士論文,林淑鈴1987。 5.新台幣匯率選擇權之操作與管理,《產業金融》,林慈澤1998,98,頁 66-80。 6.台灣貨幣政策法則之檢視, 陳旭昇,吳聰敏 2010,摘要。 7.台灣銀行業外匯暴險及其影響因子之研究,程嘉瑩 1992,頁 7-9。 8.中央銀行已開放之店頭衍生性金融商品之業務,金融參考資料,87年10月號,頁4至頁5。 二、英文部份 1.Alder, M., B. Dumas, “Exposure to Currency Risk: Definition and Measurement,” Financial Management, Summer (1984), pp. 41-50. 2.Jorion, P., “The Exchange-Rate Exposure of U.S. Multinationals,” Journal of Business, vol.63, no.3 (1990), pp.331-345. 3.Jorion, P.(1996),”Risk:Measuring the risk in Value at Risk.” Financial Analysts Journal, Vol 6, pp. 47-56. 4.Martin, A.D., J. Madura, A. Akhigbe, “ Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe,” The Financial Review, vol.34 (1999), pp.21-36. 5.Ho, T. K and Y.H. Lin(2005), “ What Does the Central Bank of Taiwan Really Target?” Working Paper, National Chung Cheng University. 6.Linsmeier, T.J. and Pearson, N.P.(2000)“ Value at Risk,”Financial Analysis Journal, pp.47-67. 7.Stulz, R.M.(1996), “Rethinking Risk Management.”Jounal of Applied Corporate Finance, Vol. 9, pp.8-24. 8.Turner, C.(1996),” VaR as an Industrial Tool,”VaR Understanding and Applying. 9.Value-at-Risk, Risk Publications, London, PP.341-344. 10.Zea, M. (2002), “Is Airline Risk Manageable?” Airline business, pp.68-70. 三、參考網站 1. Oil's sky-High Forecast By Vivienne Walt/Paris Thursday, Feb.21, 2008 Readmore:http://www.time.com/time/world/article/0,8599,1715308,00.html#ixzz0tzk03jtJ 2. 公開資訊觀測站 http://newmops.tse.com.tw 3. 央行全球資訊網: http://www.cbc.gov.tw 4. 經濟部全球資訊網 hppt://www.moea.gov.tw 5. Chart of DXY http://www.marketwatch.com/investing/index/DXY/charts | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47534 | - |
dc.description.abstract | 上市公司運用衍生性商品來規避風險,見諸報載的多半為負面或是巨幅損失的居多,且中外皆然,近期如2007年初中華電信案、香港中信泰富案、2004年中國航油(新加坡)破產等案,衍生性商品的產生源自客戶趨避風險的需求,然避險之有效性為何?本研究希望透過衍生性商品對公司在學術上及實務上個案的分析,進而提供衍生性商品之供需雙方重視的基本議題。
本研究除對歷史上匯率市場的大事開始論述,另對台灣上市櫃公司,運用衍生性商品工具對公司盈餘之匯兌收益影響,及國內市場對衍生性商品發展及法規對衍生性商品的衝擊影響提出說明。背景為台灣半導體產業因大量資本支出而其機器設備均來自歐/美/日故衍生出對避險工具的之實質面需求,爾後因產業外移,中國崛起,後續更歷經34號公報於2006實施等。 根據本研究個案所歸納出的結論為,無論是風險控管者或是參與者,對於衍生性商品的運用建議如下,衍生性商品本身是中性的,衍生性商品學術上評價的並無絕對的好與壞,端視運用者對市場變動是否掌控得宜,及趨勢是否判斷正確方為關鍵。對於公司匯率或衍生性商品的避險操作,以中華航空及中華電信兩個案為例,需考慮MTM對企業的影響,工具對避險的有效性及財務成本的考量,及公司內控上對於或有部位及實質曝險部位的控制; 另外並提出反思,當市場波動度異常,若公司內規若僅限定使用簡單型的產品,如遠期外匯等,面對變動劇烈的市場,將無法彈性應變。 | zh_TW |
dc.description.abstract | Listing companies use derivatives to hedge risks seen in newspaper reports of the mostly negative or mostly huge losses, such as the recent case in early 2007, Chunghwa Telecom, the Hong Kong CITIC Pacific case, China Aviation Oil (Singapore) bankruptcy case in 2004, the generation of derivatives from the needs of our customers risk-averse, but what is hedging effectiveness of that? The study, by derivative of the company in both academic and practical analysis of the case, then provide derivatives of the fundamental issues of supply and demand sides attach importance to.
This study not only the history of events began to discuss the foreign exchange rate market, the other listed companies in Taiwan, the use of derivative instruments on the company's surplus, exchange gain influence, and domestic market development and regulation of derivatives on the impact of derivatives explained. Background for 2000 Taiwan's semiconductor industry because of massive capital inflow to its machinery equipment are from the EU / US / Japan it is derived from a pair of hedge instruments of real demand, thereafter due to industrial relocation, the rise of Great China, and the follow-up SFAS No.34 implemented in 2006 and so on. According to the cases summarized in this study concluded that, the use of derivatives for the following recommendations, the derivative itself is neutral derivatives there is no absolute evaluation of academic good or bad, depending on whether the use of those changes on the market, properly controlled, and the trend is judicious side as the key. Exchange rate for the company's hedging or derivative operations to China Airlines and China Telecom are two cases, which need to consider the impact of MTM on business, tools to hedge the cost effectiveness and financial considerations, and the company's internal control on for exposed or real parts; the other side we appeal, when the market volatility degrees exception, where a limited use within the simply type in the products, such as forward the company expose the risk which can not avoid market risk effectively. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T06:04:42Z (GMT). No. of bitstreams: 1 ntu-99-P95745024-1.pdf: 1744573 bytes, checksum: e99f98da935d26427443e1e745878616 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 口試委員審定書---------------------------------i
誌謝 --------------------------------------ii 中文摘要-------------------------------------iii 英文摘要--------------------------------------iv 目錄 --------------------------------------vi 圖目錄 ------------------------------------viii 表目錄 --------------------------------------ix 第一章 緒論 第一節 研究背景 -------------------------------1 第二節 研究動機 -------------------------------3 第三節 論文架構 -------------------------------4 第二章 相關衍生性商品文獻之蒐集、回顧與分析 第一節 匯率市場的大事紀 -----------------------7 第二節 相關衍生性商品文獻之蒐集、回顧 ---------8 第三節 上市櫃公司外匯避險國內市場沿革 --------10 第四節 上市櫃公司外匯避險規劃及考慮因素-------13 第五節 公司的風險意識及董事會授權機制---------15 第三章 國內相關法規之限制 第一節 NDF交易之禁止及台幣相關外匯選擇權交易之限制 --------------------------------------19 第二節 主管機關對於台幣相關產品的審查及核准限制 --------------------------------------22 第四章 個案分析 第一節 油料避險個案分析----------------------27 第二節 匯率選擇權避險個案分析 ---------------32 第五章 研究結論與建議 -----------------------37 參考文獻--------------------------------------38 參考網站--------------------------------------39 | |
dc.language.iso | zh-TW | |
dc.title | 台灣上市櫃公司運用衍生性商品之研究 | zh_TW |
dc.title | An Analysis of Taiwan Listing Companies’ application of derivatives products | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 莊文議,陳業寧 | |
dc.subject.keyword | 市場風險,衍生性商品,匯率,34號公報, | zh_TW |
dc.subject.keyword | market risk,derivatives product,foreign exchange rate,SFAS No.34, | en |
dc.relation.page | 39 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-08-16 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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