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| Title: | 台灣壽險公司之海外投資、避險結構及外匯風險的研究
The Study on Foreign Investment, Hedging Strategies and Exchange Rate Exposure of Financial Holding Companies with Life Insurance Subsidiary in Taiwan |
| Authors: | 陳乃慈
Chen, Nai-Tzu |
| Contributors: | 張元晨
陳乃慈
Chen, Nai-Tzu |
| Keywords: | 外匯準備金制度
海外投資限制
IFRS9
海外投資比率
傳統避險比率加計外幣保單比率
一籃子貨幣避險比率
股價報酬率
Hedging strategy
Foreign Exchange Reserve
IFRS9
Foreign investment ratio
Traditional hedging plus FX policy hedging ratio
Currency basket hedging ratio
Stock return rate |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:38:51 (UTC+8) |
| Abstract: | 本研究整理近年來台灣壽險業面臨海外投資比率增加，伴隨而來的外匯曝險相關問題，在實際個案探討中，詳細分析六大壽險公司之海外投資比率及避險結構在外匯價格準備金制度的設立與海外投資限制的放寬下的變化以及IFRS9實施對於六大壽險業的影響，實證研究則探討壽險公司的海外投資及避險結構對於該壽險公司所屬金控公司股價報酬率的影響。實證結果發現，壽險公司的海外投資比率對該壽險公司所屬金控公司股價報酬率為負向影響但不顯著；壽險公司的傳統避險比率加計外幣保單比率對於該壽險公司所屬金控公司股價報酬率有顯著負向影響，表示壽險公司的傳統避險比率加計外幣保單比率越高，該壽險公司所屬金控公司的股價報酬率越低；壽險公司的一籃子避險比率對於該壽險公司所屬金控公司股價報酬率有正向影響但不顯著。
The study examines the changes on foreign investment, hedging strategy and exchange rate exposure of life insurance companies in Taiwan through times. Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries and established the Foreign Exchange Reserve system, life insurance companies increase their capital in foreign investments and change their hedging strategy. Moreover, the study finds that the exchange rate risk of life insurance companies has increased after applying IFRS9. In addition, this study examines the effect of foreign investment and hedging strategies on the stock return rate of financial holding companies with life insurance subsidiary in Taiwan by using a sample of six largest life insurance companies. The empirical results show that the foreign investment ratio of life insurance companies has negative but not statistically significant impact on the stock return rate of their holding companies. Second, results show that traditional hedging plus FX policy hedging ratio of life insurance companies has significantly negative impact on stock return rate of their holding companies. It represents higher traditional hedging plus FX policy hedging ratio has negative influence on the stock return rate of their holding companies. Lastly, results also show that currency basket hedging ratio of life insurance companies has positive but not statistically significant impact on stock return rate of their holding companies. |
| Reference: | 一、中文資料
林惠芳、張邦茹、葉寧欣，2012年，壽險公司使用衍生性金融商品決定因素之研究，風險管理學報，第十四卷第一期，25-47。
陳振桐、梁正德，2010年。一籃子避險策略之實證研究，風險管理學報，12(1)，p.133-154。
張士傑，2019年。匯率風險對我國壽險業經營之短中長期影響，財團法人台北外匯市場發展基金會專題研究計畫。
李冠杰，2018年，「匯率避險策略對壽險業之影響–以利率變動型壽險商品為例」，國立政治大學風險管理與保險學系碩士論文。
陳淑盈，1999 年，「上市公司運用衍生性金融商品避險之研究」，國立中興大學財務管理研究所碩士論文。
二、英文資料
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Shapiro, A.C., 1975. Exchange-rate changes, inflation, and the value of the multinational corporation. Journal of Finance 30 (2), 485–502.
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Williamson R, 2001. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics 59 (2001) 441– 475 |
| Description: | 碩士
國立政治大學
財務管理學系
107357020 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107357020 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000604 |
| Appears in Collections: | [財務管理學系] 學位論文
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