本研究旨在探討匯率變動對各國航空產業股價超額報酬率變動之影響。根據Bodnar & Gentry(1993) 對於加拿大、美國及日本各個產業匯率曝險的研究發現飛機製造、燃油煉製產業有顯著的匯率曝險，此外加拿大與美國的航空運輸業也有顯著的正向匯率曝險。然而目前缺乏研究航空業匯率曝險是由個別公司避險策略導致，還是個別國家及地區風險所影響。本文根據可執行的一般化最小平方法（FGLS）得出個別航空公司匯率曝險系數，發現在亞太地區及歐洲地區有近一半的航空公司有顯著匯率曝險情形，而中南美洲地區代表航空公司匯率曝險影響最為嚴重。本文結果符合過往文獻研究，新興國家的產業匯率曝險影響會大於已開發國家，並發現整體航空產業股價超額報酬率受到匯率變動的正向影響。

The purpose of this study is to examine the impact of exchange rate changes on the changes in excess returns of the stock prices of the aviation industry in various countries. According to Bodnar & Gentry(1993), a study of the exchange rate exposure of various industries in Canada, the United States, and Japan found some significant exchange rate exposure in the aircraft manufacturing and fuel refining industries. Additionally, there was significant positive exchange rate exposure in the air transportation industry in Canada and the United States. However, there is a lack of research on whether the aviation industry's exchange rate exposure is caused by individual firms' hedging strategies or by individual country and regional risks. In this paper, we derive the coefficients of exchange rate exposure for individual airlines based on the feasible generalized least squares （FGLS） method. We find that nearly half of the airlines in the Asia-Pacific and European regions have significant exchange rate exposure, while the Central and South American airlines represent the most heavily exchange rate exposed. These results are consistent with previous literature, which suggests that emerging countries have greater exposure to exchange rate risk than developed countries. Furthermore, this study finds that the overall excess return of airline industry shares is positively affected by exchange rate changes.

謝辭………………………………………………………………………………i
摘要……………………………………………………………………………ii
Abstract…………………………………………………………………iii
第一章 緒論……………………………………………………………1
第一節 研究背景………………………………………………………1
第二節 研究動機與目的…………………………………………2
第二章 文獻回顧………………………………………………………9
第一節 匯率變動對於各產業影響…………………………9
第二節 匯率變動對於國家地區影響……………………10
第三節 避險行為對於股價報酬影響……………………11
第三章 資料敘述…………………………………………………………13
第一節 變數選擇…………………………………………………………13
第二節 變數說明…………………………………………………………13
第四章 研究方法………………………………………………………17
第五章 研究結果………………………………………………………23
第一節 區域結果………………………………………………………23
第二節 各航空公司結果…………………………………………25
第三節 穩健性測試結果…………………………………………43
第六章 結論………………………………………………………………47
附錄……………………………………………………………………………49
參考文獻………………………………………………………………………55

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