台灣高科技公司外匯避險與套利之個案研究

Abstract

外匯避險與套利在過去之相關文獻大多針對避險時機、工具、策略及期貨套利方面做探討，較少以企業實務案例做研究探討，故本研究透過研究個案公司以採情境分析、操作策略、操作績效之方法步驟，來深入研究個案公司實務操作外匯避險與套利之主要衍生性金融工具如遠期匯率交易合約、換匯換利合約及 DF NDF(CNY CNH)大陸境內境外套利。 經透過研究個案公司外匯避險與套利之操作績效實證，發現個案公司以採風險較低並鎖定匯率之遠期匯率及換匯換利避險工具，並積極操作較無風險並鎖定套利收益之金融工具，其外匯財務操作所產生業外收益近幾年均有優於同業之情形，藉此來提供企業財務主管應積極而非被動的面對千變萬化的外匯市場交易，應由內勤支援角色轉變為創造企業財務收入之重要財務角色，不但能規避匯率風險進一步還能為公司創造套利業外之收益，以提升財務人員在企業不可取代之創造性價值。

In the past relevant literatures regarding foreign exchange hedging, they mostly expressed and discussed either about arbitrage, or about the timing, tools , and strategies of hedging , or about futures arbitrage. It is not much about real case study discussion. Therefore, in this case study we adopt situational analysis on the company’s operation strategy and operating performance . The main purpose is to depend the main derivative financial instruments for the company 's foreign exchange hedging strategy and tool, such as Forward, SWAP, and DF or NDF(CNY CNH) between domestic Chain and cross-border China. Through this real case study, we found an important result that the revenue generated from outside circumstances are better than the revenue generated from foreign exchange in recent years. The positive result is mainly from two ways: Adopt the hedging of Forward and FX Swap which are in lower risk, and follow a pro-active fiscal policy to invest hedge fund conservatively. Thereby , it can provide managers a good experience that they should be in the face of ever-changing FX trading market more actively rather than passively. Moreover, the function role of financial management could turn to important one in creating the financial enterprise financial income from the back office’s support. In that case, Not only to avoid the risk of further exchange rate , but also can enhance corporate financial officers into more important positions and more irreplaceable role.