우리나라 상장기업의 환노출에 관한 연구
Exchange Rate Exposure of Korean Listed Companys
경영학과 국제경영 및 마케팅전공
상장기업 환노출 환율제도 실효환율;
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Korea has high outside dependence of economy. And when exchange rate was changed, it lacks ability that can pass-through other. Therefore, it is the general viewpoint that foreign exchange fluctuation gets to enterprise value because foreign transactions is registered into foreign currency. In 1999, FX Transaction was liberalized sharply by foreign exchange control law is abrogated and New FX Transaction law established. Accordingly, the Financial Supervisory Service do reflect enterprise's foreign exchange risk administration availability when financial agency evaluates enterprise value from 2001. Responsiveness about foreign exchange fluctuation is economic foreign exchange exposure. We need foreign exchange exposure administration to manage enterprise value because it is uncontrolable factor in enterprise's situation In this study, used individual enterprise's end of the month stock prices from January, 1993 to December, 2002 to analyze foreign exchange fluctuation and individual enterprise's earnings. And use linear analysis and non-linear analysis with four study models. Usually, more than 70% of GDP of our country connects with foreign trade. Therefore, effect of exchange rate change about our enterprise is more important than advanced nation because trade scale of advanced nations is relatively less than us. But result of actual proof analysis appeared to differ with this. That is, the foreign exchange fluctuation rate is construed that hardly influence for individual enterprise's value. This can see that stock prices of composite stock exchange index and individual enterprise do not give positive(+) influence mutually or is caused by influence of noneconomic factor, political or peculiar special factor of Korea's stock market etc. And executed chi square test to analyze enterprise's special quality statistically but did not search relevant special quality. In spite of various problem, there is the sense because this study draws following conclusion. First, can indicate problem of model itself. Already in most studies, It is within 10-15% in case change of exchange rate influences in individual enterprise's value. Therefore, in economic factor dominate economy system, individual enterprise's stock prices and the foreign exchange fluctuation rate are close mutually. but it is hard to apply to economic system with noneconomic factors. Therefore, need supposition of new model that can reflect noneconomic factors. Second, substantial impact of the foreign exchange fluctuation rate does not occur immediately and time lagged analysis should be reflected by monthly, quarterly, half-year, year etc. Third, when suppose that individual enterprise is danger of foreign exchange fluctuation, should consider both foreign exchange fluctuation factor that expected and do not expect. because when suppose efficient stockmarket, the former affects in immediately individual enterprise's value, but the latter is reflected a little late. Therefore, foreign exchange fluctuation must analyze factor of foreign exchange fluctuation that do not expect.