本篇論文檢驗人民幣未預期匯率變動對美國股市的重要性。並以GICS分類方法，將S&P 500 細分成10個經濟部門，依此來研究未預期匯率變動和不對稱性外匯風險對不同經濟部門所造成的影響。本篇論文採用滾動回歸(Rolling regression)之下的OLS及分量模型來檢測動態外匯曝險係數。並進一步綜合比較動、靜態外匯曝險係數，發現，以滾動式分量回歸方法，最能符合股市對未預期匯率變動的反應情形，所檢測的不同經濟部門外匯曝險情形也較準確。

This paper examines the importance of unexpected CNY/USD exchange rate impacts on S&P 500 stock returns during the period 2002 - 2012 and the asymmetric exchange rate exposure phenomenon in response to currency appreciation and depreciation. More specifically, it investigates of 10 economic sectors’ unexpected risk exposures. We use the rolling regression method to examine the exchange rate movements on stock returns. The results reveal that applying quantile regression with rolling model to detect unexpected exposure overwhelms the traditional static approach and rolling regression with OLS model. Furthermore, there are strong evidences that exchange rate exposure takes into consideration of dynamic and industrial effect, implying that quantile regression capture unexpected impacts more accurately.

Table of contents
論文審定書 i
誌謝 ii
中文摘要 iii
Abstract iv
Section 1. Introduction 1
1.1 research motivation and purpose 3
Section 2. Literature review 6
2.1 The measure of the unexpected exchange rate exposure 6
2.2 The determinants of exchange rate exposure 8
Section 3. Methodology 9
3.1 The first step – Rolling regression with OLS 9
3.2 The first step – Quantile regression with rolling model 10
3.3 The second step –the determinant of exchange rate exposure 11
Section 4. Data and descriptive 12
Section 5. Empirical results 15
5.1 The first step - static result 15
5.2 The first step - dynamic result 18
5.3 The second step 38
Section 6. Conclusion 42

Appendix 44
References 54

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