台灣非金融保險業上市公司衍生性金融商品避險操作之評估

The Study on Using Financial Derivatives in Taiwan for Listed Non-finance and Non-insurance Firms

10.6985/TBFQ.201003.0001

柯伯昇(Po-Sheng Ko)；吳政仲(Cheng-Chung Wu)；鄭明仁(Ming-Jen Cheng)；陳永昇(Yung-Sheng Chen)

避險 ； 衍生性金融商品 ； 事件史分析法 ； Hedging ； Derivatives ； Event History Analysis Method

台灣金融財務季刊

11卷1期（2010 / 03 / 01）

1 - 31

繁體中文

本研究以2006年至2007年台灣非金融保險業之上市公司承作衍生性金融商品的情況，分析公司運用衍生性金融商品避險與企業特質之關係以及影響公司避險決策與避險工具選擇之因素。 研究發現即使在34及36號公報公佈後，台灣上市公司在揭露衍生性金融商品投資資訊行為上仍然有待改進的地方，至少在從事該項行為原因上的揭露仍不足。本研究應用事件史分析法於實證分析上，發現企業進行避險活動與公司特質有關聯性，如企業的代理成本、公司規模、財務危機成本以及成長性投資機會等。企業在從事衍生性金融商品投資上，應對企業本身財務特質進行評估，以作為避險決策的參考。同時應考量不同性質的避險工具用於適合的風險種類中，避險效果才可以充分達成，使得避險效益極大化。本研究亦發現成長投資機會愈高、公司規模愈大和財務危機成本愈大的企業，會傾向使用衍生性金融商品進行避險。至於產業別的影響，研究發現電子與電機機械業對承作衍生性金融商品交易之避險行為較其他產業積極。

The purpose of this study is to investigate the behavriours of derivatives using by the non-finance and insurance public companies listed in Taiwan stock market over the period of 2006-2007 to explore the hedging relationships between with derivatives and corporate characteristics, and to understand the determinants of hedging and choosing hedging instrument. This study demonstrates the relation between corporate hedging and corporate characteristics, such as agency cost, company scale, financial crisis cost and growth investment opportunities. The companies can have self-assessment upon the above characteristics as the criteria of hedging decision-making with regard to corresponding risks by choosing different types of hedging instruments. We use Event History Analysis (EHA) as the research method. We concern about the special topics such as Censoring, Ties, and Discrete Time. The EHA performs better ability than traditional regression method. Results show that firms with greater growth opportunities and tighter financial constraints are more likely to use derivatives. Furthermore, electronic and electric machinery industries are more likely to use derivatives.

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