我国上市公司使用外汇衍生品的影响因素研究  

Why China's Public-Listed Firms Use Currency Derivatives

作　　者：郑莉莉[1] 郑建明[1] 

机构地区：[1]对外经济贸易大学

出　　处：《财贸经济》2012年第6期65-72,共8页Finance & Trade Economics

基　　金：教育部"新世纪优秀人才支持计划"(NCET-11-0623);国家自然科学基金(70871023);对外经济贸易大学学术创新团队;对外经济贸易大学研究生科研创新重点项目基金(A20110203)

摘　　要：本文利用2005-2010年我国上市公司使用外汇衍生品的数据,分析公司使用外汇衍生品行为的影响因素,从而对破产成本等假设进行验证。研究发现,财务状况、投资机会等指标是使用衍生品的影响因素。本文还分析了公司的股权结构、产权性质、市场化程度、政治关联度对使用衍生品的影响,使用连续变量的稳健性检验支持了本文的结论。论文拓展了外汇衍生品使用动机的研究,在规范上市公司衍生品信息披露和加强公司衍生品行为监管方面提出了相应的政策建议。This paper analyzes the factors which affect the hedging behavior using data of the listed firms from 2005 to 2010 and tests the costs of financial distress theory and other existing theories. The authors find that the motives of using currency derivatives include indicators of financial status investment opportunities and so on, which is consistent with the authors＇ assumptions. The paper also analyzes the relationships of the proportions of managerial ownership, property rights, the market indexes and political connection of firms with derivatives. The robustness test using continuous dependent variables supports these conclusions. The paper expands the research of motivations of foreign exchange derivatives and makes corresponding recommendations on regulating derivatives information disclosure of listed companies and strengthening regulation of corporate derivatives behaviors.

关 键 词：外汇衍生品 套期保值稳健性检验 

分 类 号：F832.5[经济管理—金融学] F224