台灣上市櫃公司運用衍生性商品之研究

上市公司運用衍生性商品來規避風險，見諸報載的多半為負面或是巨幅損失的居多，且中外皆然，近期如2007年初中華電信案、香港中信泰富案、2004年中國航油(新加坡)破產等案，衍生性商品的產生源自客戶趨避風險的需求，然避險之有效性為何？本研究希望透過衍生性商品對公司在學術上及實務上個案的分析，進而提供衍生性商品之供需雙方重視的基本議題。本研究除對歷史上匯率市場的大事開始論述，另對台灣上市櫃公司，運用衍生性商品工具對公司盈餘之匯兌收益影響，及國內市場對衍生性商品發展及法規對衍生性商品的衝擊影響提出說明。背景為台灣半導體產業因大量資本支出而其機器設備均來自歐/美/日故衍生出對避險工具的之實質面需求，爾後因產業外移，中國崛起，後續更歷經34號公報於2006實施等。根據本研究個案所歸納出的結論為，無論是風險控管者或是參與者，對於衍生性商品的運用建議如下，衍生性商品本身是中性的，衍生性商品學術上評價的並無絕對的好與壞，端視運用者對市場變動是否掌控得宜，及趨勢是否判斷正確方為關鍵。對於公司匯率或衍生性商品的避險操作，以中華航空及中華電信兩個案為例，需考慮MTM對企業的影響，工具對避險的有效性及財務成本的考量，及公司內控上對於或有部位及實質曝險部位的控制; 另外並提出反思，當市場波動度異常，若公司內規若僅限定使用簡單型的產品，如遠期外匯等，面對變動劇烈的市場，將無法彈性應變。

關鍵字

市場風險；衍生性商品；匯率； 34號公報

並列摘要

Listing companies use derivatives to hedge risks seen in newspaper reports of the mostly negative or mostly huge losses, such as the recent case in early 2007, Chunghwa Telecom, the Hong Kong CITIC Pacific case, China Aviation Oil (Singapore) bankruptcy case in 2004, the generation of derivatives from the needs of our customers risk-averse, but what is hedging effectiveness of that? The study, by derivative of the company in both academic and practical analysis of the case, then provide derivatives of the fundamental issues of supply and demand sides attach importance to. This study not only the history of events began to discuss the foreign exchange rate market, the other listed companies in Taiwan, the use of derivative instruments on the company's surplus, exchange gain influence, and domestic market development and regulation of derivatives on the impact of derivatives explained. Background for 2000 Taiwan's semiconductor industry because of massive capital inflow to its machinery equipment are from the EU / US / Japan it is derived from a pair of hedge instruments of real demand, thereafter due to industrial relocation, the rise of Great China, and the follow-up SFAS No.34 implemented in 2006 and so on. According to the cases summarized in this study concluded that, the use of derivatives for the following recommendations, the derivative itself is neutral derivatives there is no absolute evaluation of academic good or bad, depending on whether the use of those changes on the market, properly controlled, and the trend is judicious side as the key. Exchange rate for the company's hedging or derivative operations to China Airlines and China Telecom are two cases, which need to consider the impact of MTM on business, tools to hedge the cost effectiveness and financial considerations, and the company's internal control on for exposed or real parts; the other side we appeal, when the market volatility degrees exception, where a limited use within the simply type in the products, such as forward the company expose the risk which can not avoid market risk effectively.

並列關鍵字

market risk ； derivatives product ； foreign exchange rate ； SFAS No.34

參考文獻

2.公司價值與匯率變動之間的關係 : 台灣上市公司之實證研究。

Changes in the Exchange Rate and Firm Valuation : Evidence from the Corporations in Taiwan 高櫻芬 (Yin-Feng Gau) 施衍礽 (Yen-Jen Shih) 摘要。

6.台灣貨幣政策法則之檢視，陳旭昇，吳聰敏 2010，摘要。

1.Alder, M., B. Dumas, “Exposure to Currency Risk: Definition and Measurement,” Financial Management, Summer (1984), pp. 41-50.

2.Jorion, P., “The Exchange-Rate Exposure of U.S. Multinationals,” Journal of Business, vol.63, no.3 (1990), pp.331-345.

國際替代計量

台灣上市櫃公司運用衍生性商品之研究

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