台灣電子產業承作衍生性金融商品交易與公司特性之探討

A Study on Derivatives Trading and Corporate Characteristics for Taiwanese Electronics Industry

徐壬謙(Jen-Chien Hsu)

指導教授 ： 王澤世

共同指導教授 ： 林霖

國立暨南國際大學/管理學院/財務金融學系/碩士(2010年)

https://doi.org/10.6837/NCNU.2010.00167

摘要

本研究以民國96年及97年589家台灣上市電子業為研究對象，本研究主要目的是瞭解台灣上市公司電子業使用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公司特性之關聯性以及影響公司避險決策與避險工具選擇之因素。
由過去文獻得知，影響企業使用衍生性金融商品的動機有公司規模、風險暴露程度、財務危機成本、代理理論、資訊不對稱程度及成長性投資機會等變數。
本文主要的發現如下，電子業有約55%的公司使用衍生性金融商品，且多分佈在遠期契約的使用上，且電子業上、中、下游使用並無明顯區別。影響電子業使用衍生性金融商品與否的變數主要為公司規模及外銷比例。並利用獨立樣本t檢定、Logistic迴歸及Multinomial Logistic迴歸等統計方法，探討公司使用衍生性金融商品的動機並深入分析上市電子產業使用衍生性金融商品避險目的、工具選擇的因素，作為企業有效運用衍生性金融商品避險之準則。本研究所獲之實證結果如下：
1. 獨立樣本t檢定之結果顯示：在公司特質差異性方面，避險者的公司規模較大、風險暴露程度較大且財務危機成本較高。
2. Logistic 迴歸分析結果顯示：公司規模、風險暴露程度、代理理論、資訊不對稱程度及成長性投資機會是影響公司使用衍生性金融商品避險決策的重要因素。
3. Multinomial Logistic 迴歸分析結果顯示：
(1) 在避險目的方面，規避不同風險者，在公司規模、風險暴露程度、財務危機成本、代理理論、資訊不對稱程度及成長性投資機會上有顯著之差異。
(2) 在避險工具的選擇方面，使用不同的避險工具者，在公司特質上有顯著之差異。影響公司使用避險工具的組合及數量之因素有顯著的不同。

關鍵字

衍生性金融商品 ； 避險 ； 公司特質 ； Logistic迴歸 ； Multinomial Logistic迴歸

並列摘要

This study uses a sample of 589 companies in electronic industry of Taiwan stock market in 2007 and 2008. The main purposes are to know how firms use derivatives, to explore the relationship between hedging by derivatives and corporate characteristics, and to understand the determinants for hedging and choosing hedging instrument.
From the past research, we find there are several determinants that influence firms using derivatives, such as company size, the degree of risk exposure, financial distress, agency theory, the degree of information asymmetry, the growth options in opportunity set, and etc.
The major findings of this study are as follows. There are 55% listing electronic firms using derivatives. Most of them use forward contracts. Besides, there is no difference among up-stream, mid-stream, and down stream in derivatives use. The major determinants that affect companies’ derivatives use are company size and export ratio.
This study uses some statistical methods including independent samples t test, logistic regression and multinomial logistic regression to analyze Taiwanese electronic enterprises in use of derivatives to hedge. It examines the motives of using derivatives. It analyzes the purposes of using derivatives for hedging and the factors of choosing instruments in Taiwanese electronics industry. The following conclusions are obtained in this study:
1. The result of independent samples t test: Hedgers and non-hedgers have some different corporate characteristics. Hedgers have large company size, higher degree of risk exposures and greater financial distress.
2. The result of logistic regression analysis: The important determinants for companies to use financial derivative are influenced significantly by company size, the degree of risk exposure, agency theory, the degree of information asymmetry, and the growth options in opportunity set.
3. The result of multinomial logistic regression analysis:
(1) The hedgers which hedge for different purposes have distinct corporate characteristics including company size, the degree of risk exposure, financial distress, agency theory, the degree of information asymmetry, and the growth options in opportunity set.
(2) The hedgers who hedge by using different derivatives have distinct corporate characteristics. There is significant distinction between the determinants of the portfolio and the determinants of quantity in choosing hedging instruments.

並列關鍵字

Derivatives ； Hedging ； Corporate Characteristics ； Logistic Regression ； Multinomial Logistic Regression

參考文獻

一、中文部份

1. 王濟川、郭志剛，2003，Logistic回歸模型－方法及應用，台北市，五南書局。

2. 史綱等，2002，企業金融的 12 堂課。台北市，天下文化書坊。

3. 田佳佩，2004，企業使用衍生性金融商品對公司風險之影響，國立成功大學會計研究所碩士論文。

4. 江佳玲，2000，國內企業使用衍生性金融商品避險之實證研究（以上市公司非金融機構為例），國立中央大學財務管理研究所碩士論文。