企業運用衍生性金融商品避險特性與效能之探討

A Study of Characteristics and Effectiveness for Hedging in the Application of Derivative Commodities to Enterprises

陳旭播(Shu-Boh Chen) ； 陳旭煌(Hsu-Huang Chen)

《中華技術學院學報》 21期 (2000/09) Pp. 16-38

https://doi.org/10.7095/JCIT.200009.0016

摘要

由於衍生性金融商品傳統理論有完全避險的主張，而現行避險理論重視操作上求出最適比率；惟二者理論不是無法實踐就是難以求出，且不能應用於衍生性金融商品避險性能的關係上；因此為澄清原有避險理論的不足，而有探討衍生性金融商品避險特性與效能的必要。本研究的目的是為分析不同種類的衍生性商品，觀察其避險的共同特性，並看出其避險的效能，導入操作者不同的經歷，探知衍生性產品避險性能的互動，運用企業不同的組織別，探求衍生性產品避險，性能變化的差異，針對其工具避險的動機，充份發揮避險性能的相關性。至本文的資料來源，係採隨機抽樣方式，對製造、金融、期貨、證券及其他行業等大型企業的問卷調查；以上述問卷資料作為量表信度檢定的依據，並由多變量統計方法實證，結果發現衍生性金融商品避險性能相關性甚高，尤其槓桿作用性的移轉風險極為顯著，且避險特性對效能有相當大的影響力，顯示這種產品的避險效果極佳，值得企業作為理財上規避風險的工具。

關鍵字

衍生性金融商品 ； 避險特性 ； 避險效能

並列摘要

While traditional theory of derivatives emphasizes hedging characteristics, modern theory emphasizes achieving the optimal ratio during operations. Neither theory was applicable extensively to derivatives hedging characters. In order to resolve this problem, current research on derivatives is forcus on both the hedging characteristics and effectiveness.The primary objective of this study is to analyze various series of derivatives by observing their basic hedging characteristics as well as effectiveness declared. In this study, we not only consider experiences from different operators to investigate various interactions among derivatives' hedging characteristics. We also consider different enterprise organizations to study the correlation of hedging instruments and functions. The sources of this study are based on our questionnaire collected, using random samples, from large corporations in manufacture, finance, futures, stocks, etc.. The required information obtained from the questionnaire is in compliance with the test scale of reliability.The empric of multivariate statistics indicated that there is a high correlation of derivatives' hedging characteristics and effectiveness. In particular, the test is the most significance between leverage and transfer risk. Obviously, we know that utility is greatly influenced by hedging characteristics. Therefore, it suggests that this types of derivatives have a very good hedging margin, and there are desirable financial hedging instruments for enterprises.

並列關鍵字

Derivative commodities ； Hedging characteristics ； Hedging effectiveness