套期保值还是投机——基于中国上市公司的实证分析

Commodity Futures Hedging or Speculation——Evidence from Chinese Listed Companies

本文研究了用于识别企业运用商品期货进行套期保值和投机的方法,并分析了两种不同期货交易行为对企业经营业绩波动和公司股价的影响。本文采用2004—2013年披露套期保值的上市公司财务数据和期货市场交易数据,运用以上识别方法发现有相当一部分公司存在投机行为。在此基础上,利用Logistic模型分析影响企业参与期货交易的因素以及企业进行投机的原因,认为上市公司有效的衍生品交易风险内部控制机制缺位、大宗商品价格波动加剧和期现货价格偏离是诱使企业转向投机的内外因素。本文利用统计分析发现套期保值稳定了企业经营业绩,而投机行为则加大了业绩波动。同时,本文利用事件研究方法分析发现企业披露套期保值或投机损益后股价不升反降,并且市场对投机事件披露比对套期保值事件披露反应更为强烈。最后,提出应区别对待违规决策失误和非违规决策失误、完善企业风险内控机制等建议。

This paper proposes a method used to identify hedging and speculation in commodity futures markets and investigate the different impacts of hedging and speculation on the listed companies＇ performance and their stock prices. Firstly, this paper collects a dataset on Chinese listed companies which ever reported trading in commodity futures during the period between the year of 2004 and 2013. Secondly, based on this dataset, we find that substantial numbers of companies ever engaged in speculation in commodity futures markets. By running logistic models, we analyze the determinants of hedging and the reasons why companies could speculate in futures markets. We argue that the lack of effective internal risk control mechanisms, intensifying volatilities of commodity prices and the increases in the basis are the main reasons for speculation. Thirdly, by using the statistical analysis, this paper finds that hedging has stabilized while speculation aggravated companies performance. The event studies show that stock markets could react to both hedging and speculation, but more strongly to speculation. Finally this paper argues that people should discriminate against illegal and legal failures in decision making, meanwhile improve gradually internal risk control mechanisms of companies.