金融衍生品与企业风险承担——基于我国制造业上市公司的经验证据

Financial Derivatives and the Firm's Risk-Taking:Evidence from Listed Manufacturing Companies in China

以我国沪深A股上市的制造业企业2007-2012年数据为基础,剖析了金融衍生品对企业个体风险和系统风险的影响。研究表明,无论是整体的衍生品还是不同合约类型的衍生品,对个体风险和系统风险均产生了抑制效应。进一步分析显示,衍生品对个体风险的抑制效应在显著性水平上存在着结构性差异,其中外汇衍生品的影响在统计上显著,而商品衍生品和利率衍生品则不显著。此外,还发现整体衍生品和单一衍生品对系统风险的抑制效应均不显著。

Based on the listed manufacturing companies in China from 2007 to 2012,the paper studies the effects of financial derivatives on firm-specific risks and systematic risks. It finds that the derivatives have negative effects on both firm-specific risks and systematic risks. The further analysis shows that there are structural differences in the effects on the firm-specific risks imposed by different types of derivatives,e. g.,the effect of foreign currency derivative on firm-specific risks is significant,while the effects of other derivatives are weak. In addition,it is also found that derivatives have the weak effects on systematic risks.