衍生金融工具、套期会计与股价崩盘风险——基于A股金融类上市公司的实证研究

Financial Derivatives,Hedge Accounting and Risk of Stock Price Collapse: An Empirical Research Based on A-share Listed Financial Companies

本文采用手工收集的2007-2016年沪深A股金融业上市公司衍生金融工具使用情况数据,检验衍生金融工具交易行为对股价崩盘风险的影响,以及衍生金融工具采用的会计处理方法在其中的作用。研究发现,衍生金融工具的使用提高了股价崩盘风险,在控制了内生性等问题后,该结论仍然成立;对衍生金融工具交易采用套期会计处理方法可以降低股价崩盘风险。因此,为防范衍生金融工具可能引发的金融风险,监管部门可鼓励公司对衍生金融工具交易采用套期会计处理方法。

Based on manually collected data on the use of financial derivatives in Shanghai and Shenzhen A-share financial companies from 2007 to 2016, this paper examines the impact of derivatives trading on the risk of stock price collapse and the role of accounting methods used in derivatives. The study finds that the use of financial derivatives increases the risk of stock price collapse, and the conclusion still holds after controlling the endogeneity and other issues;Hedge accounting for derivatives transactions can help reduce the risk of stock price collapse. Therefore, in order to prevent financial risks caused by financial derivatives, regulatory authorities could encourage companies to adopt hedging accounting methods for the transactions of financial derivatives.