衍生品使用对股价波动性的影响——基于中国上市公司的实证研究

Based on Empirical Research of Listed Companies in China

理论上,使用衍生品进行套期保值,对冲经营上面临的汇率、大宗商品价格等的价格波动风险,有助于公司的持续稳定经营,从而实现股票价格的稳定性。然而,衍生品的不当使用也会带来额外风险,冲击公司的经营,导致股票价格波动加剧。随着我国衍生品市场的发展及制度法规的落实完善,利用衍生品工具进行套期保值的上市公司群体越来越大。本文以A股上市公司为样本,利用双向固定效应模型研究了上市公司衍生品使用对股价波动率的影响。结果显示上市公司使用衍生品能够显著降低股价波动率,主要是通过降低特质波动率实现的。

In theory,the use of derivatives to hedge against the risk of exchange rate,commodity prices and other price fluctuations in business is conducive to the sustainable and stable operation of the company,so as to achieve the stability of stock prices.However,the improper use of derivatives also poses additional risks,affecting the company s operations and leading to increased volatility in stock prices.Along with the development of Chinese derivatives market and the implementation of regulations,more and more listed companies start to use derivatives for hedging.Taking A-share listed companies as samples,this paper studies the influence of derivatives use on stock price volatility by using two-way fixed effect model.The results show that the use of derivatives by listed companies can significantly reduce stock price volatility,mainly by reducing idiosyncrasies volatility.