企业运用衍生品的风险管理效果分析——来自中国上市公司的证据

现有文献较少关注企业运用衍生品的风险管理效果,以至于不能准确地解释运用衍生品的行为与功能。以沪深两市上市公司在2005～2011年间运用过衍生品的企业为样本,分析其运用衍生品的风险管理效果,研究发现中国企业运用衍生品的风险管理效果很弱。因此,可以认为中国企业运用衍生品的行为主要是套期获利,而不是名义上宣称的套期保值。

The Risk Management on Derivatives Application: Evidence from China's Listed Company

There is little literature about the effect of risk management on derivatives application, which leads to misunderstanding of the behavior and function of derivatives application. In this paper, based on a sample of China''s listed companies who have used derivatives from 2005 to 2011, the effect of risk management on derivatives application has been analyzed. It is found that the effect is very weak. Therefore, the behavior of using derivatives by China''s firms is more like a kind of speculation rather than hedge.