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研究生:張語婕
研究生(外文):Yu-chieh Chang
論文名稱:我國上市公司操作衍生性金融商品異常報酬實證研究
論文名稱(外文):The Empirical study of Derivatives Usage Abnormal Return for Taiwanese listed companies
指導教授:周淑卿周淑卿引用關係
指導教授(外文):Shu-ching Chou
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:91
中文關鍵詞:四因子模型公司規模股票異常報酬衍生性金融商品
外文關鍵詞:Stock abnormal returnDerivativeSizeFour-factors model
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近年來隨著金融市場的自由化與國際化發展,衍生性金融商品成為我國避險或獲利普遍的工具。本研究以2005年至2007年臺灣上市公司,去除金融業為樣本,研究模型為四因子模型,探討我國上市公司操作衍生性金融商品之情形以及股票異常報酬之實證研究。本研究實證結果如下:

一、我國企業最常以非交易目的持有衍生性金融商品。使用最頻繁的產業為電子業和汽車
業。公司最常使用由外匯所衍生之金融商品。最常持有之工具為選擇權和遠期契約。
二、2005年至2007年間,我國上市公司操作衍生性金融商品之比率逐年下降。
三、公司規模愈大,使用衍生性金融商品的頻率就愈高。
四、我國有操作衍生性金融商品之公司其金融資產與負債評價損益波動幅度比無操作之公
司來得大。
五、我國企業操作衍生性金融商品之股票異常報酬集中於以非交易目的操作利率衍生性金
融商品之大型、高成長以及過去績效表現佳的公司。
In recent years, the global financial market toward liberalization and internationalization development, the derivatives are universal tool for hedge or profit purpose in Taiwan. In this study, we investigate the condition of derivatives usage of the public offering firm in Taiwan and study the abnormal return of the stock by four-factors regression model during 2005-2007.

The results of this study are as follows
(1) Most of firms hold derivatives for non-trading purpose. Electronics industry and automobile industry use derivatives more frequently than other industries. Currency is most held derivatives underlying asset by firms. Options and Forwards are most held derivatives by firms.
(2) Firms operate the ratio of derivatives are annual decline during 2005-2007.
(3) The big size of firms hold derivatives are higher than the small size of firm.
(4) The income of the assets and indebtedness assessment for those companies operating derivatives are explored, and the result presented is that the up/down scale for the income of the companies which have operated derivatives is bigger than those companies which don’t operate the derivatives.
(5) Firms operate derivatives abnormal return of the stock to focus interest derivatives for non-trading purpose. The characteristics of these companies are large, high growth and excellent past performance of the companies.
中文摘要....................................................................................... I
ABSTRACT.................................................................................... II
謝辭........................................................................................... III
目 錄........................................................................................... IV
表目錄............................................................................................ V
圖目錄......................................................................................... VII
第壹章 緒論...................................................................................... 1
第一節 研究背景與動機.................................................................... 1
第二節 研究目的................................................................................. 5
第三節 論文架構................................................................................. 6
第貳章 文獻探討................................................................................... 8
第一節 衍生性金融商品之介紹............................................................... 8
第二節 衍生性金融商品的承做情形........................................................... 15
第三節 理論文獻探討............................................................................ 19
第參章 研究方法.................................................................................. 32
第一節 研究範圍與限制.......................................................................... 32
第二節  變數定義................................................................................. 33
第四節 研究模型................................................................................... 35
第肆章 實證結果與分析............................................................................ 39
第一節 基本資料分析.............................................................................. 39
第二節 規模是否會影響公司承做衍生性金融商品之情形................. 62
第三節 探討國內上市公司操作衍生性金融商品的種類與持有的廣泛程度... 66
第四節 有操作與無操作公司之「金融資產與負債公平市價損益」評估.............72
第五節 四因子迴歸模型分析.................................................................... 74
第伍章 結論與建議.................................................................................. 83
第一節 結論...................................................................................... 83
第二節 研究建議與限制........................................................................... 85
參考文獻............................................................................................ 86
.
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二、英文部份:
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三、網站部份:
財團法人中華民國會計研究發展基金會:http://www.ardf.org.tw/
公開資訊觀測站:http://newmops.tse.com.tw/
臺灣期貨交易所:http://www.taifex.com.tw/chinese/home.htm
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