臺灣博碩士論文加值系統

本研究探討股票流動性對公司避險決策的影響。過去的文獻證實股票流動性確實會影響公司的財務政策及風險管理，但並未探討股票流動性與公司使用衍生性商品之間的關係，因此，本研究將以股票流動性對衍生性商品使用的影響作為研究目的進行分析。本研究使用公司使用衍生性商品進行避險的意願及比例作為衡量公司避險決策衡量指標，以Amihud指標、調整後Amihud指標、零報酬率天數之比例、FHT指標作為衡量股票流動性的指標，並以Logit模型及Tobit模型進行迴歸分析。實證結果發現，股票流動性與公司使用衍生性商品之間存在正相關。進一步，本研究以避險比率替代指標、股票流動性替代指標、Heckman兩階段分析進行穩健性測試，其結果皆與本研究之主要結果類似。最後，本研究探討在不同風險情境、公司治理下對股票流動性與公司避險決策之間關係的影響，結果顯示高風險指標以及高金融機構持股比例的公司，股票流動性對公司避險決策的影響更大。

This study examines the impact of stock liquidity on corporate hedging decisions. Past literature confirms that stock liquidity does affect firms’ financial policies and risk management, but does not explore the relationship between stock liquidity and firms’ use of derivatives. Therefore, this study will analyze the impact of stock liquidity on the use of derivatives as a research purpose. This study uses the incentive and proportion of corporate to use derivatives for hedging as the measures of the corporate hedging decisions, and uses the Amihud indicator, the adjusted Amihud indicator, the proportion of days with zero return, and the FHT indicator as measures of stock liquidity. We use Logit model and Tobit model for regression analysis. The empirical results show that there is a positive correlation between stock liquidity and the company's use of derivatives. Furthermore, this study uses the hedging ratio proxy measure, the stock liquidity proxy measure, and the Heckman two-stage analysis to conduct robustness tests, and the results are similar to the main results of this study. Finally, this study explores the impact of different risk scenarios and corporate governance on the relationship between stock liquidity and corporate hedging decisions. The results show that companies with high risk and high financial institution ownership have a greater impact on the relationship between stock liquidity and corporate hedging.

摘要 i
ABSTRACT ii
目錄 iii
表目錄 iv
第一章 緒論 1
第二章 文獻回顧 3
第一節 股票流動性之指標 3
第二節 股票流動性與公司財務政策 6
第三節 股票流動性與違約風險 9
第四節 公司風險管理的決定因素 11
第五節 假說發展 13
第三章 研究方法 16
第一節 資料來源與研究期間 16
第二節 樣本分佈說明 16
第三節 變數定義 19
第四節 實證模型 22
第四章 實證結果 24
第一節 敘述性統計 24
第二節 單變量分析 26
第三節 多變量分析 27
第四節 穩健性分析 29
第五章 結論 33
參考文獻 52
附錄 58
附錄一—FHT指標推導過程 58

陳靜宜與廖志峰，董事會性別組成對避險衍生性商品使用的影響。期貨與選擇權學刊，第15卷(第1期)，2022年。
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