台灣食品業避險行為對其股價報酬 與波動性之實證分析

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/45028

Title:	台灣食品業避險行為對其股價報酬與波動性之實證分析 The Impact of Hedging Activities on Stock Returns and Volatilities in Taiwan Food Industry
Authors:	林怡靜
Contributors:	財務金融學系
Keywords:	衍生性金融商品避險食品業不對稱GARCH
Date:	2019
Issue Date:	2019-09-19 09:12:56 (UTC+8)
Abstract:	本文以台灣食品業為主軸，探討台灣食品業使用衍生性金融商品避險對企業股價報酬及波動之影響，並將樣本期間區分為金融危機前後，用以討論企業承作避險工具之選擇是否受到影響而改變。首先以不對稱GARCH模型探討公司在金融危機前後避險的承作是否對公司股價報酬與波動產生顯著的影響，接著檢視全樣本時期企業避險工具再納入財務因子後對公司股票報酬與波動之影響。最後利用Panel Data檢視金融危機前後食品業整體使用避險及財務因子對其股價報酬之影響。 This article takes Taiwan's food industry to explore the impact of using derivative hedging on corporate’s stock returns and volatilities.The smaple period is divided into the pre- and post- financial crisis to discuss whether the choice of the enterprise to hedge is different. Firstly, the asymmetric GARCH model is used to explore whether the company's hedged behavior before and after the financial crisis has a significant impact on the company's stock returns and volatilities.In addition,this study examined the impact of corporate hedging on the company's stock returns and volatilities after the financial factors were included in the sample period. Finally, Panel Data was used to examine the impact of the food industry's overall use of hedging and financial factors on its share price compensations before and after the financial crisis.
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