我國上市鋼企套期保值動機及效果的實証研究

Abstract

In China, usage of futures is theoretically and practically arguable. Besides of the differences in understanding futures, the other more important reason leading to this phenomenon is the fact that, real impacts of futures hedging on China's enterprises contradict with the theoretical prediction. The history of steel futures in China is relatively short, and according to the statistics, only 30% of listed steel companies have involved in the hedging of steel futures, which is much less than the percentage of industries like non-ferrous metals and oil. Then, for the steel enterprises in China, do they have intention to conduct derivatives hedging? If yes, what are the underlying motivations? What are the influences of derivatives hedging on the firms?

In our article, using the data from 20 listed steel enterprises covering 2009-2014, we make a systemic research on the motivations and effects of uses of steel futures. Firstly, we use Logistic model to examine the motivations of using derivatives. The results indicate that, China's listed steel enterprises conduct derivatives hedging for two reasons. On one hand, firms are likely to reduce the volatility of cash flows through hedging so that they can avoid the potential under-investments arising from unstable cash flows. On the other hand, risk-averse managers tend to hedge out of their own interests, like avoiding the fluctuations of their own wealth in the future. Next, multiple regression model is used to test the effects of hedging on enterprise value and risk management. We find that, though hedging not only fails to help listed steel companies improve their market value but also fails to reduce their market risk, hedging does provide more stable cash flows. In other words, Hedging can effectively help companies stabilize their cash flows, so as to reduce their financial risk. Finally, we conduct a comprehensive summary of our empirical results and analysis. Combined with China's specific circumstances, we put forward some suggestions for the direction and solutions for the reform of futures market.

Date of Award	16 Aug 2017
Original language	Chinese (Traditional)
Awarding Institution	City University of Hong Kong
Supervisor	Xueping WU (Supervisor) & Qian Sun (External Supervisor)