外汇衍生品使用与企业投资收益——来自中国跨国公司的经验证据
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摘要
文章以2007-2015年中国A股上市跨国公司为样本,基于截面门槛模型探讨了外汇衍生品使用与企业投资收益之间的影响关系。研究发现:中国跨国公司使用外汇衍生品会对企业的投资收益产生非线性影响,其影响效果受跨境投资额、长期股权投资额等因素的制约,存在显著的门槛效应。并且,它们的关系因企业所有制和成长性的不同而存在差异。文章结论对于中国跨国公司合理使用外汇衍生品管控外汇风险、提升投资收益具有重要的理论和实践价值。
This paper takes the 2007-2015 China A-share listed multinational companies as the samples, based on the Panel Threshold Model to discuss the influence and relationship between the use of foreign exchange derivatives and the investment income of enterprises. The study found that the use of foreign exchange derivatives by Chinese multinationals would have a non-linear effect on the investment income of enterprises and the effect is restricted by the factors such as cross-border investment, long-term equity investment,etc, and there are significant threshold effects. Moreover, their relationship is different because of the difference of enterprise ownership and growth. The conclusion of this paper is of great theoretical and practical value for Chinese multinationals to use foreign exchange derivatives to control foreign exchange risks and enhance investment returns.
This paper takes the 2007-2015 China A-share listed multinational companies as the samples, based on the Panel Threshold Model to discuss the influence and relationship between the use of foreign exchange derivatives and the investment income of enterprises. The study found that the use of foreign exchange derivatives by Chinese multinationals would have a non-linear effect on the investment income of enterprises and the effect is restricted by the factors such as cross-border investment, long-term equity investment,etc, and there are significant threshold effects. Moreover, their relationship is different because of the difference of enterprise ownership and growth. The conclusion of this paper is of great theoretical and practical value for Chinese multinationals to use foreign exchange derivatives to control foreign exchange risks and enhance investment returns.
引文
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[6]张腾文,王威,于翠婷.金融知识、风险认知与投资收益[J].会计研究,2016(7):66-73.
[7]HANSEN B E.Threshold Effects in Non-dynamic Panels:Estimation,Testing and Inference[J].Journal of Econometrics,1999,93(2):345-368.
[2]斯文.外汇衍生品对冲汇率风险的企业价值效应研究[J].中南财经政法大学学报,2013(3):80-87.
[3]SMITH C M,STULZ R M.The Determinants of Firms’Hedging Policies[J].Journal of Financial Quantitative Analysis,1985,20(4):391-405.
[4]SONG S,LEE S H,MAKHIJA M.Operational Hedging in Foreign Direct Investments under Volatile and Divergent Exchange Rates across Countries[J].Journal of World Business,2015,50(3):548-557.
[5]张长春.从投资收益角度看一带一路建设[J].中国投资,2015(7):1.
[6]张腾文,王威,于翠婷.金融知识、风险认知与投资收益[J].会计研究,2016(7):66-73.
[7]HANSEN B E.Threshold Effects in Non-dynamic Panels:Estimation,Testing and Inference[J].Journal of Econometrics,1999,93(2):345-368.