用衍生工具对冲汇率风险、利率风险和商品价格风险对企业价值的影响

Management Science Letters Pub Date : 2021-01-01 DOI:10.5267/J.MSL.2020.11.034

Nadhifah Almas, C. Wijaya, Fibria Indriati, Sekar Anindyaswari

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引用次数: 1

摘要

文章历史:收稿日期:2020年8月10日收稿日期:2020年11月15日收稿日期:2020年11月27日在线出版:本文的目的是分析企业价值对使用衍生工具对冲汇率、利率和商品价格风险的影响，并研究作为对冲工具的不同类型的衍生工具，包括远期合约、期货合约、期权合约和掉期合约，以评估它们对企业价值的各种影响。企业价值变量采用Tobin’s Q作为代理，研究方法采用普通最小二乘回归。该研究使用了2015年至2018年期间在印尼证券交易所上市的非金融公司的348条记录。有不同的结果。首先，利用衍生工具对汇率风险进行套期保值对企业价值有积极而显著的影响。其次，利用衍生工具对利率风险进行套期保值对企业价值有负向但不显著的影响。此外，利用衍生工具对商品价格风险进行套期保值对企业价值有正向但不显著的影响。此外，使用衍生品合约对公司价值进行套期保值的效果一般不会产生与使用衍生工具对汇率、利率和商品价格进行套期保值风险不同的结果。©2021作者;加拿大Growing Science公司

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The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value

Article history: Received: August 10, 2020 Received in revised format: November 15 2020 Accepted: November 27, 2020 Available online: November 27, 2020 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward contract, future contract, option contract, and swap contract, used as hedging instruments to assess their various effects on firm value. The proxy used for the firm value variable is Tobin’s Q, and the ordinary least squares regression is employed for the research method. The study used 348 records from non-financial companies listed on the Indonesia Stock Exchange over the period 2015–2018. There are different results. First of all, the use of hedging for exchange rate risk with derivative instruments has a positive and significant effect on firm value. Secondly, the use of hedging for interest rate risk with derivative instruments has a negative but not significant effect on firm value. In addition, the use of hedging for commodity price risk with derivative instruments has a positive but not significant effect on firm value. Moreover, the effects from hedging using derivative contracts in general on firm value does not give results that are different from the use of hedging risk for exchange rates, interest rates and commodity prices with derivative instruments. © 2021 by the authors; licensee Growing Science, Canada

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来源期刊

Management Science Letters

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： Management Science Letters is a peer reviewed, monthly publication dedicated to create a forum for scientists in all over the world who wish to share their experiences and knowledge in the field of management skills in the form of original, high quality and value added articles. The journal''s policy is to perform a peer review on all submitted articles and the papers will be appeared in a form of online on our website as soon as the review result becomes positive. The journal covers both empirical and theoretical aspects of management and gives the chance on sharing knowledge among practitioners. Management Science Letters is dedicated for publishing in the following areas: • Quality Management • Production Management (Scheduling, Production management, etc.) • Total Quality Management (TQM) • Six Sigma • Production Efficiency • Just in Time Inventory • Data Envelopment Analysis • Balanced Score Card • Activity Based Cost (ABC) • Technology Acceptance Model • Marketing planning and Customer Relationship Management • Critical Success Factors • e-learning • Customer satisfaction, Job satisfaction, Job turnover, • Organizational commitment, Employee Commitment • Knowledge Management • Knowledge sharing • Human Resources Management (Employee training, Employee Performance, Work achievements,) • Small and medium-sized enterprises (SMEs) issues and Economic development • Innovation, Creativity, Productivity and Performance • Multi-Criteria Decision Making Applications in Management Science (AHP, BWM, TOPSIS, …) • Education Management, Social development, Public Policy • Tourism Industry, Tourism promotion, Tourism directorates • Business performance and financial performance