由於過往公司衍生性商品交易資料取得困難，過去研究衍生性商品的國內外文獻，多以探討衍生性商品交易對企業的股價或淨利影響，來評估避險效果或對企業績效影響，尚未見以衍生性商品交易產生的與『被避險項目損益』互抵之「避險效果」進行實證。本研究利用「公開資訊觀測站」中的公司衍生性商品交易申報分類及外匯衍生性商品交易損益資訊，搭配財務報表的外匯損益資訊，實證2018年至2023年6年期間台灣半導體業上市櫃公司避險性外匯衍生性商品運用情形、避險效果、影響因子及避險有效機率。 本研究以「外匯衍生性商品避險交易損益」對「外匯損益」的相互抵銷效果為迴歸模型「應變數」，統計分析「財務外匯避險」的避險效果。實證結果顯示台灣半導體業上市櫃公司的「財務外匯避險」交易均未使用「避險會計」會計處理，「財務外匯避險」交易損益與被避險的外匯損益呈顯著反向關係(即具有避險效果)，60%的避險有效機率具有統計顯著性。 本研究的「追蹤資料隨機效果模型」及獨立樣本t檢定實證，顯示(1) 個別公司財務外匯避險效果具有不同的個別效果，但效果不固定；(2)樣本公司的避險有效年數、避險金額、匯兌損益、出口比例、稅前息前折舊前ROA、長短期借款總額及席次盈餘偏離倍數，對「財務外匯避險」的避險效果有顯著加強影響；(3)外銷金額、毛利率、負債比例及速動比率，則對「財務外匯避險」的避險效果有顯著減弱影響。 ;Impact on stock prices or net profit was the center of prior studies on the effects of derivatives use on hedging effectiveness and on business performance owing to inaccessible data or insufficient information for firms’ derivatives activities. No study has yet investigated the hedging effectiveness of the gain/loss on the hedged items offset by that on the hedging instrument. This article uses the public disclosure information for Taiwan public semiconductor firms’ derivatives activities and exchange gains or losses in their financial statements to investigate the use of foreign currency derivatives, its hedging effectiveness, determinants of the effectiveness and its probability in achieving effective hedging. The dependent variable of this study is defined as the level (percentage) of exchange gains or losses offset by that on the hedging currency derivatives. This study finds that, while Hedge Accounting is not applied, both (1) hedging effectiveness; and (2) 60% of probability in effective hedging are statistical significant, for Taiwan listed semiconductor firms’ currency hedging activities. Based on the result of panel data with random effect model and independent sample T-test for analysis on impact on hedge effectiveness, it suggests that：(1) the effectiveness is random and individual for different companies;(2) positive determinants are: number of years of effective hedge, hedge amount, foreign exchange gains/losses, export ratio, EBITDA ROA, loan amount and deviation of control from cash-flow rights; and (3) negative factors are: export amount, gross margin, debt ratio and quick ratio.
