本研究利用修正後的公開發行企業從事衍生性商品交易之資訊申報作業中，關於非銀行票券業公司之申報分類，將上市公司分為避險公司與非避險公司，探討公司避險決策與公司股權價值之關聯性，以及影響公司避險決策之公司特性因素。根據迴歸分析之實證結果得知，在考慮影響公司股權價值之控制變數後，本研究發現公司若有進行避險，該迴歸係數為正且達統計上顯著性，表示若公司有從事避險活動，則公司市值可以提高，兩者呈同向變動。 另根據羅吉斯迴歸實證結果來看，本研究發現營業收入淨額做為公司規模大小的衡量變數，實證結果顯示營業收入淨額與避險之間呈正向關係，表示公司越大避險動機越高。研究發展費用率做為成長性投資機會的衡量變數，和避險呈同向變動關係，表示公司成長機會越高其避險動機越大。法人持股比例作為資訊不對稱之衡量變數（法人持股比例越高表示資訊不對稱程度越小），實證結果顯示法人持股比例與公司避險決策呈同向關係，與學者理論不一致，根據Fok et al.（1997）的研究，認為機構法人受委託人之託，較有動機和誘因扮演對公司的監督角色，公司從事避險活動以減少公司的價值波動，增加公司的價值。董監事持股比率做為經理人和股東之代理成本的衡量變數（董監事持股比例越高表示代理成本越小），實證結果顯示董監事持股比率和避險呈反向變動關係，與學者理論不一致，根據Amihud and Lev（1981）的訊號假說推測，認為董監事持股比例較高的公司，由於公司屬於自有而比較不需要向外部股東負責，因此避險的動機會比較小。至於負債比率和避險之間呈反向關係，與理論不一致，可能是因為負債包含對內及對外發行之可轉換公司債，可轉換公司債為避險之替代方案，而海外發行的債更是自然避險的工具，因此若公司可轉換公司債或海外發行的債佔負債總額的比率相當高時，極有可能出現負債比率與避險行為呈負相關的現象。 / In this study, I use the derivative transactions report of public offering enterprise to divide the corporate into hedging Corporate or non-hedging corporate. And collect the financial data from June 2009 to December 2011 to explore the correlation of the hedging decision with the corporate equity value, as well as the factors which affect the corporate hedging decision. According to the empirical results of the regression analysis that control other equity value relevant variables, the coefficient of hedging variable in this regression is positive and has statistical significance. If the corporate has engaged in hedging activities, the corporate value can be improved. Both have the same direction of changes. Besides, the corporate characteristics that affect the corporate hedging decision including: Net operating income as company size proxy variable has a positive relationship with the hedging decision. That is to say the larger the companies are, the more chances the companies using derivatives for hedging. The more the research and development the companies have, the more chances companies use derivatives for hedging. The more equity the institutions have, the less information asymmetry, but less chances companies have to use derivatives for hedging. Directors holding ratio as one of agency costs proxy variables, and the larger the ratios are, the less chances the companies engaging in hedging. There is a inverse relationship between hedging and debt ratio.

本研究分為兩大部份，第一部份為探討利率的變動，主要研究央行每日公開市場操作對利率的影響，此部份包含了兩篇文章，分別為「以門檻自我迴歸模型(TAR，Threshold auto-regression model，Tong(1983)，Tsay(1989))估計央行公開市場操作對利率的影響」及「以Multiple Criteria Selection Model (Maddala,1983)估計央行公開市場操作對利率的影響」，研究樣本為日資料。在第一篇文章利用門檻自我迴歸模型估計用以區分央行動態性或防禦性公開市場操作的指標 的門檻值，利用估計出的 推論央行進行動態性或防禦性操作。第二篇文章利用第一篇文章所估計出的 將樣本區分為央行進行防禦性操作或動態性操作的樣本，並同時考慮央行是否進行公開市場操作反應函數及央行一旦決定進行公開市場操作後其要採取防禦性或動態性公開市場操作的反應函數，以Multiple Criteria Selection Model估計，同時本文更進一步考慮央行對於公開市場操作態度改變對此影響效果的影響，實證結果發現在央行總裁表示將更積極公開市場操作後，即2003年3月14日之後，發現當央行進行動態性公開市場操作可以有效的改變市場利率，而當央行進行防禦性操作則可以有效的沖銷準備金市償的干擾因子，降低市場利率的波動。 本論文第二部份為分析衍生性金融產品避險對公司價值的影響，比較與檢定有避險公司與無避險公司其公司價值差異，並討論公司以衍生性金融商品避險的動機，同時也比較當公司決定避險後，選擇大範圍避險與小範圍避險對公司價值是否也有影響。研究的對象為台灣上市公司中的529家公司，結果發現出口比率與公司規模是公司選擇避險重要的考慮因素，同時發現避險公司的Tobin’s Q、ROA、ROE與PMS皆大於無避險公司。 / There are two issues we concern in this paper. The first one is to investigate the daily effect of open market operation on short-term interest rate. The second one is to analysis the effect of hedging with derivatives by the firms on the firm’s value. About the first issue, the net issue of central bank’s certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we define an index of open market operation to disentangle the effect of the defensive operation from the dynamic operation and use TAR model to estimate the value of . Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bank’s attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero, which means the daily liquidity effect exists. About the second issue, we compare and test the firm’s value difference between the firms hedging with derivatives and the firms without hedging. We also try to find the determinants of firm’s hedging. Our sample is the 529 firms listed in TSEC (Taiwan stock exchange corp.).