Paper Title
Empirical Analysis of Hedging Behavior on Stock Returns and Volatilties
Abstract
Due to the integrated development of the global economy, various industries have striven to expand their industrial scale. Many enterprises have gone overseas to develop their business, and exchange rate fluctuations for imports and exports have pushed enterprises to utilizederivatives during the process to avoidmonetary risk. This paper use EARCH model discusses the effect of derivative hedging undertaken by Taiwan’s food industry on stock returns and volatilities, incorporating the 2008 financial crisis so as to analyze the different effects of commodity hedging undertaken by firms after the financial tsunami. The empirical research classified the hedging by the food industry into 4 types. The stock returns of Wei Chuanshow better performance in the application of swap contracts, but its relative risk is higher. While Dachan also has a higher risk when undertaking swap contracts, its other commodity derivatives have little effect on its stock returns. Uni-President has better returns from swap and forward contracts. The average returns of hedging by Taisun are better than that of other enterprises. Fwusow also has a stable performance for swap contracts. Overall, in terms of the hedging of derivatives undertaken, the information value of a swap contract is the most positive. Finally, this findings can provides a reference for market participans in making related decisions.
Keywords - Patent Infringement, PatentLitigation, Market Competitor, EGARCH, Dynamic Risk.