本研究探討我國上市公司使用衍生性金融商品情形與公司價值之縱橫平滑移轉效果，運用Gonza’lez, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，驗證衍生性金融商品對公司價值是否存在縱橫平滑移轉效果。並進一步對公司價值受控制變數之影響進行評估與衡量。 實證結果發現，使用衍生性金融商品比率對公司價值在衍生性金融商品比率為12.7059%時產生一轉換區間，確實存在縱橫平滑移轉效果。控制變數對公司價值之影響方面，使用衍生性金融商品較多的上市公司，其公司增加負債，可以提升公司價值，且公司規模對於公司價值的影響降低。使用衍生性金融商品相對較少之上市公司，公司負債比率的高低對於公司價值較無影響，但若其公司規模越大，則對公司價值較為不利。而不論衍生性金融商品使用多寡，董監事持股股經理人持股對於公司價值影響較小，而外資持股的比率越高，其公司價值也越高。故建議上市公司應視不同之衍生性金融商品使用情況，擬訂妥適之管制機制或經營方針，以求取最佳化策略。 This study is to investigate the panel smooth transition effect associated between derivatives and firm value. Utilizing the panel smooth transition regression model developed by Gonza’lez, Teräsvirta and Dijk (2004-2005), we test whether the derivatives use rate (hedge ration) can cause panel smooth transition effect on firm value. The results showed that a transition period is generated when the hedge ratio falls at 12.7059%. Therefore, hedge ration does affect Tobin Q of firms, and reveal the characteristic of panel smooth transition effect. We also examine the influence of controlling variables on firm value. For the firms with hight hedge ration, higher debt rate results in increase inTobin Q. On the contrary, it’s reduce of firm size . Regardless of high or low hedge ration, more institution companies have the firms’ stocks ,the great Tobin Q they have. Therefore, our studies suggest that firms’ managers adopt appropriate control machinery or operating strategies according to different hedge ration, in order to come up with the best policy.
