KIKO는 과연 수출기업에게 적절한 환위험관리 수단이었나? 효율적 시장가설 검증을 중심으로

The Impact of Exchange Risk Management Using Structured Derivatives on Stock Prices of KOSPI and KOSDAQ Companies

This paper focuses on how foreign exchange risk management of a company, particularly through foreign exchange derivatives, influences the company’s stock price. Based on 2008 biannual reports of KOSPI and KOSDAQ listing companies reflecting a loss from derivatives trading and using the event study method, this study analyzes the impact of existing derivatives contracts as well as types of derivatives on the company’s stock prices. It also examined how foreign exchange rate change influences these companies’ stock values. Derivatives loss has any impact to company stock price. Results show that disclosure of derivatives loss causes a significant negative impact on stock prices of these companies. Moreover, findings reveal that the higher the hedge ratio of a company is, the larger the losses. As for KIKO (Knock In, Knock Out) trading, results exhibit a significantly negative impact on stock prices while foreign exchange rate fluctuations do not reflect any significant impact on the company’s stock values.