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Instrumenty pochodne w spółkach notowanych na Giełdzie Papierów Wartościowych w Warszawie

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  • Paweł Ożga

Abstract

Celem artykułu jest zbadanie skali oraz przesłanek wykorzystania instrumentów pochodnych przez przedsiębiorstwa niefinansowe notowane na Giełdzie Papierów Wartościowych w Warszawie. Podstawą analizy były dane zawarte w sprawozdaniach finansowych spółek giełdowych za lata 2007-2010. Ocenie poddano fakt wykorzystywania derywatów, ich rodzaj, wartość rynkową oraz cykliczność ich prezentacji w sprawozdaniach okresowych. Na podstawie zgromadzonych informacji określono liczbę jednostek wykorzystujących instrumenty pochodne, skalę ich stosowania oraz strukturę zabezpieczanych za ich pomocą ryzyk. Uzyskane wyniki zostały porównane z danymi pochodzącymi z wybranych krajów rozwiniętych i rozwijających się. Potwierdzono w ten sposób niski odsetek przedsiębiorstw, które zabezpieczają swoją ekspozycję na ryzyko rynkowe. Ponadto odrzucona została hipoteza o rosnącej skali wykorzystania instrumentów pochodnych, co może świadczyć o nieprawidłowej identyfikacji ryzyka w polskich spółkach, braku umiejętności zarządzania nim lub też o braku zrozumienia istoty hedgingu przez zarządzających. W artykule podjęta została także próba oceny zarządzania ryzykiem w polskich przedsiębiorstwach notowanych na GPW. W tym celu zdefiniowano dwa kryteria odróżniające hedging od spekulacji. Rezultaty analizy prowadzą do wniosku, że co najmniej połowa badanych podmiotów używała instrumentów pochodnych w celach zabezpieczających.

Suggested Citation

  • Paweł Ożga, 2012. "Instrumenty pochodne w spółkach notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 127-151.
    • Handle: RePEc:sgh:gosnar:y:2012:i:4:p:127-151
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    References listed on IDEAS

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    More about this item

    Keywords

    instrumenty pochodne; derywaty; hedging; spekulacja; arbitraż; zabezpieczenia; ryzyko; zarządzanie ryzykiem; giełda;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G39 - Financial Economics - - Corporate Finance and Governance - - - Other

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