چکیده:
Given companies’ dynamic responses to expected exchange rate changes, this article improves on current methods of measuring exposure to foreign exchange rate changes by breaking down the spot exchange rate changes into expected changes and unexpected changes. The currency risk exposure coefficients resulting from an empirical analysis of Shanghai Stock Exchange A share listed companies on whose reported performance foreign exchange changes have a direct impact have a high significance level, thus demonstrating a strong correlation between the value changes of A share listed companies and RMB exchange rate fluctuations. Unexpected changes to exchange rates measure the positive impact of RMB real appreciation on company value, whereas expected changes to exchange rates measure the negative impact of RMB real appreciation on that value. Because the influence of the RMB exchange rate on the value of A-share companies is asymmetric and complex, China should further accelerate the development of an optimal exchange rate management system, particularly at the micro-economic level, given the currency risk exposure of listed companies.
خلاصه ماشینی:
"The currency risk exposure coefficients resulting from an empirical analysis of Shanghai Stock Exchange A share listed companies on whose reported performance foreign exchange changes have a direct impact have a high significance level, thus demonstrating a strong correlation between the value changes of A share listed companies and RMB exchange rate fluctuations.
However, there is considerable domestic and foreign empirical analysis (Amihud 1994; Bodnar and Gentry 1993; Doidge 2006; Luo Hang and Jiang Chun 2007) that indicates that the impact of exchange rate changes on the asset prices of listed companies (exposure coefficient) is not significant.
Here, the measures of currency risk exposure proposed by Bartov and Bodnar (1994) and others are transformed, which allows us to construct the following empirical model: Rit = 1i +β1iRmktt+β2iEXt +β3iUNt + eit t=1,…,T (7) Here, Rit is the rate of return on company i in period t, 1i is the constant term, Rmktt is the rate of return on the current market portfolio, EXt is the expected exchange rate movement, and UNt is the unexpected exchange rate movement.
Analysis of Empirical Results We use the improved model, which decomposes the exchange rate changes into expected and unexpected parts (Equation 7), to measure the currency risk exposure of A-share listed companies, and the results show a good level of statistical significance.
The results pass the significance test, and indicate that most listed companies face a high currency risk exposure, which in turn means that there is a close relationship between changes in company value and the RMB exchange rate."