行业视角下中国上市公司外汇风险暴露研究——基于事件研究法的经验分析  

Study of Exchange Rate Exposure of Chinese Listed Companies from the Viewpoint of Industry:Evidence from the Event Study Method

作　　者：谷宇[1] 杨睿博 安辉[1] 

机构地区：[1]大连理工大学经济学院,辽宁大连116024 [2]国开金融有限责任公司,北京100033

出　　处：《大连理工大学学报（社会科学版）》2014年第1期19-23,共5页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家社会科学青年基金项目:"中美货币政策背离视角下人民币汇率的波动趋势;特征及升值空间研究"(11CJY100);辽宁省经济社会发展课题:"辽宁省上市公司外汇风险暴露的测度;成因分析及企业避险模式研究"(2013lslktjjx-10)

摘　　要：文章基于事件研究法,通过选取2005年人民币"汇改"及2010年"汇改"重启两次关键事件,考察了其对我国深市13个行业指数外汇风险暴露的影响。结果表明:在"汇改"事件窗口中,13个行业中共11个行业表现出显著的外汇风险暴露,其中交通运输、房地产等行业收益率受到"汇改"事件的正向冲击,而制造业、金融及保险等行业收益率受到负向冲击;而在"汇改"重启事件中,由于汇率波动幅度相对较低、上市公司加强汇率避险等原因,13个行业中仅7个行业表现出外汇风险暴露。Based on the event study method ,this paper examines the RMB exchange rate exposure degrees of 13 industrial indexes of Shenzhen market by choosing the event of RMB exchange rate formation mechanism re-form in 2005 and the event of RMB exchange rate formation mechanism reform restart in 2010 .T he empirical a-nalysis shows that 11 out of 13 industrial indexes show obvious exchange rate exposure in the event window of RMB exchange rate formation mechanism reform .And transportation and real estate industries are impacted positively by the event ,the manufacturing and financial industries are impacted negatively by the event .In the event window of exchange rate reform restart ,7 out of 13 industries show obvious exchange rate exposure , since the exchange rate volatility is small and the listed enterprises strengthen the hedging activity of exchange risk .

关 键 词：外汇风险暴露 事件研究法 累积异常收益率 

分 类 号：F831.5[经济管理—金融学]