中国股市外汇风险敞口研究

Foreign Exchange Exposure in the Chinese Stock Market

考察了汇率改革相关事件对上市公司所产生的影响及其作用形式,对一系列外贸型企业的外汇风险敞口进行识别、度量、分析,并对可能影响外汇风险敞口的若干因素,包括所属行业和外汇收入占比进行了探索。研究发现,中国股票市场对人民币汇率问题比较敏感,在人民币升值预期阶段,市场就随着外界压力和公开事件产生了一系列反应:在人民币汇率实质升值时期,也体现了显著的外汇风险敞口。机械、设备、仪表行业和纺织、服装、皮毛行业是受外汇风险影响最强烈的行业。同时,外汇收入占主营收入从55到85的企业,外汇风险敞口幅度最大。

Whether and how reform related events affect companies listed on domestic stock market are researched. It also identifies gauges and then analyses their foreign exchange risk exposure. Furthermore, some factors that may shape their foreign exchange risk exposures, including industry category and foreign income＇s percentage of total income, are investigated. In conclusion, Chinese stock market is sensitive to exchange risk. During the expectation period, external pressure and public events act on the market. Significant foreign exchange risk exposure was discovered while Yuan substantially appreciated. Such industries as machine and apparatus, textile and clothes, are the prime victims. Companies whose foreign incomes compose 55% to 85% of total incomes manifest the biggest foreign exchange risk exposure.