汇率变动、外汇风险暴露与上市公司价值——基于制造业行业的实证分析

Fluctuations of Exchange Rate, Exchange Risk and Value of Listed Companies

自2005年7月21日起,我国开始实行有管理的浮动汇率制度,这对国内出口导向型行业必定具有多方面的影响。本文以股票收益率作为公司价值的衡量标准,选取沪深两市中制造行业18个子行业中的345家上市公司为样本,使用面板数据模型分析方法,对不同子行业的外汇风险暴露系数进行实证分析,结果发现汇率变动对其中15个子行业的上市公司价值影响显著,且汇率与公司价值大多呈反向变动关系,文章进一步分析了造成各子行业外汇风险暴露系数显著性程度差异的原因,并提出相关的对策建议。

Our country has implemented the management floating exchange rate system since July 21, 2005, which definitely had various influences on domestic export-oriented corporations. We take stock return ratio as the proxy for the corporate value, selects345 listed companies from 18 sub-sectors in manufacturing industry, and carries on the empirical analysis on the foreign exchange exposure coefficient using Panel data model. It finally comes out that corporate value of 15 sub-sectors are significantly influenced by exchange rate fluctuations, and it assumes reverse relationship between exchange rate and corporate value. Moreover, the article has further analyzed the reasons that caused difference in significances of exchange rate exposure coefficients, and puts forward the related suggestions.