汇率冲击、公司特质与外汇风险暴露——基于上证180样本股票的分析

Exchange Rate Impact,Company Peculiarity and Exchange Rate Risk Exposure: Analysis Based on 180 Stock Samples of Shanghai Stock Exchange

开放经济条件下,汇率波动对上市公司价值的影响成为学者和业界广泛关注的重要课题。学者在研究外汇风险暴露的过程中发现,即使是同行业的公司,外汇风险暴露差异也很大,公司特异性因素对外汇风险暴露的水平有重要影响。2005年7月21日人民币汇率形成机制改革启动,人民币汇率波动幅度不断扩大,我国企业面临的外汇风险将不断增大。本文在对我国上市公司外汇风险暴露进行实证分析的基础上,采取两阶段回归方法,对影响上市公司外汇风险暴露公司特异性因素进行深入分析,认为36%的样本上市公司有显著的外汇风险暴露,这一比例高于发达国家的水平;外汇风险暴露与外部经济活动、负债状况和公司成长性密切相关。

China announced the switch to a new exchange rate regime on July 21st,2005,the floating range of RMB was enlarged.With the development of economic globalization and financial integration,the fluctuations of RMB＇s value would impact the value of list companies.This paper analyzes the exchange rate risk exposure of our list companies,then analyzes the determinants of it.At last,the paper concludes that there are more list companies having the distinct exchange rate risk exposure than developed countries,and the exchange rate risk exposure is determined by the price competitiveness of local enterprises,the proportion of foreign sale,firm size and financial situations.