无外汇交易企业真的没有汇率风险吗?——来自中国上市公司的实证研究

Does Domestic Corporation Really Have No Foreign Exchange Risk?——Evidence from Chinese Listed Firm

本文选取362家没有外汇交易的中国上市公司为研究样本,使用双因素模型及其改进模型对这些企业2010年汇改前后1的汇率风险敞口进行测算,证明了没有外汇交易的企业其价值仍然显著受到汇率变动的影响。然后,本文将这些企业2010年汇改前后的汇率风险敞口进行对比,发现2010年以稳定汇率为目的的汇改切实帮助没有外汇交易的企业缓解了汇率风险,且汇率波动对企业价值的影响方向发生了反转,由负向影响变为正向。本文不仅丰富了汇率风险与企业价值的相关理论,还为2010年汇改的有效性提供了数据支撑,更为没有外汇交易的企业进行汇率风险管理提供了依据。

In this study,we investigated the exchange rate exposure of 362 Chinese listed enterprises with no foreign exchange transactions.The result have shown that the enterprises' value have been affected by the exchange rate movement despite the fact that they do not have the foreign exchange transactions.Second,compared to the exchange rate exposure before and after the 2010 exchange rate reform,which aims at stabilize the exchange rate,we found that the reform did actually alleviate exchange rate risk of the enterprises with no foreign exchange transactions.What's more important is the exchange rate fluctuation's negative impact to the enterprises have changed into positive.This study at first enriched the theory concerning the exchange rate risk and the enterprise value,second gives supportive data to the 2010 exchange rate reform and third provides the guidance of exchange rate risk management for the enterprises with no foreign exchange transactions.