汇率波动对股价波动率的溢出效应——来自A股上市公司的数据

Spillover Effect of Exchange Rate Fluctuation on Stock Price Fluctuation——Data from A-share Listed Companies

在资本市场逐步开放的背景下,汇率波动逐步放宽,汇率波动对股票市场的影响逐渐加强,研究汇率波动对中国股市波动率的溢出效应及传导机制不管是对于汇率体制改革还是对于资本市场稳定发展都有重要意义。本文使用我国2010—2019年上市公司的数据从微观视角研究了汇率波动对股票波动率的溢出效应,汇率波动通过盈利的不确定性对股票收益波动率产生影响,进一步分析机构投资者羊群行为加强了汇率波动对股票波动率的溢出效应,外汇金融衍生工具的使用缓解了汇率波动对股票波动率的溢出效应。另外,本文按照公司规模、产权性质、公司外向程度、是否拥有海外子公司对上市公司进一步分类研究汇率波动对不同企业股票波动率的影响大小。

Under the background of the gradual opening of the capital market, exchange rate fluctuations are gradually relaxed, and the impact of exchange rate fluctuations on the stock market is gradually strengthened. It is of great significance to study the spillover effect and transmission mechanism of exchange rate fluctuations on China’s stock market volatility, whether it is for the reform of the exchange rate system or for the stable development of the capital market. This paper uses the data of Listed Companies in China from 2010 to 2019 to study the spillover effect of exchange rate volatility on stock volatility from a micro perspective. Exchange rate volatility has an impact on stock return volatility through the uncertainty of earnings. It further analyzes that the herding behavior of institutional investors strengthens the spillover effect of exchange rate volatility on stock volatility. The use of foreign exchange financial derivatives alleviates the spillover effect of exchange rate volatility on stock volatility. In addition, this paper further classifies the listed companies according to the size of the company, the nature of property rights, the degree of outward orientation of the company, and whether it has overseas subsidiaries to study the impact of exchange rate fluctuations on the stock volatility of different enterprises.