Foreign Exchange Rate Exposure of Multinational and Non-multinational Companies in China

Jijin Zhang

《World Scientific Research Journal》 8卷5期 (2022/05) Pp. 109-113

https://doi.org/10.6911/WSRJ.202205_8(5).0015

摘要

We construct a sample of 1,114 Chinese listed companies from 2013 to 2019, and estimate the total and incremental foreign exchange exposures of each company by using intraday 30‐minute high‐frequency stock prices and bilateral exchange rate data of 11 countries and regions to renminbi (RMB), to obtain daily average foreign exchange exposures. We see positive foreign exchange exposure, with a weaker RMB pushing up the share prices of Chinese companies. And non‐multinationals also have foreign exchange exposure, which is not statistically different from multinationals. In the study of dynamic exchange rate risk exposure, this paper finds that the sample has a trend of increasing year by year in the early stage, and may be affected by the China‐US trade war. This indicates that the foreign exchange risk exposure of non‐multinational companies is also worth paying attention to in the future. Both multinational companies and non-multinational enterprises should pay attention to strengthen the awareness of foreign exchange risk and build a risk prevention mechanism.

關鍵字

Foreign exchange rate exposure ； Multinational companies ； Non‐multinational companies ； RMB exchange rate index

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