A Research On The Exchange-Rate Exposure Of Chinese Listed Companies

As the strategic, pilot and pillar industry of our country, Electronic and Information industry is one of strong power to boost exports. With the increase of the fluctuation in RMB exchange rate, the Electronic and Information firms are deeply influenced by the fluctuation in RMB exchange rate due to their export-oriented features. Therefore, it is necessary for us to exam the exchange rate exposure of the Electronic and Information firms in our country.After a theoretically analysis of the exchange rate exposure,under capital market approach,we measured the exchange rate exposure of the Electronic and Information firms and then examed some possible determinants of the exposure.As for the significance of their exchange rate exposure, we have found that 88% of the firms in the sample have significant exchange rate exposure and the lagged effect exists; Instead of using the two-factor model, we get more significant exposure coefficients using the two-factor orthogonalized model;Besides,the RMB-dollar rate exposure are more significant than the RMB's real effective exchange rate exposure of the firm.Concerning the determinants of the exposure, we have concluded that there are four factors such as firm size, current ratio, debt ratio and book to market value significantly determines the exchange rate exposure, and except for book to market value, all the others are negatively correlated to the exposure.At last, we put forward some suggestions to decrease exchange rate exposure of the firm.