Ownership structure impact on exchange rate exposure under the RMB regime reform
This thesis investigates effects of exchange rate exposure upon stock returns of a large sample of Chinese firms when they are divided into SOEs and non-SOEs. I obtain the exposure estimates first and examine their determinants. By extending the current literature, I introduce the ownership structur...
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| Format: | Others |
| Language: | en |
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Digital Commons @ Lingnan University
2016
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| Online Access: | https://commons.ln.edu.hk/econ_etd/28 https://commons.ln.edu.hk/cgi/viewcontent.cgi?article=1028&context=econ_etd |
| Summary: | This thesis investigates effects of exchange rate exposure upon stock returns of a large sample of Chinese firms when they are divided into SOEs and non-SOEs. I obtain the exposure estimates first and examine their determinants. By extending the current literature, I introduce the ownership structure into the framework and I compare different ownership impacts on the exposure before and after the Reform. My study shows that a SOE or non-SOE firm makes no difference in facing the exchange rate exposure before the Reform. If a firm is a SOE, the firm faces smaller exposure after the Reform. I further explore the asymmetric exposure from currency depreciation and appreciation in relation to ownership structure. I find that non-SOEs face higher exposure from appreciation than from depreciation before the Reform. But both SOEs and non-SOEs face lower exposure from appreciation than from depreciation after the Reform. |
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