Ownership structure impact on exchange rate exposure under the RMB regime reform

• Main Author: JIA, Luning
• Format: Others
• Language: en
• Published: Digital Commons @ Lingnan University 2016
• Subjects: Economics
• Online Access: https://commons.ln.edu.hk/econ_etd/28; https://commons.ln.edu.hk/cgi/viewcontent.cgi?article=1028&context=econ_etd

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.