Renminbi exchange rate exposure: evidence from Chinese industries
Renminbi exchange rate exposure: evidence from Chinese industries
This paper investigates sensitivity of stock returns of industry-sorted Chinese firms with respect to renminbi exchange rate movements. Strong evidence of significant exposure is documented for 7 out of 16 Chinese industries. Evidence is also found of the size asymmetry effects. In addition, we explore the characteristics of the exposure, and detect evidence of significant exposure among non-exporters in some of the industries. Special attention is given to examining the time-varying exposure under the impact of the new Chinese exchange rate regime in place since 2005, in which even stronger exchange rate exposure is reported. The conditional exposure estimated in this paper also reveals the close relation between stock returns and changes of the renminbi exchange rate.
229-250
Miao, Boyang
5ed292ae-a93a-4b50-a578-c1e8ca4880ad
Zhou, Si
4d888ef9-73bb-4fde-969e-5003c5c0b146
Nie, Jing
fc0173f9-6100-40a1-819d-d4b15fd03432
Zhang, Zhichao
7a646262-463c-4035-b69b-beb5586b3209
18 September 2013
Miao, Boyang
5ed292ae-a93a-4b50-a578-c1e8ca4880ad
Zhou, Si
4d888ef9-73bb-4fde-969e-5003c5c0b146
Nie, Jing
fc0173f9-6100-40a1-819d-d4b15fd03432
Zhang, Zhichao
7a646262-463c-4035-b69b-beb5586b3209
Miao, Boyang, Zhou, Si, Nie, Jing and Zhang, Zhichao
(2013)
Renminbi exchange rate exposure: evidence from Chinese industries.
Journal of Chinese Economic and Business Studies, 11 (4), .
(doi:10.1080/14765284.2013.838386).
Abstract
This paper investigates sensitivity of stock returns of industry-sorted Chinese firms with respect to renminbi exchange rate movements. Strong evidence of significant exposure is documented for 7 out of 16 Chinese industries. Evidence is also found of the size asymmetry effects. In addition, we explore the characteristics of the exposure, and detect evidence of significant exposure among non-exporters in some of the industries. Special attention is given to examining the time-varying exposure under the impact of the new Chinese exchange rate regime in place since 2005, in which even stronger exchange rate exposure is reported. The conditional exposure estimated in this paper also reveals the close relation between stock returns and changes of the renminbi exchange rate.
Text
Renminbi exchange rate exposure- evidence from Chinese industries.pdf
- Version of Record
Restricted to Repository staff only
Request a copy
More information
Published date: 18 September 2013
Organisations:
Centre for Digital, Interactive & Data Driven Marketing
Identifiers
Local EPrints ID: 368509
URI: http://eprints.soton.ac.uk/id/eprint/368509
ISSN: 1476-5284
PURE UUID: 897d6a8f-9aa6-44fd-b54e-3485ea57b40c
Catalogue record
Date deposited: 06 Sep 2014 15:11
Last modified: 15 Mar 2024 03:51
Export record
Altmetrics
Contributors
Author:
Boyang Miao
Author:
Si Zhou
Author:
Jing Nie
Author:
Zhichao Zhang
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics