The Dynamics of foreign exchange derivative use in China
The Dynamics of foreign exchange derivative use in China
The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature include the use of a panel dataset of 316 Chinese firms with the data running from 2012 to 2017 and a dynamic random effects probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms, with some evidence of non-linearity, as well as firms being more likely to use derivatives when there is more information asymmetry and agency problems, potentially due to greater controls on their use in China.
derivative, dynamic panel, exports, hedging
Sun, Yidi
562b1ea0-3b01-4755-b553-470e49bad9a8
Morley, Bruce
f5c80421-84c1-4118-a249-2215ccbc44f7
25 June 2021
Sun, Yidi
562b1ea0-3b01-4755-b553-470e49bad9a8
Morley, Bruce
f5c80421-84c1-4118-a249-2215ccbc44f7
Sun, Yidi and Morley, Bruce
(2021)
The Dynamics of foreign exchange derivative use in China.
Journal of Risk and Financial Management, 14 (7).
(doi:10.3390/jrfm14070291).
Abstract
The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature include the use of a panel dataset of 316 Chinese firms with the data running from 2012 to 2017 and a dynamic random effects probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms, with some evidence of non-linearity, as well as firms being more likely to use derivatives when there is more information asymmetry and agency problems, potentially due to greater controls on their use in China.
Text
jrfm-14-00291
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More information
Accepted/In Press date: 21 June 2021
Published date: 25 June 2021
Keywords:
derivative, dynamic panel, exports, hedging
Identifiers
Local EPrints ID: 453193
URI: http://eprints.soton.ac.uk/id/eprint/453193
ISSN: 1911-8066
PURE UUID: 1278e41f-b3af-43a1-aed8-2b87c3a770f2
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Date deposited: 10 Jan 2022 18:04
Last modified: 16 Mar 2024 15:10
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Contributors
Author:
Yidi Sun
Author:
Bruce Morley
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