Researches on Exchange Rate Risk of Listed Companies - Evidence from Non-financial Listed Companies of Beijing
The article study the exchange rate risk used the GARCH model based on the data during 2005/1/72009/12/25 of 86 non-financial listed companies in Beijing. The empirical results including: ? the exchange rate risk our companies faced can be mainly reflected by the US dollar,the euro,Yen and the baht; (2) not only multinational companies,but the domestic companies are also under the influence of the exchange rate risk; (3)There are about 4 weeks lagged for the market reflecting exchange rate risk. Based on these results,whether multinational enterprise or domestic enterprise should pay attention to the exchange rate risk caused by not only the mainly crurrncy but minor currency in advance.
Exchange rate risk exposure Market value Economic risk
DAI Wensheng DUAN Yiqun TU Yonghong
School of Finance, Renmin University of China, China, 100872 College of Economics and Management, Nanjing University of Information Science & Technology, China,
国际会议
The Sixth International Symposium on Corporate Governance(第六届公司治理国际研讨会)
大连
英文
397-403
2011-08-20（万方平台首次上网日期，不代表论文的发表时间）