مواجهه با ریسک ارزی در شرکت های چینی

In spite of the rise of China and its currency, the currency risk of Chinese firms has not been studied adequately. In this paper we document for the first time that the stock returns of Chinese firms are significantly exposed to currency risks with many firms benefiting from the rise of the Yuan. Further, the magnitudes of the currency risk coefficients for Chinese companies (<10%) are smaller than those previously documented for other countries (20–40%). However, our results also indicate that Chinese export firms are exposed to significant risk related to the ASEAN currency index. Yuan appreciation also impacts exporters to India, Australia and Russia in some industries. The results documented in this study should be of much interest to managers, scholars, and policy-makers.

The Chinese economy and Chinese firms are both becoming ever more important in the global economy and rising exports are a very important feature of the Chinese economy. In addition, in recent years, the Chinese government has once again gone to a managed float system for its currency. Chinese firms and US firms including those buying from or selling to China now again have to cope with a changing exchange rates. The impact of these exchange rate fluctuations may be particularly important for Chinese firms that engage in exports and imports. Despite the growing importance of Chinese international trade, the foreign exchange exposure of Chinese companies has not been adequately investigated in the extant literature. This paper examines the foreign exchange risks faced by Chinese companies. We compute currency risks faced by Chinese firms with respect to various currencies associated with China's major trading partners and we explore the following questions. What is the level of currency risk exposure faced by Chinese firms overall and how does this compare to similar exposures of firms in other countries? How do the currency risk exposures of Chinese firms differ across industries? Do exporting firms have a higher currency risks than firms with domestic business only? This paper documents that the magnitudes of the currency risk coefficients for Chinese companies (<10%) are smaller than those previously documented for firms in other countries (20–40%). In addition, while Chinese exporters have insignificant currency risk exposures associated with the currencies of China's top four trading partners, EU, US, Japan and Hong Kong, Chinese export firms are exposed to significant risk related to the ASEAN currency index. Further, Chinese exporters in three industries (agricultural/diary/fishing/hunting, textiles/apparel/footwear, and lumber/furniture/wood products) are statistically significantly adversely affected when Yuan appreciates against USD. Finally, Yuan appreciation also impacts Chinese exporters to India, Australia and Russia in industries such as construction, machinery/equipment and healthcare/pharmaceutical. Given the rising importance of Chinese international trade, these findings should be of much interest for scholars, managers, and policy-makers.The rest of the paper is organized as follows. Section 2 discusses Chinese exchange rates, exposures attributable to currency risks, the nature of currency risk management, and relevant prior studies. Section 3 describes the sample firms and methodology along with empirical results. Section 4 offers our main conclusions.

In July 2005, following the abandoning of the Chinese policy fixing the Yuan to the US dollar, the Yuan appreciated 2.1% against US dollar. The Chinese Yuan went on to appreciate further against the US dollar the following year before it was later again fixed in relation to the US dollar. The floating rate period was a significant policy change by the Chinese government, and Chinese firms had to learn to cope with fluctuating exchange rates. In spite of the growing international importance of the Chinese economy and of Chinese firms, there is no prior study of the currency risks faced by Chinese firms. This paper investigates whether Chinese firms’ daily stock returns are sensitive to changes in the foreign exchange values of the Yuan for China's top 10 trading partners and the foreign exchange exposures of Chinese exporters and of firms classified by industry. We document that the stock returns of Chinese firms are significantly exposed to currency risks. For some firms, their value declines when the Yuan appreciates but for many Chinese corporations their stock returns instead increase. These results indicate that the Yuan appreciation did not hurt the competitiveness of many Chinese firms in the world market and instead the Yuan appreciation translates into higher returns in most Chinese firms. For example, while the stock values of 396 firms decline with Yuan appreciation, stock values increase for 420 firms and firms in 8 industries are adversely affected when Yuan appreciates against the USD, 11 industries are positively affected. Further, the magnitudes of the currency risk coefficients for Chinese companies (<10%) are smaller than those previously documented for other countries (20–40%). Overall, we find that Chinese exporters have insignificant currency risk exposures associated with the currencies of China's top four trading partners: EU, US, Japan and Hong Kong. However, our results also indicate that Chinese export firms are exposed to significant risk related to the ASEAN currency index. Yuan appreciation also impacts exporters to India, Australia and Russia in industries such as construction, machinery/equipment and healthcare/pharmaceutical. Based on the experience of other countries such as Japan, the average currency risk exposure of Chinese corporations of less than 10% in the early period of Yuan appreciation in our study is likely to increase significantly as the Yuan appreciates at an increasing rate in the future (Yuan reached a new high of 7.025¥/$ on March 26, 2008, rising 17.84% in value since the 2005 Chinese foreign exchange reform). While this study has made a significant contribution to our understanding of the exchange rate exposures of Chinese firms, it has just explored the surface of an important topic. There is much future research in this area that would be useful. For example, given the notion of the accelerating Yuan appreciation in the future, a larger magnitude of currency risk exposure may be found in a future study period. Furthermore, a survey of currency risk management may be undertaken, which may be of great value to managers. Nevertheless, given the rising importance of China, its economy, and its exports, the results documented in this study should be of much interest to managers, scholars, and policy-makers.