Renminbi Exchange Rate Exposure: Evidence from Chinese Industries

33 Pages Posted: 24 Aug 2011 Last revised: 20 Mar 2019

See all articles by Boyang Miao

Boyang Miao

Hei Longjiang University

Si Zhou

Shanghai University; Xi'an Jiaotong-Liverpool University

Jing Nie

University of International Business and Economics (UIBE); Durham Business School

Zhichao Zhang

Durham University - Durham Business School

Date Written: July 04, 2013

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.

Keywords: Exchange rate exposure, risk management, Chinese stock market

JEL Classification: G3, F4, E3

Suggested Citation

Miao, Boyang and Zhou, Si and Nie, Jing and Zhang, Zhichao, Renminbi Exchange Rate Exposure: Evidence from Chinese Industries (July 04, 2013). Available at SSRN: https://ssrn.com/abstract=1914803 or http://dx.doi.org/10.2139/ssrn.1914803

Boyang Miao

Hei Longjiang University ( email )

Harbin, Heilongjiang
China

Si Zhou (Contact Author)

Shanghai University ( email )

Room 522, Building 1,
Shanghai University,
Shanghai, Shanghai 20044
China

Xi'an Jiaotong-Liverpool University ( email )

International Business School Suzhou
Suzhou, Jiangsu
China

Jing Nie

University of International Business and Economics (UIBE) ( email )

10, Huixin Dongjie
Changyang District
Beijing, Beijing 100029
China

Durham Business School ( email )

Mill Hill Lane
Durham, DH1 3LB
United Kingdom

HOME PAGE: http://https://sites.google.com/site/jingnie89/

Zhichao Zhang

Durham University - Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

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