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Indexed by:会议论文

Date of Publication:2011-01-01

Included Journals:CPCI-SSH

Page Number:780-785

Key Words:exchange rate exposure; event study; cumulative abnormal returns

Abstract:This paper examines exchange rate exposure of Chinese listed companies from the industrial perspective with the event study method. The event is the RMB exchange rate formation mechanism reform launched in July, in 2005. In the 2-day window, there is only the transportation industry exposed to foreign exchange risk. When the event window is extended to 30 days, the percentage of industries sensitive to exchange rate is 84.6% and the cumulative abnormal returns of 53.8% industries are negative.