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论文类型：会议论文

发表时间：2011-01-01

收录刊物：CPCI-SSH

页面范围：780-785

关键字：exchange rate exposure; event study; cumulative abnormal returns

摘要：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.