Empirical Analysis Of Foreign Exchange Risk Exposure Of Foreign-related Listed Companies In Beijing,Tianjin And Hebei

With the deepening of the market-oriented reform of the RMB exchange rate,the scale of foreign trade of Chinese enterprises has become larger and larger,and the foreign exchange risks faced are increasingly gathering.Beijing-Tianjin-Hebei is a test field for national reform and innovation,and it has certain practical significance to study the risk exposure status of listed companies in the region.This paper takes the foreign listed companies in Beijing-Tianjin-Hebei as the research object,measures the foreign exchange risk exposure of the foreign listed companies under the real effective exchange rate of RMB,and further investigates the factors affecting the exposure of listed companies.Based on the monthly data of 89 A-share listed companies in Beijing-Tianjin-Hebei,from December 2009 to December 2018,after orthogonalizing Jorion's two-factor model,this paper introduces enterprise scale factor,book-to-market ratio factor and enterprise P/E ratio as control variables to measure the foreign exchange risk exposure of foreign-related listed companies in Beijing-Tianjin-Hebei.The empirical results show that:(1)Among the 89 companies sampled,23% of the sample companies have significant foreign exchange risk exposure under the real effective exchange rate of RMB,and there are significant foreign exchange risk exposures in Beijing-Tianjin-Hebei foreign listed companies;(2)Different industries face different levels of exposure to foreign exchange risk.The industry most affected by exchange rate fluctuations is the mining industry.The proportion of companies with significant foreign exchange risk exposure factors has reached 60%,followed by real estate,finance and manufacturing whose significant sample companies accounted for 33% and 25% and 22%.The construction industry,transportation,warehousing and postal services,wholesale and retail industries are less affected by exchange rate fluctuations;(3)Foreign exchange risk exposures faced by enterprises with different registration sites and different securities market sectors are also somewhat different.Listed companies registered in Hebei are facing more significant exposure to foreign exchange risks,while sample companies in small and medium-sized companies rarely have significant foreign exchange exposures;(4)The “8·11 Exchange Reform” in 2015 had a certain impact on the foreign exchange risk exposure of foreign listed companies in Beijing-Tianjin-Hebei.After the exchange reform,more listed companies were affected by foreign exchange risk;(5)the size of the enterprise and the asset-liability ratio have significant negative impacts on the foreign exchange risk exposure of enterprises.