Does the currency exposure affect stock returns of Chinese automobile firms?

Bo Tang

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the symmetric and asymmetric exchange rate exposures of Chinese automobile firms at different time horizons. Empirical findings reveal that firm returns are less likely to be affected by currency movements at short-term (daily) horizons due to restrictions on the currency daily trading band, but (a)symmetric exchange rate exposures appear to be significant at relatively longer horizons after the launch of RMB internationalisation, particularly for monthly horizons. Possible hedging strategies could be the application of Forward Exchange Agreements, price difference between onshore and offshore RMB exchange rate, foreign reserves and other quantitative methods. Since returns of foreign capital shares tend to rise with the application of RMB, firms may also consider listing shares on foreign stock exchange in addition to the domestic market and produce products simultaneously in foreign nations through international expansion.

Keywords: exchange rate exposure; RMB internationalisation; Chinese automobile firms. (search for similar items in EconPapers)
JEL-codes: C58 F31 G15 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Does the currency exposure affect stock returns of Chinese automobile firms? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:85125

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