【作者】 李思佳；

【导师】 徐秋华；

【作者基本信息】 西南财经大学 ， 金融（专业学位）， 2023， 硕士

【摘要】 2005年,我国进行了汇率制度改革,开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度,人民币成为国际金融市场的重要构成。伴随国内金融市场与国际市场交流的日益密切,企业外汇风险成为所有企业共同面对的问题。近年来,国际环境日益复杂,中美之间发生的贸易摩擦不断升级,导致汇率更频繁的上下浮动,这将使得我国公司面临更严峻的外汇风险挑战,汇率与股票风险的关系成为上市企业和投资者关注的重点,它们之间关系的研究既具有理论意义,又有着十分重要的实证价值。本文主要基于个股特征的视角,对我国企业外汇风险暴露度的影响因素展开研究,运用C-Lasso模型与实证分析相结合的方法,以上市公司股票价格表征公司价值,从外汇波动对我国A股上市公司股价波动影响的角度构造外汇风险暴露度指标,并提出三个假设:(1)关注度高、交易更为频繁的企业通常具有更小的外汇风险暴露度;(2)流动资产占比高的企业外汇风险较大;(3)资产负债率高的企业对于宏观市场波动更为敏感,其价值受到汇率变化的影响更大。文中使用我国A股1810家上市企业在2017-2021年间的月度数据作为研究对象,首先在总样本中说明我国A股市场的上市公司普遍存在较大的风险暴露情况,之后使用C-Lasso算法将1810家A股上市企业分为具有组内同质性、组间异质性的六组样本,在汇率影响最为普遍的美元模型中证明了本文中提出的三个假设,并在日元模型和欧元模型中证明了假设的稳健性。文章最后对于换手率、被分析师关注度两项资本市场指标对企业外汇风险暴露度的影响机制进行进一步研究,发现两者对企业外汇风险暴露度的影响主要可以通过以托宾Q指标为代表的企业认可度指标表示。本文的创新之处主要包括以下几个部分:(1)研究对象的创新——目前国内外汇风险暴露领域已有文献主要以股票市场的综合指数或以制造业、金融业等行业作为研究对象,对行业以外的公司特征关注不足;(2)研究方法的创新——之前研究中选择公司特征时往往只采用行业、跨国业务情况等经验指标进行分组,本文通过引入C-Lasso分类方法,完全从数据本身出发进行自动分组,相较于主观分组更为可靠;(3)控制变量的创新——以往对于我国企业外汇风险的研究中,选取的控制变量通常为传统的企业市值等基本面指标,未考虑中国资本市场特性,本文纳入股票换手率与分析师关注度作为中国资本市场市场情绪的代表,填充了控制变量的类别。更多还原

【Abstract】 In 2005,China reformed its exchange rate system.Along with the increasingly close exchange between the domestic financial market and the international market,the foreign exchange risk of enterprises has become a common problem for all enterprises.In recent years,the international environment has become increasingly complex,with trade frictions between China and the US escalating,leading to more frequent up and down fluctuations in exchange rates,which will make Chinese companies face more severe foreign exchange risk challenges,and the relationship between exchange rates and equity risk has become a key concern for listed companies and investors.This article mainly studies the influencing factors of foreign exchange risk exposure of Chinese enterprises from the perspective of individual stock characteristics.By combining the C-Lasso model with empirical analysis,the company value is represented by the stock price of listed companies.From the perspective of the impact of foreign exchange fluctuations on the stock price fluctuation of A-share listed companies in China,foreign exchange risk exposure indicators are constructed,and three hypotheses are proposed:(1)high attention Enterprises with more frequent transactions typically have smaller exposure to foreign exchange risk;(2)Enterprises with a high proportion of current assets have higher foreign exchange risks;(3)Enterprises with high asset liability ratios are more sensitive to macroeconomic fluctuations,and their value is more affected by changes in exchange rates.The article uses monthly data from 1810 A-share listed companies in China from 2017 to 2021 as the research object.Firstly,it is explained in the total sample that listed companies in China’s A-share market generally have significant risk exposure.Then,the C-Lasso algorithm is used to divide the 1810 A-share listed companies into six sample groups with intra group homogeneity and inter group heterogeneity.The three hypotheses proposed in this article are proven in the US dollar model,which is the most commonly affected by exchange rates,The robustness of the hypothesis is proved in the yen model and the euro model.At the end of the article,further research was conducted on the impact mechanism of two capital market indicators,turnover rate and analyst attention,on corporate foreign exchange risk exposure.It was found that the impact of both indicators on corporate foreign exchange risk exposure can mainly be expressed through corporate recognition indicators represented by the Tobin Q indicator.The innovations of this paper include the following parts:(1)Innovation in the research object-the current domestic literature in the field of foreign exchange exposure has not paid enough attention to firm characteristics outside the industry.(2)Innovation in research methodology-by introducing the C-Lasso classification method,this paper performs automatic grouping entirely from the data itself,which is more reliable compared to subjective grouping.(3)Innovation of control variables-in previous studies on foreign exchange risk of Chinese companies,the control variables selected are usually traditional fundamental indicators such as market value of companies,without considering the characteristics of the Chinese capital.(3)Innovative control variables-this paper incorporates stock turnover rate and analyst attention as proxies for market sentiment in the Chinese capital market,filling the category of control variables.更多还原