我国上市公司的外汇风险管理研究

发布时间：2018-03-17 06:19

本文选题：汇率变动　切入点：上市公司的外汇风险　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：在全球经济一体化条件下,国际贸易的深入开展为我国上市公司带来了机遇和前所未有的挑战。上市公司可以利用开放的经济环境开展更多的国际交流合作,引进先进的技术,将自身的产品推向国际。与此同时,由于国际贸易的结算货币是以美元、欧元等强势货币为主,人民币还没能成为国际上通用的结算货币,因此汇率的变动会直接对企业的经营成果产生影响。特别是在人民币汇率改革之后,汇率制度更加具有弹性,汇率的变动对于上市公司收益的影响更加不可忽视。因此,本文重点研究了在开放的经济条件下,在汇率制度改革后的几年时间里汇率变动对我国上市公司的影响。首先,从理论角度介绍了我国汇率制度的变迁历史和当今汇率的现状以及成因。汇率制度改革以来国际经济环境瞬息万变,先是发生了美国次级债务危机引起的全球性金融危机,然后是欧洲主权债务危机不断蔓延。在这种情况之下,我国经济状况发展势头良好,因此人民币不断的形成了升值的事实和预期。这种汇率的变化对进出口企业也是一把双刃剑,一方面有利于增加人民币的购买力,另一方面也使得我国产品的成本提升失去国际竞争力,这些无疑对于上市公司的利润都会产生巨大影响。其次,从理论上分析了我国上市公司外汇风险的内涵、衡量方法以及汇率变动对上市公司的影响,正是因为汇率的变动会直接或者间接的产生企业的交易风险、会计风险和经济风险,最终通过影响汇兑损益或者财务费用的渠道影响公司的利润,因此公司的外汇风险暴露和管理才是必须研究和重视的问题。第三,论述了不同类型的上市公司的外汇风险,说明了外汇风险在我国上市公司的存在是具有普遍性的。接着论述了我国企业管理外汇风险的现状和存在的问题。由于我国汇率制度改革较西方先进国家晚,因此对风险管理的理念和体系并不完善,需要进一步改进。第四,用实证分析的方法分析汇率变动对上市公司的影响。本文借鉴了Jorion的风险暴露模型,对我国沪市A股106家公司进行了分析,得出的结论是汇率变动对我国上市公司的收益影响非常明显。这些实证分析的结果与理论预期是保持一致的。鉴于外汇风险对于上市公司存在明显的影响,本文最后提出了上市公司规避外汇风险的手段和建议。通过外汇交易风险内部控制、利用外汇金融衍生工具规避风险、提升自主研发能力以提高自身盈利能力、加强风险防范意识、提升风险防范能力等多个方面共同协作,最大限度规避企业的风险,提升企业的利润空间。本文在研究我国上市公司的外汇风险管理问题时将理论分析与实证分析相结合。从新的角度研究外汇风险暴露情况,通过选取拥有不同程度海外收入的从事出口业务的上市公司作为研究对象分析汇率变动对上市公司整体的影响。实证分析的显著性结果与理论现实大都保持一致,无疑都提升了本文研究结果的全面性和可信性。但是在模型分析阶段,由于股票收益率这一指标是受政策变动、经济形势、市场结构等多方面因素影响的,而且我国金融市场并不完善,股市存在着很多短期投机现象,会导致股票信息有效性的削弱,另外仍存在着不能量化的非财务指标会影响公司的股价,是需要在以后的研究中进一步完善的。但是从整体上说,本文的理论和实证分析都足以反映出我国上市公司外汇风险的普遍存在,也提出了一系列防范外汇风险的措施,是具有实际意义和参考意义的。
[Abstract]:Under the condition of global economic integration, the international trade development for the listed companies in China has brought opportunities and challenges. Hitherto unknown companies can carry out international exchanges and cooperation with more open economic environment, the introduction of advanced technology, its products to the international. At the same time, due to the international trade settlement currency is in dollars. The euro strong currency, the renminbi has yet to become common in the international settlement currency, the exchange rate will have a direct impact on the operating results of an enterprise. Especially after the RMB exchange rate reform, the exchange rate system more flexible, the impact of exchange rate changes for the earnings of listed companies can not be ignored. Therefore, this paper this research focuses on the condition of open economy, the exchange rate system reform in the several years after the exchange rate changes on China's listed companies influence.
First, from a theoretical point of view, introduces the exchange rate system in China history and current situation of the exchange rate and exchange rate formation. Since the reform of the system of international economic environment, first occurred in the US subprime debt crisis caused by the global financial crisis and the European sovereign debt crisis is spreading. In this situation, our country economic development good momentum, so the RMB continuously formed the appreciation of the facts and expectations. Changes in the exchange rate of the import and export enterprises is also a double-edged sword, on the one hand to increase the purchasing power of the yuan, on the other hand also makes our products loss international competitiveness, which is undoubtedly the profits of listed companies will have a huge impact. Secondly, from the theoretical analysis of the connotation of the foreign exchange risk of Listed Companies in China, and the measure of the exchange rate change to the listed company. Ring, it is because of changes in the exchange rate will directly or indirectly generate enterprise transaction risk, accounting risk and economic risk, finally through the influence of exchange gains and losses of financial expenses or channels affect the company's profit, so the company's exposure to foreign exchange risk management is necessary and research and attention. Third, this paper discusses the different types of the listed company shows the existence of foreign exchange risk, foreign exchange risk of Listed Companies in China is universal. And then discusses the status quo of China's foreign exchange risk management and the existing problems. Since the reform of China's exchange rate regime later than advanced western countries, the concept of risk management and the system is not perfect, need to further improvement. Fourth, empirical analysis method is used to analyze the exchange rate changes on the impact of listed companies. This paper use Jorion risk model to China Shanghai A shares 106 public Our analyses, the conclusion is very obvious changes in the exchange rate impact on earnings of Listed Companies in China. The empirical results are consistent with theoretical expectations. In view of the foreign exchange risk for the apparent effect of listed companies, the paper finally puts forward the listed companies to avoid foreign exchange risks means and suggestions. Through foreign exchange risk the internal control, the use of foreign exchange derivatives to avoid risks, enhance the ability of the independent research and development to improve their profitability, strengthen risk prevention awareness, enhance the ability of risk prevention and other aspects of cooperation, the maximum to avoid the risk of the enterprise, enhance corporate profit margins.
Based on the study of the management of Listed Companies in China's foreign exchange risk will combine theoretical analysis and empirical analysis. From a new perspective on the foreign exchange risk exposure, by selecting different degrees of overseas income in the export business of listed companies as the research object of exchange rate changes on the listed company's influence. Significant results of empirical analysis the theory and reality are consistent, comprehensive and undoubtedly enhance the credibility of the research results. But in the analysis stage, because stock returns of this index is affected by policy changes, economic situation, many factors such as market structure, and China's financial market is not perfect, there are a lot of short-term stock market speculation phenomenon, will lead to the effectiveness of the stock information weakened, there are still some non-financial indicators cannot be quantified will affect the company's share price is required It should be further improved in the future research. But on the whole, the theoretical and empirical analysis in this paper is enough to reflect the prevalence of foreign exchange risk in China's listed companies, and put forward a series of measures to prevent foreign exchange risks, which is of practical significance and reference significance.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F276.6

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