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The Effect of Market Selection on Lagged Currency Risk Exposure

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Xiao Wu

    (University of Hunan University
    University of Xinjiang Agricultural University)

  • Long-wen Zhou

    (University of Hunan University)

Abstract

This paper studies the exchange rate exposure of wood furniture companies of China by using the Shanghai and Shenzhen A-share market listed companies as a basis for our sample. We use the enterprise unique exchange rate index to improve the model and analyze the sensitivity of the stock returns of listed companies to different lag period changes in exchange rates by using distributed-lag model. We also study the influence of marketing strategy in the choice of the market on lagged exchange rate risk. The results show that the foreign market share is proportional to the risk exposure and the market dispersion is in contrast with risk exposure (MOE Research Project Fund of Humanities and Social Sciences (No. 09YJA630031) and Hunan University Research Projects (No. 09HDSK092; No. 11HDSK118)).

Suggested Citation

  • Xiao Wu & Long-wen Zhou, 2013. "The Effect of Market Selection on Lagged Currency Risk Exposure," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 741-748, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-37270-4_69
    DOI: 10.1007/978-3-642-37270-4_69
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