Impact of Foreign Exchange Rate on Corporate Stock Return: Evidence from Chinese Dual-listing Shares

Nguyen, Thi Thanh Mai Kangwon National University 2018 국내석사

Although Chinese stock market is growing fast, the segmentation between the mainland and foreign investors in the market is still clear with A-share markets mainly for Chinese and B-shares market chiefly for foreigners. It is well believed that the lack of knowledge about potential risks in these two markets, especially foreign exchange risks is the leading cause. Therefore, in this paper, we provide a better understanding about the differences in macro and microeconomic risks, especially currency risks between the A and B-share markets. Our results suggest that B-shares are more significantly and strongly exposed to foreign exchange rate movements than A-shares. Further, USD changes impact firms the most and not only trade but capital flows are also attributable to the risk exposure. The premium risk factor HML is not a redundant factor since it can capture the reaction of investors in Shanghai. Meanwhile, firm size does matter in determining firms’ exposure to currency risks. Finally, currency changes also influence the volatility of stock returns under the GARCH (1,1) terms. Our implications should be of interest to foreign investors who want to trade Chinese stocks in RMB and for mainland investors who want to make portfolio investment in USD or HKD. Although Chinese stock market is growing fast, the segmentation between the mainland and foreign investors in the market is still clear with A-share markets mainly for Chinese and B-shares market chiefly for foreigners. It is well believed that the lack of knowledge about potential risks in these two markets, especially foreign exchange risks is the leading cause. Therefore, in this paper, we provide a better understanding about the differences in macro and microeconomic risks, especially currency risks between the A and B-share markets. Our results suggest that B-shares are more significantly and strongly exposed to foreign exchange rate movements than A-shares. Further, USD changes impact firms the most and not only trade but capital flows are also attributable to the risk exposure. The premium risk factor HML is not a redundant factor since it can capture the reaction of investors in Shanghai. Meanwhile, firm size does matter in determining firms’ exposure to currency risks. Finally, currency changes also influence the volatility of stock returns under the GARCH (1,1) terms. Our implications should be of interest to foreign investors who want to trade Chinese stocks in RMB and for mainland investors who want to make portfolio investment in USD or HKD.

外換 換算危險의 管理

나지영 漢陽大學校 大學院 1986 국내석사

우리나라 상장기업의 실질실효환율 환노출 실증분석

김일권 창원대학교 대학원 2007 국내석사

In this study, the foreign exchange exposure of listed Korean corporations during 1994 to 2005 toward trade-weighted real effective foreign exchange rate has been analyzed, excluding financial firms. The results show that there were more negative exposure firms regardless of the firms that focus more on export and the different time horizon of return on stocks. Domestic companies, on average, suggest a higher negative absolute value of foreign exchange exposure coefficient than export companies. The evidence to why there were more firms with negative foreign exchange exposure coefficient than positive coefficient can be inferred as follows. The results of the appreciation of foreign currency against Korean Won show a sign of weakening competitiveness of the Korean firms. Also the firms are not strong enough to pass-through the effect of appreciation of foreign exchange rate to trade counterparts. Another reason is when appreciation occurs in foreign currency. The fear of foreign exchange rate loss causes foreign investors to sell their stocks which will then decrease the value.

Essays on Financial Globalization, Financial Exchange Rates, and Valuation Effects

민경희 서울대학교 대학원 2019 국내박사

The recent financial globalization addresses important global issues on external accounts, such as stocks of foreign assets and foreign liabilities, capital transactions, and their influence on a country’s economy. This study focuses on valuation effects in foreign assets and liabilities due to variations in exchange rates and asset prices. In addition, this study highlights Korea in light of its need for an appropriate exchange rate index to precisely investigate relations among financial variables. Chapter I constructs a monthly financial effective exchange rate index for Korea and investigates the relationship between a financial effective exchange rate and an external position and that between a financial effective exchange rate and capital flows. Results show that the exchange rate index and the traditional BIS trade-weighted index move in opposite directions. Moreover, empirical results indicate that an increase in the rate of change of the financial effective exchange rate significantly leads to capital outflows, especially in portfolio investment and bond investment. The use of the financial effective exchange rate may be better than the traditional trade-weighted exchange rate in explaining and estimating the wealth effects of the changes in net external positions and, furthermore, exchange rate effects in overall financial sector. Chapter II identifies the determinants of valuation changes, focusing on a long-term perspective. The size of foreign assets and liabilities and their compositions are important in determining the direction and extent of valuation effects. In addition, financial exchange rates show a more significant relationship than other exchange rate measures do. Other variables related to a country’s macro economy and financial environment, such as GDP growth, GDP per capita, real interest rates, financial development, and age-dependency ratio, are also considered.

우리나라 中小企業의 換危險管理 實態 및 改善方案 硏究

손명원 연세대학교 경제대학원 2001 국내석사

최근 國際金融市場은 世界各國의 金融市場간 統合이 加速化되면서 상호간에 連繫性이 높아지고 있으며, 各國外換市場의 自由化趨勢의 擴散, 인터넷과 같은 情報通信技術의 급속한 발전, 그리고 企業의 글로벌경영화 등에서 비롯된 金融市場의 汎世界的統合化(globalization) 등으로 일대 構造變化를 가져 오고 있다. 이러한 변화와 더불어 國內外換市場은 自由變動換率制度施行과 外換自由化措置 이후 對外去來急增에 따른 換率의 不確實性과 價格變動의 危險에 직면하게 되었으며, 더욱이 2001 년에 실시 예정인 제 2 단계 外換自由化措置로 短期投資資本(일명 핫머니)으로 인한 換率變動의 不確實性은 더욱 증폭될 것으로 豫想된다. 이와 같은 국내외 外換市場의 變化에 따른 換危險은 기업들의 對外競爭力의 低下 뿐만 아니라 換差損을 유발시켜 企業經營에 많은 惡影響을 미칠 것으로 예상된다. 그러므로 우리나라의 企業들은 換率變動에 따른 換危險에 능동적으로 대처하기 위해 外換市場에 대한 효율적인 分析및 豫測能力과 換危險으로 부터 기업을 보호할 수 있는 對應戰略등 多角的인 摸索을 통하여 企業利益의 極大化를 위한 努力이 그 어느 때보다 要求된다. 이에 본 연구는 1990 년대 이후 中小企業의 影響力과 比重이 점점 증가하고 있는 시점에 우리나라 中小企業의 換率에 대한 認識과 換危險管理實態및 換危險管 理改善方案에 관한 認識을 實證分析을 통하여 그 問題點및 改善方案을 살펴봄으로써 중소기업의 效率的인 換危險管理를 위한 方向設定에 도움을 줄 수 있는 基礎資料를 제시는 하는데 그 目的이 있다. 이러한 硏究目的에 따라 本硏究에서 設定한 硏究問題는 다음과 같다. 1) 中小企業의 換率에 대한 認識에는 어떠한 差異가 있는가? 2) 中小企業의 換危險管理實態는 어떠한 差異가 있는가? 3) 中小企業의 換危險管理改善方案에 대한 認識에 는 어떠한 差異가 있는가? 本硏究는 서울소재 151 개의 中小企業을 대상으로 設問紙를 배부하였으며, 사용된 설문지는 지호준의 ‘우리나라 上場企業의 換危險管理에 관한 硏究’와 안형선의 ‘우리나라기업의 換危險管理에 관한 硏究’ 등의 先行硏究와 관련 文獻을 參考로 하여 本硏究에 맞도록 29 개의 問項으로 작성되었다. 應答한 設問紙는 社會科學統計 프로그램인 SPSS/PC+를 사용하여 각 問項別로 집단간의 분포의 差異를 檢證하기위해 頻度分析, 交叉分析( ?²검증)을 實施하였으며, 統計結果有意한 정도는 *P<.05, **P<.01, ***P<.001 수준에서 比較檢證되었다. 本 硏究의 結果는 첫째, 우리나라 중소기업은 IMF 이후 換率暴騰으로 인하여 많은 換差損을 입었고, 換率에 대한 認識과 重要性은 매우 높았으며 換率이 기업의 賣出및 收益性에 많은 영향을 주는 것으로 나타났다. 그러나 換率豫測과 決定은 대부분의 중소기업이 自體的인의 內部的分析보다는 國內銀行, 인터넷 등 外部的 機關에 의존하고 있어 기업의 特性과 與件에 맞는 보다 정확한 換率豫測과 決定이 무엇보다도 必要한 것으로 나타났다. 둘째, 중소기업의 換危險管理理論에 대한 知識은 매우 낮은 상태로 先物換등의 外部的管理技法보다 輸出價格調整등의 內部的管理技法을 주로 사용하고 있고, 換危險을 專門的으로 관리하는 部署와 外換實務者는 全無한 것으로 나타났다. 셋째, 換危險管理敎育의 必要性에 대한 認識이 높음에도 불구하고 중소기업의 換危險管理敎育은 거의 이루어지지 않고 있으며, 직원들 대부분도 換危險管理의 프로그램에 참여해 보지 않아 換危險에 대한 다양하고 체계적인 교육프로그램의 開發이 절대적으로 시급한 것으로 나타났다. 또한 外換專門家의 不足, 換率에 관한 情報入手의 困亂, 經營陣의 認識不足등으로 인해 換危險管理에 障碍가 되고 있으며 경영진의 換危險管理에 대한 적극적인 關心과 參與, 기업내의 換危險管理를 위한 外換專門家의 育成및 導入, 政府의 적극적인 外換市場의 介入이 換危險管理의 改善을위해 필요한 것으로 나타났다. 이상의 實證分析의 결과를 통하여 우리나라 中小企業의 효율적인 換危險管理를 위한 改善方案은 첫째, 中小企業이 앞으로 國際競爭力이 있는 優良企業이 되기 위해서는 換率變動속에서 他競爭國과 대응할 수 있는 製品의 差別化및 多樣性, 高附加價値製品의 開發이 필요하다. 둘째, 중소기업의 經營陣은 換危險管理에 대한 적극적이고 능동적인 認識의 轉換과 과감한 投資가 필요하며 , 급격한 換率變動시 임기웅변식의 短期的處方이 아니라 보다 根本的이고 體系的으로 기업의 特性에 맞는 換危險管理組織및 換危險管理技法의 마련이 요구된다. 아울러 換危險管理시 經營陣의 일방적인 意思決定을 止揚하고 外換實務者의 機會附與, 원활한 意思疏通을 통한 融合과 다양하고 심도있는 換危險管理의 硏修(敎育)提供, 專門的인 外換實務者의 育成및 導入이 필요하다. 셋째, 중소기업의 外換實務者는 기업의 열악한 諸般與件下에서도 換率및 換危險管理에 관한 理論的知識의 習得을 위한 努力과 이를 바탕으로 外換實務에 적용할 수 있는 能力培養이 요구된다. 넷째, 國內金融機關은 단편적인 換率에 대한 情報의 提供에서 벗어나 중소기업이 보다 나은 換率豫測과 企業의 特性에 맞는 換危險管理를 효율적으로 할 수 있도록 일선 창구에 외환전문요원을 양성 배치하고, 중소기업을 위한 換危險管理프로그램의 開發및 硏修機會의 提供등을 통해 중소기업과의 紐帶强化및 換危險管理의 能力提高를 위한 서비스 提供이 필요하다. 다섯째, 政府는 중소기업의 효율적인 換率豫測과 換危險管理를 위해 신속한 기업ㆍ금융 구조조정에 따른 市場不安의 解消와 外部的衝擊을 흡수할 수 있는 國內金融및 外換市場의 안정적인 基盤造成을 위한 制度的改善이 시급하다. 또한, 大企業에 비해 中小企業은 資本및 人力그리고 換率에 대한 情報蒐集의 能力에 현실적으로 한계가 있어 중소기업의 自體的인 換危險을 효율적으로 관리하기에는 역부족으로 중소기업의 효율적인 換率豫測과 換危險管理를 위해 政府次元의 중소기업을 위한 換危險管理프로그램의 開發및 硏修機會의 提供, 중소기업관련 機關內의 換率情報센터 設立, 시행초기에 있는 先物去來所를 중소기업이 적극 활용할 수 있도록 저렴한 費用과 利用節次의 簡素化등의 制度的補完및 活性化方案이 요구된다. The purpose of this is to analyze the current situation of exchange risk management by Korean small and medium enterpieses(SMEs) 151 SEMs in Seoul area were surveyed by distributing questionnaire asking about the perceptions of exchange risk management, its current situation, and method to improve it. The following findings were made by the survey: First, in the wake of the outbreak of the IMF crisis in 1997, Korean SMEs experienced serious losses from skyrocketing exchange rate. As a result, they now recognize clearly that exchange rate much affects their revenues and profits. It seem that IMF crisis has critcally aroused Korean SMEs towards having a keen sense about exchange rate fluctuations. Second, notwithstanding the perception of the importance of exchange rate fluctuations, SMEs have not yet developed adequate ability to manage exchange risk. SMEs tend to passively listen to the recommendation of outside institutions, or depend on the intuition of top executives rather than systematic analysis. They also have no theoretical knowledge of exchange risk management, and prefer internal risk management measures like export price manip Ulation to external measures like currency futures. Third, obstacles to efficient exchange risk management consists of the lack of experts, difficulties in acquiring impormation, and lake of awareness among executives. In light of the findings of the survey, methods to improve exchange risk management for SMEs lies in increased concerns of each firm. Meanwhile, the government should try to limit the flucations of exchange rate within a reasonable limit. Korean SMEs are seemingly very vulnerable to a sudden, large fluctuations of exchange rate. The government should also help SMEs to develop exchange risk management programs by providing training opportunities, establishing foreign exchange impormation center, and by facilitating access to future market.

운영헤징과 재무헤징 효과에 관한 실증연구 : KOSPI 제조업을 중심으로

정재경 부산대학교 대학원 2018 국내박사

This study examines how operational hedging and financial hedging affect foreign exchange exposure, corporate value, and firm performance for Korean manufacturing companies. Operational hedging, one of the means of corporate risk managements, is an activity that manages external risks through operational flexibility by using the network that the company owns. The type of operational hedging varies according to the industry. For example, the shift of production facilities, the postponement of production decisions, and the change of the logistics plan responding to the external environment, etc. Another risk management activity is financial hedging. This can reduce the risks which the company is facing by buying or selling financial derivatives with underlying assets such as exchange rates, interest rates, and commodity prices in financial markets. Comparing two hedging strategies, operational hedging has more capital and irreversible characteristics than financial hedging. The methodology used in this study is panel analysis through data on 537 manufacturing companies listed on the KOSPI from 2011 to 2016. In order to obtain the robustness of the empirical analysis, we conduct an empirical analysis of 536 companies excluding Samsung Electronics, an outlier in the KOSPI, and an empirical analysis of the top 100 companies on assets. We set variables related to operational hedging and financial hedging as independent variables and set the exposure risk, corporate value, and corporate performance as dependent variables. This study is to examine how the operational hedging and financial hedging strategies of Korean manufacturing firms affect the dependent variables through panel analysis. We use the dummy variable of foreign subsidiaries and the proportion of overseas sales as operational hedging proxy variables, and use the dummy variable of derivatives, derivatives balance ratio, foreign asset ratio, and foreign debt ratio as financial hedging proxy variables. The proxy variables such as exposure risk, corporate value, and corporate performance as dependent variables are exchange exposure coefficient, Tobin's Q, and returns on assets, respectively. The effects of operational hedging and financial hedging are explained by dependent variables. First, foreign exchange exposure coefficient as the dependent variable and the financial hedging have shown negative relation and only variable related to foreign debt ratio showed statistical significance. Operational hedging is not statistically significant. Second, the variables that have a significant relationship between the corporate value and the financial hedging are the dummy variable of derivatives and the ratio of foreign asset. The dummy variable of derivatives is negative and the ratio of foreign asset is positive. The use of derivatives which is perceived as the operating cost of company has a negative effect on corporate value, while the foreign asset ratio account is a positive item for corporate performance. Operational hedging has a negative effect on the proportion of overseas sales to corporate value but not statistical significance. Third, the financial hedging variable that affects corporate performance is the ratio of derivative balances, and shows a negative relationship. Operational hedging variables affecting corporate performance are the dummy variables of foreign subsidiaries and the proportion of overseas sales. The former shows a positive relationship and the latter shows a negative relationship. The results of this study are mixed as in the existing literature. This study is consistent with the results of a previous study that developing countries do not significantly reduce the exchange rate of exposure due to the direction of exchange rate fluctuations and the direction of market returns. Another results of this study confirm that Korean companies' operational hedging and financial hedging strategies have impact on corporate value and performance. The contribution of this study is to demonstrate the effects of operational hedging and financial hedging on Korean firms recently. Because this study focuses on operational hedging and financial hedging among the various risk management tools possessed by the company, corporate activities related to operational hedging and financial hedging play a major role in responding to external risks. These activities reduce risk, and affect corporate value and performance. The results of study imply that corporate managers need to closely link between operational departments, which are responsible for operational hedging, and financial departments, which are responsible for financial hedging. Therefore, this study suggests that corporate managers need to integrate operational hedging and financial hedging for enterprise risk management activities. However, the limitation of this study is that only two operational hedging variables are used and the range of time series data is not long. For this reason, we failed to identify the relationship between operational hedging and foreign exchange exposure and show incompletely the effects of operational hedging due to insufficient time series data. In future research, we will develop more operational hedging variables and conduct studies to verify the effects of operational hedging and financial hedging, which are implemented in various aspects by industry.

환율과 비청산 장외파생상품 증거금의 상관관계에 대한 연구 : 변동증거금을 중심으로

김솔민 연세대학교 경제대학원 2023 국내석사

In this paper, I focus on the correlation between exchange rate and variation margin. For this purpose, daily exchange rate and variation margin balance data were used. To investigate the correlation between exchange rate and variation margin as a concept of elasticity, all data are transformed to natural logarithms. In addition, to confirm the correlation between exchange rate fluctuations and variation margin fluctuations, daily exchange rate and variation margin data are used as standard deviations on a monthly basis. The results are as follows. As the exchange rate increases, the variation margin balance increases. In terms of elasticity, when the exchange rate increases by 1%, the variation margin balance increases by about 5.8%. Most of the balance in the OTC derivatives system of the Korea Securities Depository is the amount provided by domestic financial companies as collateral to foreign financial companies. Therefore, it can be estimated that when the exchange rate increases by 1%, the amount provided for variation margin increases by approximately 5.8%. The positive correlation between the exchange rate and the amount provided for variation margin can be indirectly inferred that short positions in currency swaps, which account for the largest proportion among non-cleared OTC derivatives in Korea, are relatively larger than long positions. It is confirmed that there is a certain degree of correlation between exchange rate fluctuations and variation margin fluctuations, but it is difficult to grasp the exact correlation because there are parts that do not satisfy the regression diagnosis conditions and the explanatory power is not enough. Key words: Variation Margin, Non-Cleared OTC Derivatives, Currency Swap, Exchange rate, MTM, Exposure 본 논문은 환율과 변동증거금의 상관관계를 분석하였다. 이를 위해 일별 환율과 변동증거금 잔액 데이터를 활용했다. 환율과 변동증거금의 상관관계를 탄력성 개념으로 해석하기 위해서 데이터를 모두 자연로그화하여 사용하였다. 또한 환율 변동과 변동증거금 변동의 상관관계를 확인하기 위해서 환율과 변동증거금 일별 데이터를 월별 표준편차화시켜 활용했다. 분석결과는 다음과 같다. 환율이 상승할수록 변동증거금 잔액은 증가한다. 탄력성 개념으로 해석하면, 환율이 1% 상승할 때 변동증거금은 약 5.8% 잔액이 증가한다. 예탁결제원 장외파생상품시스템의 잔액은 국내 금융회사가 외국 금융회사에게 담보를 제공한 금액이 대부분이다. 따라서 환율이 1% 상승할 때, 변동증거금 제공금액은 약 5.8% 증가하는 것으로 추정할 수 있다. 환율과 변동증거금 제공금액이 양의 상관관계를 보이는 것은 국내 비청산 장외파생상품 중 가장 많은 비중을 차지하고 있는 통화스왑의 매도포지션이 매수포지션보다 상대적으로 크다는 것을 간접적으로 추정할 수 있게 해준다. 환율 변동과 변동증거금 변동의 상관관계는 유의미한 것으로 확인되나 회귀진단 조건에 만족되지 않는 부분도 있고 설명력도 약해서 정확한 상관관계를 파악하기는 어려운 것으로 나타났다.

우리나라 企業의 經濟的 換露出에 관한 實證硏究

이길중 中央大學校 1993 국내박사

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