Researches on Exchange Rate Risk of Listed Companies -Evidence from Non-financial Listed Companies of Beijing

摘要

The article study the exchange rate risk used the GARCH model based on the data during 2005/1/72009/12/25 of 86 non-financial listed companies in Beijing. The empirical results including: ? the exchange rate risk our companies faced can be mainly reflected by the US dollar, the euro,Yen and the baht; (2) not only multinational companies,but the domestic companies are also under the influence of the exchange rate risk; (3)There are about 4 weeks lagged for the market reflecting exchange rate risk. Based on these results,whether multinational enterprise or domestic enterprise should pay attention to the exchange rate risk caused by not only the mainly crurrncy but minor currency in advance.