By Topic

Evaluation of Foreign Exchange Risk Based on Financial Data Mining: Evidence from Iron and Steel Industry in China

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

1 Author(s)
Yaqiong Pan ; Coll. of Manage., Wuhan Univ. of Sci. & Technol., Wuhan

The purpose of this research is to evaluate the foreign exchange risk exposure of listed companies on the Shanghai and Shenzhen Stock Exchange from iron and steel industry based on panel data over the period July 2005 to July 2008. The augmented Jorion Model is built to estimate the sensitivity of stock returns to exchange rate fluctuation. The findings are shown as follows: (1) Chinese iron and steel industry has significant exposure to foreign exchange risk, which is significantly exposed to USD and JPY, and is insensitive to EUR and HKD. (2) The appreciation of RMB-JPY adversely affects firm returns, while firms are benefited from the appreciation of RMB-USD. (3)The US dollar is the most dominant source of exchange risk among the major currencies, and Japanese Yen is the second one. (4) Affected by other factors except exchange rates and average stock market return, it has fixed effect.

Published in:

Knowledge Discovery and Data Mining, 2009. WKDD 2009. Second International Workshop on

Date of Conference:

23-25 Jan. 2009