Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE
AbstractIn this study, exchange rate exposure of Turkish banks and the reasons of this exposure are investigated. In this manner, data of 11 banks whose shares are traded in Istanbul Stock Exchange for the time period that spans from July of 1999 to June of 2009 are used. Regression models that are developed by adding Exchange rate factor to capital asset pricing model and Fama-French Three Factor Model are employed. Analysis results suggest that exchange rate risk is significant for two banks. On the other hand, exchange rate risk seems to impact Turkish banks at different levels. The two banks that are found to be affected by exchange rate risk appear to be smaller and tend to use fewer derivatives when they are compared with other banks.
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Bibliographic InfoArticle provided by Research and Business Development Department, Borsa Istanbul in its journal Istanbul Stock Exchange Review.
Volume (Year): 12 (2010)
Issue (Month): 46 ()
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Exchange rate exposure; bank shares; derivatives.;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jongmoo Jay Choi, 1986. "A Model of Firm Valuation With Exchange Exposure," Journal of International Business Studies, Palgrave Macmillan, vol. 17(2), pages 153-160, June.
- Allayannis, George & Ofek, Eli, 2001. "Exchange rate exposure, hedging, and the use of foreign currency derivatives," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 273-296, April.
- George Allayannis & Jane Ihrig & James P. Weston, 2001. "Exchange-Rate Hedging: Financial versus Operational Strategies," American Economic Review, American Economic Association, vol. 91(2), pages 391-395, May.
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