Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE
In 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.
Volume (Year): 12 (2010)
Issue (Month): 46 ()
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- 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.
- 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.
- Muller, Aline & Verschoor, Willem F.C., 2007. "Asian foreign exchange risk exposure," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 16-37, March.
- 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.
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