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A Research on the Exchange Rate Exposure of Firms Listed in Borsa Istanbul

Author

Listed:
  • Demirhan, Dilek

    (Ege University)

  • Gacener Atis, Aydanur

    (Ege University)

Abstract

The aim of this study is to estimate the extent of exchange rate exposure of textile and leather firms listed in Borsa Istanbul (BIST), and determine why some firms are exposed highly and the others are not. GARCH analysis was used to find the total exposure of these firms between 2005-2011. All the firms in the sample were exposed to foreign exchange exposure at least twice in the analysis period. Approximately 40% of firms in the sample were affected by the fluctuations in values of both US Dollar and Euro in each year between 2005-2011. For Dollar exposure, we found that there were no statistically significant differences between exposed and unexposed firms in terms of the share of foreign sales and foreign assets, currency position and firm size. However in terms of Euro exposure, the results of t-tests showed that firms that were exposed significantly to Euro have higher percentages of foreign sales over total sales, higher foreign assets over foreign liabilities and also higher foreign assets over foreign liabilities ratio.

Suggested Citation

  • Demirhan, Dilek & Gacener Atis, Aydanur, 2013. "A Research on the Exchange Rate Exposure of Firms Listed in Borsa Istanbul," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 4(4), pages 1-25, October.
    • Handle: RePEc:ris:buecrj:0132
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    Citations

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    Cited by:

    1. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    2. İbrahim Ethem Güney & Abdullah Kazdal & Doruk Küçüksaraç & Muhammed Hasan Yılmaz, 2021. "Exchange Rate Sensitivity of Firm Value: Evidence from Nonfinancial Firms Listed on Borsa Istanbul," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 141-165, Springer.
    3. Works, Richard & Haan, Perry, 2017. "An Empirical Study of Japanese and South Korean Exchange Rates Using the Sticky-Price Monetary Theory," MPRA Paper 77235, University Library of Munich, Germany.
    4. Ibrahim Ethem Guney & Abdullah Kazdal & Doruk Kucuksarac & Muhammed Hasan Yilmaz, 2019. "Exchange Rate Sensitivity of Firm Value : Recent Evidence from Non-Financial Firms Listed on Borsa Istanbul," CBT Research Notes in Economics 1911, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Exchange rate exposure; currency risk; textile and leather industry; GARCH analysis;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G00 - Financial Economics - - General - - - General

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