Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE
Serkan Yilmaz Kandir and
Istanbul Stock Exchange Review, 2010, vol. 12, issue 46, 49-83
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.
Keywords: Exchange rate exposure; bank shares; derivatives. (search for similar items in EconPapers)
JEL-codes: G12 G21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:12:y:2010:i:46:p:49-83
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