Exchange Rate Sensitivity of Firm Value: Evidence from Nonfinancial Firms Listed on Borsa Istanbul

İbrahim Ethem Güney (), Abdullah Kazdal, Doruk Küçüksaraç and Muhammed Hasan Yılmaz ()
Additional contact information
İbrahim Ethem Güney: Central Bank of the Republic of Turkey
Muhammed Hasan Yılmaz: Central Bank of the Republic of Turkey

A chapter in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 2021, pp 141-165 from Springer

Abstract: Abstract This chapter attempts to quantify the effect of exchange rate on the value of nonfinancial firms listed on Borsa Istanbul. In the first part of the analysis, the regression results using firm-level data show that currency fluctuations tend to influence the stock returns of 44 firms out of 177 firms in the sample in a significant way with negative average foreign exchange (FX) sensitivity coefficient. The sectoral-level analysis indicates that sectors with net FX short position are also subject to higher FX sensitivity with respect to firm value. In the second part, firm-level determinants of FX sensitivity are investigated using quantile regression method. The estimation results indicate that the market value of firms with net FX position surplus tends to respond positively to the depreciation of Turkish lira against the US dollar across all quantiles. It is also observed that the degree of internationalization, firm size, profitability, and growth opportunities are significant determinants of stock market pricing of FX risk.

Keywords: Exchange rate sensitivity; FX risk; Nonfinancial firms; Risk management; Quantile regression; Rolling regression; Fama-French pricing factors; Market value (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-54108-8_6

Ordering information: This item can be ordered from
http://www.springer.com/9783030541088

DOI: 10.1007/978-3-030-54108-8_6

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().