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Exchange Rate Sensitivity of Firm Value: Recent Evidence from Non-Financial Firms Listed on Borsa Istanbul

Ibrahim Ethem Guney, Abdullah Kazdal, Doruk Küçüksaraç and Muhammed Hasan Yilmaz

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] This study attempts to quantify the effect of exchange rate on the value of non-financial 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 United States (US) dollar across all quantiles. This finding stresses the importance of risk management activities for non-financial firms in terms of shielding themselves from FX risk. 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. [TR] Bu calisma Borsa Istanbul'da islem goren finansal olmayan firmalarda doviz kurunun firma degeri uzerindeki etkisini olcmeyi amaclamaktadir. Analizin ilk asamasinda firma duzeyinde veri kullanilarak yapilan regresyon sonuclari kurdaki dalgalanmalarin orneklemi olusturan 177 firmadan 44'unun hisse senedi getirisini onemli duzeyde etkiledigini ve ortalama hassasiyet katsayisinin negatif oldugunu gostermektedir. Sektorel duzeyde gerceklestirilen analizler, yabanci para (YP) acik pozisyonunun yuksek oldugu sektorlerde firma degerinin kura hassasiyetinin daha yuksek olduguna isaret etmektedir. Ikinci asamada firma duzeyindeki kur hassasiyeti belirleyicileri kantil regresyon yontemiyle incelenmektedir. Tahmin sonuclari net YP pozisyon fazlasi tasiyan firmalarin piyasa degerinin Turk lirasindaki deger kayiplarina pozitif tepki verdigini ortaya koymaktadir. Bu bulgu, finansal olmayan firmalar icin risk yonetimi faaliyetlerinin olumsuz doviz kuru hareketlerinden korunma acisindan onemini gostermektedir. Ayrica, uluslararasilasma derecesi, firma buyuklugu, karlilik ve buyume potansiyellerinin hisse senedi piyasasinda kur riski fiyatlamasinin onemli belirleyicileri oldugu gozlenmektedir.

Date: 2019
New Economics Papers: this item is included in nep-ara and nep-bec
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