İMKB’de Sektörel Açıdan Döviz Kuru Duyarlılığının incelenmesi
Year 2010,
Volume: 19 Issue: 3, 63 - 86, 01.09.2010
Prof.dr.hatice Doğukanlı
Yrd.doç.dr.mehmet Özmen
Emel Yücel
Abstract
Aim of this study is to determine the dollar and euro exchange rate exposures of industrial stock indices for the period of January 1999 June 2009 in Istanbul Stock Exchange The study examines financial manufacturing services indices and fifteen subindices Johansen cointegration test results indicate that there is a long run relationship among these indices and exchange rates Exhange rate exposure differs among the industries Although services industries have negative forex beta financial and manufacturing industries have positive forex beta for the dollar exchange rate On the other hand financial and services industries have negative forex beta while manufacturing industry have positive forex beta for the euro exchange rate Results indicate that there is high level sensitivity for both dollar and euro exchange rates in services industries Financial index sensivity is at a low level Short term relationship between industries and exchange rates are analyzed by Error Correction Model Error Correction findings show that food beverage industry has high correction coefficient while transportation industry has a low one Key Words: Forex Beta Exchange Rate Sensitivity Cointegration Error Correction Model
References
- ADLER, M. and B. DUMAS, (1984), “Exposure to Currency Risk: Definition and Measurement”, Financial Management, Summer: 41-50.
- AKKUM, T. ve B. VURAN, (2005), “Türk Sermaye Piyasasındaki Hisse Senedi Getirilerini Etkileyen Makroekonomik Faktörlerin Arbitraj Fiyatlama Modeli ile Analizi”, İktisat İşletme ve Finans Dergisi, Yıl.20, Ağustos: 28-45.
- AQUINO, Q. R., (2005), “Exchange Rate Risk And Philippine Stock Returns: Before And After The Asian Financial Crisis”, Applied Financial Economics, 15,11: 765-771.
- BADHANI, K. N, R. CHIMWAL and J. SUYAL, (2009), “Exchange Rate Volatility: Impact on Industry Portfolios in Indian Stock Market”, The Icfai Journal of Applied Finance, Vol. 15, No.6: 33-48.
- CHAMBERLAIN, S., J. S. HOWE and H. POPPER, (1997), “The Exchange Rate Exposure of U.S. and Japanese Banking Institutions”, Journal of Banking and Finance, 21: 871-892.
- CHEUNG, Y. and K. S. LAI, (1993), “Finite Sample Sizes of Johansen’s Likelihood Ratio Tests for Cointegration”, Oxford Bulletin of Economics and Statistics, 55 (3): 313-328. CHIANG, Y. and H. J. LIN, (2007), “Foreign Exchange Exposures, Financial and Operational Hedge Strategies of Taiwan Firm”, Investment Management and Financial Innovations, 4, 3: 95-105.
- CHOI, J. J., T. HIRAKI and N. TAKEZAWA, (1998), “Is Foreign Exchange Risk Priced in the Japanese Stock Market?”, Journal of Financial and Quantitative Analysis, 33, 3: 361-382.
- CHOI, J. J. and A. M. PRASAD, (1995), “Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals”, Financial Management, Vol.24, No.3, Autumn: 77-88.
- ÇUKUR, S. ve Y.V. TOPUZ, (1997), “Döviz Kuru Riski: İMKB Tekstil Sektörü Üzerine Ampirik Bir Çalışma”, İMKB Dergisi, Cilt 8 (30): 19-32.
- DOĞUKANLI, H., (2008), Uluslararası Finans, Karahan Kitabevi, Adana.
- DOMINGUEZ, K. M. E. and L. L. TESAR, (2001), “A Reexamination of Exchange- Rate Exposure”, The American Economic Review, May, 91, 2, ABI/INFORM Global: 396-399. DOMINGUEZ, K. M. E. and L. L. TESAR, (2006), “Exchange Rate Exposure”, Journal of International Economics, 68: 188-218.
- FARRELL, L. J., (1997), Portfolio Management Theory&Application, McGraw-Hill International Editions Finance Series, Second Edition, USA.
- FORNES, G., (2008), “Foreign Exchange Exposure in Emerging Markets. A Holistic Approach to Minimising Its Effects on Multinational Enterprises”, Best Paper Proceedings Academy of Management Conference, Anaheim.
- HAGELIN, N. and B. PRAMBORG, (2004), “Hedging Foreign Exchange Exposure: Risk Reduction from Transaction and Translation Hedging”, Journal of International Financial Management and Accounting, 15, 1: 1-20.
- HYDE, S. (2006), “The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risks”, Manchester Business School Working Paper, No. 491.
- IBRAHIM, M. H., (2008), “The Exchange-Rate Exposure of Sectoral Stock Returns: Evidence from Malaysia”, International Journal of Economic Perspectives, Volume 2, Issue 2: 64-76.
- JORION, P., (1990), “The Exchange Rate Exposure of US Multinationals”, Journal of Business, 1990, 63, 3: 331-345.
- JOSEPH, L. N., (2002), “Modelling the Impacts of Interest Rate and Exchange Rate Changes on UK Stock Returns”, Derivatives Use, Trading & Regulation, 7, 4: 306-323. KÜÇÜKKİREMİTÇİ, O., Ö. GEÇ, M. ŞİMŞEK, M. E. KARACA ve B. A. EŞİYOK, (2008), “Küresel Mali Kriz ve Reel Sektöre Muhtemel Etkileri”, Türkiye Kalkınma Bankası Ekonomik ve Sosyal Araştırmalar Müdürlüğü, Ekim 208, Ankara.
- KRISHNAMOORTHY, A., (2001), “Industrial Structure and the Exchange Rate Exposure of Industry Portfolio Returns”, Global Finance Journal, 12: 285-297.
- MUKHERJEE, K. T. ve A. NAKA, (1995), “Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of A Vector Error Correction Model”, The Journal of Financial Research, 1995, c.18 (2): 223-237.
- MULLER, A. ve W. F.C. VERSCHOOR, (2006), “European Foreign Exchange Risk Exposure”, European Financial Management, 12 (2): 195-220.
- ÖNAL, Y. B., M. DOĞANLAR ve S. CANBAŞ, (2002), “Döviz Kuru Riskinin Özel Türk Bankalarının Hisse Senedi Fiyatların Etkisinin Araştırılması”, İMKB Dergisi, Cilt:6 (22): 17-33.
- SOLAKOGLU, M.N., (2005), “Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey”, Journal of Economic and Social Research, 7(2): 35-46.
- SOLAKOĞLU, M.N. ve N. DEMİR, (2009), “Exchange-Rate Exposure and the Financial Sector”, Journal of Economic and Social Research, 11(2): 29-42.
- YÜCEL, T. ve G. KURT, (2003), “Foreign Exchange Rate Sensitivity and Stock Price: Estimating Economic Exposure of Turkish Firms”, European Trade Study Group, Madrid: 1-11.
- Türkiye İstatistik Kurumu, www.tuik.gov.tr, 21 Ekim 2009.
- İstanbul Menkul Kıymetler Borsası, www.imkb.gov.tr, 25 Ekim 2009.
- Türkiye Cumhuriyeti Merkez Bankası, www.tcmb.gov.tr, 13 Ekim 2009.
İMKB’DE SEKTÖREL AÇIDAN DÖVİZ KURU DUYARLILIĞININ İNCELENMESİ
Year 2010,
Volume: 19 Issue: 3, 63 - 86, 01.09.2010
Prof.dr.hatice Doğukanlı
Yrd.doç.dr.mehmet Özmen
Emel Yücel
Abstract
Bu çalışmada İMKB’deki ana sektör ve alt sektör hisse senedi endekslerinin dolar ve euro para birimleri açısından döviz kuru duyarlılıklarının belirlenmesi amaçlanmıştır Çalışma dönemi Ocak 1999 Haziran 2009 yılları olarak belirlenmiş olup mali sınai ve hizmetler ana sektör ve 15 alt sektör hisse senedi endeksleri temel alınmıştır Johansen eşbütünleşme testi sektörler ile döviz kurları arasında eşbütünleşme ilişkisi olduğunu göstermiştir Sektörler arasında döviz kuru duyarlılıklarının farklılık gösterdiği bulgularına ulaşılmıştır Dolar kuru açısından hizmetler sektörünün negatif forex betaya mali ve sınai sektörlerin pozitif forex betaya; Euro kuru açısından mali ve hizmetler sektörlerinin negatif forex betaya sınai sektörünün pozitif forex betaya sahip oldukları anlaşılmıştır Her iki para birimi açısından hizmetler sektörü çok yüksek duyarlılık gösterirken mali sektörün duyarlılığı çok düşük olarak bulunmuştur Sektörler ve döviz kuru arasındaki kısa dönemli ilişkiler hata düzeltme modeli aracılığıyla incelenmiş ve gıda sektöründe yüksek ulaştırma sektörünü düşük uyarlama hızı olduğu anlaşılmıştır
References
- ADLER, M. and B. DUMAS, (1984), “Exposure to Currency Risk: Definition and Measurement”, Financial Management, Summer: 41-50.
- AKKUM, T. ve B. VURAN, (2005), “Türk Sermaye Piyasasındaki Hisse Senedi Getirilerini Etkileyen Makroekonomik Faktörlerin Arbitraj Fiyatlama Modeli ile Analizi”, İktisat İşletme ve Finans Dergisi, Yıl.20, Ağustos: 28-45.
- AQUINO, Q. R., (2005), “Exchange Rate Risk And Philippine Stock Returns: Before And After The Asian Financial Crisis”, Applied Financial Economics, 15,11: 765-771.
- BADHANI, K. N, R. CHIMWAL and J. SUYAL, (2009), “Exchange Rate Volatility: Impact on Industry Portfolios in Indian Stock Market”, The Icfai Journal of Applied Finance, Vol. 15, No.6: 33-48.
- CHAMBERLAIN, S., J. S. HOWE and H. POPPER, (1997), “The Exchange Rate Exposure of U.S. and Japanese Banking Institutions”, Journal of Banking and Finance, 21: 871-892.
- CHEUNG, Y. and K. S. LAI, (1993), “Finite Sample Sizes of Johansen’s Likelihood Ratio Tests for Cointegration”, Oxford Bulletin of Economics and Statistics, 55 (3): 313-328. CHIANG, Y. and H. J. LIN, (2007), “Foreign Exchange Exposures, Financial and Operational Hedge Strategies of Taiwan Firm”, Investment Management and Financial Innovations, 4, 3: 95-105.
- CHOI, J. J., T. HIRAKI and N. TAKEZAWA, (1998), “Is Foreign Exchange Risk Priced in the Japanese Stock Market?”, Journal of Financial and Quantitative Analysis, 33, 3: 361-382.
- CHOI, J. J. and A. M. PRASAD, (1995), “Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals”, Financial Management, Vol.24, No.3, Autumn: 77-88.
- ÇUKUR, S. ve Y.V. TOPUZ, (1997), “Döviz Kuru Riski: İMKB Tekstil Sektörü Üzerine Ampirik Bir Çalışma”, İMKB Dergisi, Cilt 8 (30): 19-32.
- DOĞUKANLI, H., (2008), Uluslararası Finans, Karahan Kitabevi, Adana.
- DOMINGUEZ, K. M. E. and L. L. TESAR, (2001), “A Reexamination of Exchange- Rate Exposure”, The American Economic Review, May, 91, 2, ABI/INFORM Global: 396-399. DOMINGUEZ, K. M. E. and L. L. TESAR, (2006), “Exchange Rate Exposure”, Journal of International Economics, 68: 188-218.
- FARRELL, L. J., (1997), Portfolio Management Theory&Application, McGraw-Hill International Editions Finance Series, Second Edition, USA.
- FORNES, G., (2008), “Foreign Exchange Exposure in Emerging Markets. A Holistic Approach to Minimising Its Effects on Multinational Enterprises”, Best Paper Proceedings Academy of Management Conference, Anaheim.
- HAGELIN, N. and B. PRAMBORG, (2004), “Hedging Foreign Exchange Exposure: Risk Reduction from Transaction and Translation Hedging”, Journal of International Financial Management and Accounting, 15, 1: 1-20.
- HYDE, S. (2006), “The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risks”, Manchester Business School Working Paper, No. 491.
- IBRAHIM, M. H., (2008), “The Exchange-Rate Exposure of Sectoral Stock Returns: Evidence from Malaysia”, International Journal of Economic Perspectives, Volume 2, Issue 2: 64-76.
- JORION, P., (1990), “The Exchange Rate Exposure of US Multinationals”, Journal of Business, 1990, 63, 3: 331-345.
- JOSEPH, L. N., (2002), “Modelling the Impacts of Interest Rate and Exchange Rate Changes on UK Stock Returns”, Derivatives Use, Trading & Regulation, 7, 4: 306-323. KÜÇÜKKİREMİTÇİ, O., Ö. GEÇ, M. ŞİMŞEK, M. E. KARACA ve B. A. EŞİYOK, (2008), “Küresel Mali Kriz ve Reel Sektöre Muhtemel Etkileri”, Türkiye Kalkınma Bankası Ekonomik ve Sosyal Araştırmalar Müdürlüğü, Ekim 208, Ankara.
- KRISHNAMOORTHY, A., (2001), “Industrial Structure and the Exchange Rate Exposure of Industry Portfolio Returns”, Global Finance Journal, 12: 285-297.
- MUKHERJEE, K. T. ve A. NAKA, (1995), “Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of A Vector Error Correction Model”, The Journal of Financial Research, 1995, c.18 (2): 223-237.
- MULLER, A. ve W. F.C. VERSCHOOR, (2006), “European Foreign Exchange Risk Exposure”, European Financial Management, 12 (2): 195-220.
- ÖNAL, Y. B., M. DOĞANLAR ve S. CANBAŞ, (2002), “Döviz Kuru Riskinin Özel Türk Bankalarının Hisse Senedi Fiyatların Etkisinin Araştırılması”, İMKB Dergisi, Cilt:6 (22): 17-33.
- SOLAKOGLU, M.N., (2005), “Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey”, Journal of Economic and Social Research, 7(2): 35-46.
- SOLAKOĞLU, M.N. ve N. DEMİR, (2009), “Exchange-Rate Exposure and the Financial Sector”, Journal of Economic and Social Research, 11(2): 29-42.
- YÜCEL, T. ve G. KURT, (2003), “Foreign Exchange Rate Sensitivity and Stock Price: Estimating Economic Exposure of Turkish Firms”, European Trade Study Group, Madrid: 1-11.
- Türkiye İstatistik Kurumu, www.tuik.gov.tr, 21 Ekim 2009.
- İstanbul Menkul Kıymetler Borsası, www.imkb.gov.tr, 25 Ekim 2009.
- Türkiye Cumhuriyeti Merkez Bankası, www.tcmb.gov.tr, 13 Ekim 2009.