DÖVİZ KUR RİSKİ İLE ŞİRKET DEĞERİ ARASINDAKİ İLİŞKİNİN İMKB OTOMOTİV SEKTÖRÜNDE ANALİZİ

Year 2009, Issue: 26, - , 20.06.2015

Orhan Ünal Hakan Altın

Abstract

With the collapse of the fixed rate system, volatility of exchange rates and related risks has become an important component of the international financial system. Exchange rate movements affect both operational cash flow of the company and the discount rate used to evaluate the company. The purpose of this study is to reveal the relationship between the market value and the net exchange position of the company. In this frame, the research subject consists of publicly-held companies in the Turkish automotive industry. Quarterly raw data between the years 2004 and 2008 is used in the study. Initially, Pearson Correlation Test is applied to the data set and in the second stage, Panel Data Analysis is applied

Keywords

Exchange Rate, Exchange Rate Risk, Firm Value, Correlation Analysis

DÖVİZ KUR RİSKİ İLE ŞİRKET DEĞERİ ARASINDAKİ İLİŞKİNİN İMKB OTOMOTİV SEKTÖRÜNDE ANALİZİ

Abstract

Sabit kur sisteminin çöküşüyle birlikte, döviz kurlarının volatilitesi ve buna bağlı riskler, uluslararası finansal yönetimin önemli bir bileşeni haline gelmiştir. Döviz kuru hareketleri hem şirketin faaliyetleri ile ilgili nakit akımını hem de şirketi değerlendirmek için kullanılan iskonto oranını etkilemektedir. Bu çalışmanın amacı, şirket piyasa değeri ile net döviz pozisyonu arasındaki ilişkinin ortaya çıkarılmasıdır. Bu çerçevede araştırma konusunu, halka açık Türk Otomotiv Sanayi oluşturmaktadır. Çalışmamızda 2004–2008 yıllarına ait üçer aylık ham veriler kullanılmıştır. Konuyla ilgili oluşturduğumuz veri setine ilk olarak Pearson Korelasyon testi, ikinci olarak ise Panel Veri analizi uygulanmıştır

Keywords

Döviz Kuru, Döviz Kuru Riski, Şirket Değeri, Korelasyon Analizi

References

• ADLER, M. ve DUMAS, B. (1984). “Exposure to Currency Risk: Definition and Measurement”, Financial Management, 13: 41-50.
• ALLAYANNIS, G. (1996). “Exchange Rate Exposure Revisited”, Working Paper, Darden Graduate School of
• Business, The University of Virginia, 1-39. ALLAYANNIS, G., IHRIG, J. ve WESTON, J.P. (2001). “Exchange Rate Hedging: Financial Versus
• Operating Strategies”,American Economic Review , 91: 391-395. BARTOV, E., BODNAR, G.M. (1994). “Firm Valuation, Earnings Expectations, and the Exchange Rate
• Exposure Effect”, Journal of Finance, 49: 1755-1785.
• BARTOV, E., BODNAR, G.M. ve KAUL, A. (1996). ”Exchange Rate Variability and the Riskiness of U.S.
• Multinational Firms:Evidence from the Breakdown of the Bretton Woods System”, Journal of Financial Economics, 42: 105-132. BODNAR, G. ve GENTRY, W. M. (1993). “Exchange Rate Exposure and Industry Gharacteristics; Evidence from Canada, Japan and the USA”, Journal of International Money and Finance, 12: 29-45.
• BOOTH, L. ve ROTENBERG, W. (1990). “Assessing Foreign Exchange Exposure: Theory and Application
• Using Canadian Firms”, Journal of International Financial Management and Accounting, 2: 1-22. CHANG, H-L., SU, C-W. ve LAI, Y-C. (2009). “Asymmetric Price Transmissions between the Exchange Rate and Stock Market in Vietnam”, International Research Journal of Finance and Economics, 23: 104-113.
• CHOI, J.J. ve PRASAD, A.M. (1995). “Exchange Risk Sensitivity and Its Determinants: A Firm and Industry
• Analysis of U.S. Multinationals”, Financial Management, 24: 77-88. CORNELL, B. ve SHAPIRO, A. (1983). “Managing Exchange Risks”, Midland Corporate Finance Journal, 1: 16-31.
• ÇELİK, O. (2002). Kur Değişim Etkilerinin Muhasebeleştirilmesi. Ankara: Turhan.
• DE SANTIS, G. ve GERARD, B. (1997). “International Asset Pricing and Portfolio Diversification with Time
• Varying Risk.” Journal of Finance, 52: 1881-1912.
• DONNELLY, R. ve SHEEHY, E. (1996). “The Share Price Reaction of U.K. Exporters to Exchange Rate
• Movements: An Empirical Study”, Journal of International Business Studies, 27: 157-165. DUMAS, B. ve SOLNIK, B. (1995). “The World Price of Foreign Exchange Risk”, Journal of Finance, 50: 445-4
• FLOOD E. JR. ve LESSARD, D.R. (1986). “On the Measurement of Operating Exposure to Exchange Rates: A
• Conceptual Approach”, Financial Management, 15: 25-36. HE, J. ve NG, L.K. (1998). “The Foreign Exchange Exposure Of Japanese Multinational Corporations”,
• Journal of Finance, 53: 733-753. HEKMAN, C.R. (1985). “A Financial Model of Foreign Exchange Exposure”, Journal of International Business Studies, 41: 83-99.
• HODDER, J.E. (1982). “Exposure to Exchange Rate Movements”, Journal of International Economics, 13: 375-3
• JORION, P. (1990). “The Exchange Rate Exposure of US Multinationals”, Journal of Business, 63: 331-345.
• JORION, P. (1991). “The Pricing of Exchange Rate Risk in the Stock Market”, Journal of Financial and Quantitative Analysis, 26: 363-376.
• LOUDON, G. (1993). “The Foreign Exchange Operating Exposure of Australian Stocks”, Accounting and Finance, 32: 19-32.
• MARSTON, R.C., (2001). “The Effects of Industry Structure on Economic Exposure”, Journal of
• International Money and Finance, 20: 149-164. MULLER, A. ve VERSCHOOR, W.F.C. (2006). “Foreign Exchange Risk Exposure: Survey and Suggestions”,
• Journal of Multinational Financial Management, 16: 385-410. ÖNAL Y. B., DOĞANLAR, M. ve CANBAŞ, S. (2002). “Döviz Kuru Riskinin Özel Türk Bankalarının Hisse
• Senedi Fiyatlarına Etkisinin Araştırılması”, İMKB Dergisi, 6: 17-34. ÖZER, M. ve BİÇERLİ, K. (2003). “Türkiye’de Kadın İşgücünün Panel Veri Analizi”, Anadolu Üniversitesi
• Sosyal Bilimler Dergisi, 3: 55-82. SHAPIRO, A.C. (1975). “Exchange Rate Changes, Inflation and the Value of Multinational Corporations”,
• Journal of Finance, 30: 485-502. TUFANO, P. (1996). “Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry”, Journal of Finance, 51: 1097-1137.
• WILLIAMSON, R.G. (2001). “Exchange Rate Exposure and Competition: Evidence from the Automotive
• Industry”, Journal of Financial Economics, 59: 441-475. EK 1- SPSS Sonuçları Correlations dpd dfx Pearson Correlation 1 286 Sig. (2-tailed) 221 N 20 20 Pearson Correlation 286 1 Sig. (2-tailed) 221 N 20 20 Doğuş oto için ilişki yoktur. kpd kfx 1 401 Sig. (2-tailed) N 20 20 Pearson Correlation 401 1 Sig. (2-tailed) 080 N Karsan için ilişki yoktur.