Author

  • Ayhan Kapusuzoglu

    • Yildirim Beyazit University, Ankara, Turkey
    • Türkiye

  • Mehmet Baha Karan

    • Hacettepe University, Ankara, Turkey
    • Türkiye

Abstract

The purpose of this study is the examination of the effect of the unexpected exchange rate risk on the stock prices of the energy companies which are transacted in the ISE (Istanbul Stock Exchange) National 100 index, for the period of 03/01/2005 – 29/06/2012. In addition, the study has investigated the effect of the market return on the stocks of the related companies in the same period. In line with that purpose, a multi-regression analysis has been realized in order to examine whether there was any effect or not. At the end of this inquiry, it was concluded that the unexpected exchange rate risk had a very small effect on the companies which are active in the energy sector and the return on market, on the contrary, had a very big effect thereon.

Keywords

References

  • Adler, M. & Dumas, B. (1984). Exposure to Currency Risk: Definition and Measurement. Financial Management , 13, 41-50.
  • Albeni, M. & Demir, Y. (2005). The Effects of Macroeconomic Indicators on Stock Prices of Financial Sector: An Application on Istanbul Stock Exchange. Mugla University Journal of Social Sciences , 14, 1-18.
  • Altay, O. A. (1999). The Effect of the Foreign Exchange Rate Risk on the Rate of Return on Common Stocks and A Study of This Effect on the Common Stocks Traded at ISE. Unpublished Ph.D. Dissertation, Cukurova University Institute of Social Science, Adana.
  • Asiamoney (1997-1998). Currency Exposure Risk Management. HSBC Markets, London,12-15.
  • Bartov, E. & Bodnar, G. (1994). Firm Valuation Earnings Expactation, and the Exchange Rate Exposure Effect. Journal of Finance , 44(5), 1755-1785.
  • Bartram, S. M. & Karolyi, G. A. (2006). The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures. Journal of Empirical Finance , 13(4-5), 519-549.
  • Chamberlain, S., Howe, J. S. & Popper, H. (1997). The Exchange Rate Exposure of U.S. and Japanese Banking Institutions. Journal of Banking and Finance , 21(6), 871-892.
  • Dickey, D. & Fuller, W. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association , 74(366), 427-431.
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root. Econometrica , 49(4), 1057-1072.
  • Doidge, C., Griffin, J. & Williamson, R. (2000). An International Comparison of Exchange Rate Exposure. Working Paper, Arizona State University.
  • Doidge, C., Griffin, J. & Williamson, R. (2006). Measuring the Economic Importance of Exchange Rate Exposure. Journal of Empirical Finance , 13, 550-576.
  • Energy Institute. (2012), http://enerjienstitusu.com, 26/11/2012.
  • FinansNews. (2012). http://www.finansnews.com, 17/10/2012.
  • Invest in Turkey. (2012). www.invest.gov.tr/tr-tr/sectors/Pages/Energy.aspx.
  • Jorion, P. (1990). The Exchange Rate Exposure of US Multinationals. Journal of Business , 63(3), 331-345.
  • Jorion P. (1991). The Pricing of Exchange Rate Risk in the Stock Market. Journal of Financial Quantitative Analysis , 26(3), 363-376.
  • Karasoy, A. T. (1995). Management of Exchange Rate Risk in Turkish Banking Sector: A Model and Tests. Central Bank of the Republic of Turkey, Research Department, Discussion Paper , No:9602.
  • Keser, U. (2011). The Effect of Exchange Rate Risk on the Stock Prices of Foreign Capital Companies. Unpublished M.Sc. Dissertation, Marmara University, Institute of Social Sciences, Istanbul.
  • Koray, F. (1993). Inflation Variability and the Turkish Economy. Applied Economics , 25, 787-793.
  • Levi, M. (1996). International Finance: The Markets and Financial Management of Multinational Business. Third Edition, Mc-Graw Hill, USA.
  • Ma, C. K. & Kao, G. V. (1990). On Exchange Changes and Stock Prices Reactions. Journal of Business Finance and Accounting , 17, 441-450.
  • MacKinnon, J. G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics , 11, 601–618.
  • Manual of Energy Investor. (2012). http://www.epdk.gov.tr/documents/strateji/rapor_yayin/yatirimciel_kitabi/Sgb_Rapor_Yayin_Y atirimciel_Kitabi_Tr_2012_y6Xj7FNVt7F6.pdf.
  • Merikas, A. G. (1999). The Exchange Rate Exposure of Greek Banking Institutions. Managerial Finance , 25(8), 52-60.
  • Onal, Y. B., Doganlar, M. & Canbas, S. (2002). Döviz Kuru Riskinin Özel Türk Bankalarının Hisse Senedi Fiyatlarına Etkisinin Araştırılması. ISE Review , 6(22), 17-33.
  • Phillips, P. C. B. & Perron, P. (1988). Testing for Unit Root on the Time Series Regression. Biometrika, 75(2), 335-346.
  • Republic of Turkey Ministry of Foreign Affairs. (2009). The Energy Strategy of Turkey. http://www.mfa.gov.tr/data/DISPOLITIKA/EnerjiPolitikasi/T%C3%BCrkiye'nin%20Enerji%20 Stratejisi%20(Ocak%202009).pdf
  • Sanli, B. (2012). Web Page. http://www.barissanli.com
  • Savas, I. & Can, I. (2011). Euro-Dollar Parity and Effects of the Real Exchange Rates on the Index of IMKB 100. Eskisehir Osmangazi University Journal of Economics and Administrative Sciences , 6(1), 323339.
  • Turkish Statistical Institute. (2011). http://www.tuik.gov.tr
  • Undersecretariat of Treasury. (2011). http://www.treasury.gov.tr
  • Zanbak, M. (2008). Foreign Exchange Exposure: An Empirical Analysis of Turkey. Unpublished M.Sc. Dissertation, Akdeniz University, Institute of Social Sciences, Antalya.

Downloads

No downloads have been recorded for this article yet. Figures appear here once readers begin downloading the full text.

How to Cite

Kapusuzoglu, A., & Karan, M. B. (2013). The Effect of the Exchange Rate Risk on the Stock Prices of the Energy Companies. Journal of Economics and Behavioral Studies, 5(2), 106-116. https://doi.org/10.22610/jebs.v5i2.385

Share this article

License

Copyright (c) 2013 Ayhan Kapusuzoglu, Mehmet Baha Karan (Author)

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Author (s) should affirm that the material has not been published previously. It has not been submitted and it is not under consideration by any other journal. At the same time author (s) need to execute a publication permission agreement to assume the responsibility of the submitted content and any omissions and errors therein. After submission of revised paper in the light of suggestions of the reviewers, the editorial team  edits and formats manuscripts to bring uniformity and standardization in published material.

This work will be licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) and under condition of the license, users are free to read, copy, remix, transform, redistribute, download, print, search or link to the full texts of articles and even build upon their work as long as they credit the author for the original work. Moreover, as per journal policy author (s) hold and retain copyrights without any restrictions.

Keywords

Section

Research Paper

Published in

Vol. 5 No. 2 (2013) Monetary Union, Behavioural Markets & Service Quality View issue contents

Published

2013-02-28

Submissions

Have research to publish? Journal of Economics and Behavioral Studies welcomes submissions.

Make a Submission