Exchange Rate Exposure: A f irm and Industry Level Investigation

Exchange rate exposure has become one of the most important subjects in international finance area after collapsing fixed exchange rate system. Several studies have been devoted to explore the relationship between exchange rate changes and the value of the firm. This study aims to investigate this relationship in the Istanbul Stock Exchange Market. The results of univariate model and multivariate models indicate that 30 % of the firms are affected negatively against exchange rate changes. The results are very sensitive to the chosen model and sub-period test results imply that exposure has a time-varying character.