The exchange rate risk in Turkey: Measurement of forex betas of industrial sub-sector indices traded on BIST100

Exchange rate is one of the most important indicators in the economy in an environment where economic uncertainties increase. When viewed from a broad perspective, the change in the exchange rate directly affects businesses and sectors as much as it affects economies. Currency risk is the negative impact on the financial situation of businesses and sectors due to unexpected exchange rate fluctuations that may occur in the future. In this study, it is aimed to determine the exchange rate sensitivities of industry sub-sector stock indices in BIST in terms of US Dollar and Euro currencies. Within the scope of the study, monthly data for the period of January 2013-December 2019 were taken as a basis; 7 sub-sectors such as food, wood-paper&printing, chemistry, stone-soil, textile, basic metal industry and metal goods-machinery are based on stock index returns. Exchange rate sensitivity was tested separately for US Dollar and Euro rates with simple regression analysis. Results show that statistically significant results were obtained in 5 sub-sectors in terms of US Dollar and only 2 sub-sector in terms of Euro. It has been concluded that all sub-sector indices with significant results have negative forex beta.