European Financial and Accounting Journal 2014, 9(2):47-65 | DOI: 10.18267/j.efaj.119

Exchange Rate Exposure and its Determinants: Evidence on Hungarian Firms

Lucie Tomanová
Ing. Lucie Tomanová - Ph.D. Student, Silesian University in Opava, School of Business Administration in Karvina, Univerzitni namesti 1394/3, 734 01 Karvina, .

This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 - 2014, resp. 2003 - 2012 in case of cash flow analysis. Stock prices exposure analysis showed that significant number of these firms is exposed: 18.4 % of publicly listed companies were significantly exposed in period 2007 - 2014 which is significantly higher than in previous period. According to the cash flow analysis results, 34 % of firms are exposed, whilst 45.3 % of small firms are significantly exposed. The measuring of exchange rate risk and hedging is therefore crucial for reduction of the firms' uncertainty. Cross-sectional analysis suggests that the turnover and foreign sales are also important determinants of firms' exchange rate exposure.

Keywords: Cash flow, Exchange rate exposure, Stock prices
JEL classification: C31, C32, F31, G32

Published: June 1, 2014  Show citation

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Tomanová, L. (2014). Exchange Rate Exposure and its Determinants: Evidence on Hungarian Firms. European Financial and Accounting Journal9(2), 47-65. doi: 10.18267/j.efaj.119
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