Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange

Abstract

Abstract:The leading Polish exporting firms were analysed in the context of a foreign exchange rate exposure. The exchange rates were selected on a criterion of the size of a trade with foreign partners. It could have been expected that for an exporter the stock return is positively linked with a change in a foreign exchange rate. The analysed sample consists of the data from the second half of 2004 to the beginning of 2015. It has been found that EUR, USD and CZK exchange rates have a negative impact, whereas GBP and RUB exchange rates have a positive impact.Keywords: currency risk; export; PLN currency; stock returns; foreign exchange rate exposure; fx exposure; Warsaw Stock Exchange; biggest Polish exporters; EUR; USD; CZK; GBP; RUB.Reference to this paper should be made as follows: Drachal, K. (2017) 'Foreign exchange rate exposure of selected exporting companies from the Warsaw Stock Exchange', Global Business and Economics Review, Vol. 19, No. 1, pp.15-37. Biographical notes:Krzysztof Drachal is a mathematics graduate with a strong professional interest in (quantitative) finance and various other aspects of financial markets. He has published over 50 papers on economics, finance and mathematics. Most of his interest lay in stock exchanges, real estate markets, energy markets and commodities. Moreover, he is also engaged in various editorial and didactic activities.