Özet:

Aim of this study is to determine the dollar and euro exchange rate exposures of industrial stock indices for the period of January 1999 June 2009 in Istanbul Stock Exchange The study examines financial manufacturing services indices and fifteen subindices Johansen cointegration test results indicate that there is a long run relationship among these indices and exchange rates Exhange rate exposure differs among the industries Although services industries have negative forex beta financial and manufacturing industries have positive forex beta for the dollar exchange rate On the other hand financial and services industries have negative forex beta while manufacturing industry have positive forex beta for the euro exchange rate Results indicate that there is high level sensitivity for both dollar and euro exchange rates in services industries Financial index sensivity is at a low level Short term relationship between industries and exchange rates are analyzed by Error Correction Model Error Correction findings show that food beverage industry has high correction coefficient while transportation industry has a low one Key Words: Forex Beta Exchange Rate Sensitivity Cointegration Error Correction Model

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