THE RELATIONSHIP OF LIQUIDITY RISK AND FINANCIAL PERFORMANCE: A COMPARATIVE ANALYSIS FOR PRIVATE AND FOREIGN CAPITAL BANKS

Yıl 2023, Sayı: 45, 600 - 635, 31.12.2023

Nigar Alev

https://doi.org/10.14520/adyusbd.1356291

Öz

While insufficient liquidity is one of the main causes of bank failure, the low liquidity premium of liquid assets, that is, lower returns than illiquid assets, can also lead to bank failures. For this reason, liquidity risk and liquidity risk management are issues that banks should give importance to. In this study, it is aimed to examine the relationship between the performance of 8 private commercial banks and 11 commercial banks with foreign capital in Turkey and as well as liquidity risk and liquidity risk management in the period of 2010:q1-2022:q4. For this purpose, two different models have been established, in which the average return on assets and the average return on equity ratio are dependent variables. The ratio of financing gap to total assets, the ratio of total loans to total assets, the ratio of liquid assets to total assets, the ratio of total equity to total assets, the natural logarithm of total assets, the ratio of total loans to total deposits and the ratio of liquid assets to short-term liabilities are the independent variables in the models. The created models were estimated by the Soft Generalized Least Squares method. Findings from the regression analyzes revealed that banks with foreign capital are more successful in liquidity risk management. Parallel to this result, the findings showed that the liquidity risk increased the performance of foreign banks and decreased the performance of private banks.

Anahtar Kelimeler

Liquidity risk, ROA, ROE, Panel data analysis.

LİKİDİTE RİSKİ VE FİNANSAL PERFORMANS İLİŞKİSİ: ÖZEL VE YABANCI SERMAYELİ BANKALAR İÇİN KARŞILAŞTIRMALI BİR ANALİZ

Öz

Yetersiz likidite, banka başarısızlığının ana nedenlerinden biri olmakla birlikte, likit varlıkların sahip olduğu düşük likidite primi, yani likit olmayan varlıklara göre getirisinin daha düşük olması da banka başarısızlıklarına yol açabilmektedir. Bu nedenle likidite riski ve likidite riski yönetimi bankaların önem vermesi gereken konulardandır. Bu bağlamda bu çalışmada, Türkiye'deki 8 özel ticari banka ve 11 yabancı sermayeli ticari bankanın performansı ile likidite riski ve likidite riski yönetimi arasındaki ilişkinin 2010 yılının ilk çeyreğinden 2022 yılının dördüncü çeyreğine kadar incelenmesi amaçlanmıştır. Bu amaçla ortalama aktif getirisi ve ortalama özsermaye getirisi oranının bağımlı değişken olduğu iki farklı model kurulmuştur. Finansman açığının toplam varlıklara oranı, toplam kredinin toplam varlıklara oranı, likit varlıkların toplam varlıklara oranı, toplam öz sermayenin toplam varlıklara oranı, toplam varlıkların doğal logaritması, toplam kredilerin toplam mevduatlara oranı ve likit aktiflerin kısa vadeli yükümlülüklere oranı modellerde yer alan bağımsız değişkenlerdir. Bankalara ait veriler Türkiye Bankalar Birliğinin veri tabanından elde edilmiştir. Oluşturulan modeller Esnek Genelleştirilmiş En Küçük Kareler yöntemi ile tahmin edilmiştir. Regresyon analizlerinden elde edilen bulgular yabancı sermayeli bankaların likidite riski yönetiminde daha başarılı olduğunu ortaya koymuştur. Bu sonuca paralel olarak bulgular, likidite riskinin yabancı sermayeli bankaların performansını arttırdığı özel sermayeli bankaların performansını düşürdüğünü göstermiştir.

Anahtar Kelimeler

Likidite riski, ROA, ROE, Panel veri analizi

Kaynakça

• Abbas, K.A.D. ve Mourouj, T.H. (2015). “The Impact of Bank Liquidity Risk Management on Banking Financial Performance, An Applied Study in a Sample of Private Banks.” Journal of Administration and Economics, 5(20), 73-100.
• Akgüneş, A.O. (2021). “Finansal Risklerin Banka Karlılığı Üzerine Etkisi: BIST Banka Endeksi Üzerine Bir Uygulama.” Muhasebe Bilim Dünyası Dergisi, 23(3), 556-576. Doi:10.31460/Mbdd.833699
• Ayaydın, H. ve Karaaslan, İ. (2014). “Likidite Riski Yönetimi: Türk Bankacılık Sektörü Üzerine Bir Araştırma.” Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 5(11), 237-256.
• Barth, J. R., Nolle, D. E., Phumiwasana, T. ve Yago, G. (2003). “A Cross-Country Analysis of the Bank Supervisory Framework and Bank Performance,” Financial Markets, Institutions Instruments, 12, 67-120.
• Badreldin, F.S. ve Bilal, Z.O. (2016). “The Impact of Liquidity Management on Financial Performance in Omani Banking Sector.” International Journal of Applied Business and Economic Research. New Delhi: Serials Publ., ISSN 0972-7302, ZDB-ID 2460416-1,14(1), 545-565.
• Baltagi, B.H. ve Wu, P.X. (1999). “Unequally Spaced Panel Data Regression Models with AR(1) Disturbances.” Econometric Theory, 15(6), 814-823.
• Berrani, M. ve Hacini, I. (2021). “The Role of Corporate Governance in İmproving The Banks Financial Performance Empirical Evidence from Listed Banks in The Saudi Market, Journal of Economic Integration, 9(2), 651-667.
• Bhargava, A., Franzni, L. ve Narendranathan W. (1982). “Serial Correlation and Fixed Effect Model.” The Review of Economic Studies, 49, 533-549.
• Breusch, T. ve Pagan, A. (1980). “The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics.” Review of Economic Studies, 47, 239-253.
• Brown, M. B. ve Forsythe, A. B. (1974). “The Small Sample Behavior of Some Statistics Which Test the Equality of Several Means.” Technometrics, 16, 129-132.
• Bryman, A. ve Cramer, D. (2001). Quantitative Data Analysis with SPSS Release 10 for Windows: A guide for Social Scientists. Routledge by Published, USA and Canada.
• Chinoda, T. (2014). “The Determinants of Commercial Banks Profitability in Zimbabwe.” IOSR Journal of Economics and Finance, 5(6), 69-80.
• Çelik, S. ve Akarım, Y.D. (2012). “Likidite Riski Yönetimi: Panel Veri Analizi ile İMKB Bankacılık Sektörü Üzerine Ampirik Bir Uygulama.” Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1-17.
• Diamond, D.W. ve Rajan, R.G. (2001). “Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking.” The Journal of Political Economy, 109(2), 287-327.
• Duttweiler, R. (2009). Managing Liquidity in Banks: A Top Down Approach. Print ISBN:9780470740460, Online ISBN:9781119206415 |DOI:10.1002/9781119206415
• Edem, D.B. (2017). “Liquidity Management and Performance of Deposit Money Banks in Nigeria (1986 – 2011): An Investigation.” International Journal of Economics, Finance and Management Sciences. 5(3), 146-161. doi: 10.11648/j.ijefm.20170503.13
• Eyob, K. (2019). The Impact of Liquidity Risk on Financial Performance of Commercial Banks in Ethiopia. A Thesis Submitted for the Requirements for the Degree of Magister of Science in Accounting and Finance. Addis Ababa, School of Graduate Studies, Addis Ababa University, Ethiopia.
• Fahrul, P. S. ve Buyung, S. (2018). “Effect of Equity to Assets Ratio (EAR), Size, and Loan to Assets Ratio (LAR) on Bank Performance.” IOSR Journal of Economics and Finance, 9(4), 1-6.
• Falconer, B. (2001). “Structural Liquidity: The Worry Beneath The Surface”, Balance Sheet, 9(3), 13-19.
• Friedman, M. (1937). “The Use of Ranks to Avoid the Assumption of Normality Implicit in the Analysis of Variance.” Journal of the American Statistical Association, 32, 675-701.
• Greene, W. (2000). Econometric Analysis. Upper Saddle River, Nj: Prentice-Hall.
• Güneş, N. (2015). “Banka Karlılığının Belirleyicileri: 2002-2012 Dönemi Türk Mevduat Bankaları Üzerine Bir İnceleme.” Süleyman Demirel Üniversitesi İ.İ.B.F. Dergisi, 20(3), 265-282.
• Hacini, I., Boulenfad, A. ve Dahou, K. (2021). “The Impact of Liquidity Risk Management on the Financial Performance of Saudi Arabian Banks.” Emergency Markets Journal, 11(1), 67-75.
• Işık, Ö. (2017). “Internal Determinants of Profitability of State, Private and Foreign Owned Commercial Banks Operating in Turkey.” Journal of Economics, Finance and Accounting, 4(3), 342-353.
• Işık, Ö. (2018). “Küresel Finansal Kriz Öncesi ve Sonrasında Türkiye’de Bankacılık Sektörünün Performansı.” Toros Üniversitesi İİSBF Sosyal Bilimler Dergisi, 5(9), 341-368.
• Kadioğlu, E., Telçeken, N. ve Öcal, N. (2017). “Effect of the Asset Quality on the Bank Profitability.” International Journal Economic and Finance, 9(7), 60-68.
• Kaya, Z., Şahin, L., Hacıevliyagil, N. ve Ekşi, İ. (2016). “Bankaların Kredi Verme Davranışlarında Varlık Kalitesinin Etkisi.” Finansal Araştırmalar ve Çalışmalar Dergisi, 8(14), 147-160.
• Khalid, M. S., Rashed, M., ve Hossain, A. (2019). “The Impact of Liquidity Risk on Banking Performance: Evidence from the Emerging Market.” Global Journal of Management and Business Research, 19(C4), 47-52.
• Köklü, N., Büyüköztürk, Ş. ve Çokluk-Bökeoğlu, Ö. (2007). Sosyal Bilimler için İstatistik. Pagem Akademi Yayıncılık, Ankara.
• Laminfoday, D. (2018). The Effect of liquidity risk management on financial performance of commercial banks in Sierra Leone. A research proposal submitted for the award of the degree of Magister of business administration. Nairobi, School of business, University Of Nairobi.
• Laurine, C. (2013). “Zimbabwean Commercial Banks Liquidity Risk Determinants after Dollarisation.” Journal of Applied Finance & Banking, 3(6),1-6.
• Levene, H. (1960). Robust Tests for Equality of Variances. In: Countributions to Probability and Statistics: Stanford, California Olkin, I., Ghurye, G., Hoeffding, W., Madow, W.G. and Mann, H.B. (Ed.). Stanford University Press, California: 278-292.
• Ndoka, S., Islami, M., Shima, J. (2017). “The Impact of Liquidity Risk Management on The Performance of Albanian Commercial Banks During the Period 2005-2015.” International Journal of Social Sciences and Education Research, 3(1), 70-76.
• Osuagwu, E.S. (2014). “Determinates of Bank Profitability in Nigeria.” International Journal of Economicsand Finance, 6(12), 46-63.
• Pesaran, M.H. (2004). General Diagnostic Testsfor Cross Section Dependence in Panels. University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, No. 0435.
• Pesaran, M.H. (2007). “A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence.” Journal of Applied Econometrics, 22(2007), 265-312.
• Poorman, F. Jr., Blake, J. (2005). Measuring and Modeling Liquidity Risk: New Ideas and Metrics. Financial Managers Society Inc. White Paper.
• Saldanlı, A. ve Aydın, M. (2016). “Bankacılık Sektöründe Karlılığı Etkileyen Faktörlerin Panel Veri Analizi ile İncelenmesi: Türkiye Örneği.” İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi, 24, 1-9.
• Saleh, T. A. (2014). “Bank Liquidity Risk and Performance: An Empirical Study of the Banking System in Jordan.” Research Journal of Finance and Accounting, 5(12), 155- 164.
• Sviatlana, H., ve Lara, G. (2017). “Management Strategies for Bank’s Liquidity Risk”. International Journal of Economics and Finance, 9(6), 98- 110.
• Taşkın, F.D. (2011). “Türkiye’de Ticari Bankaların Performansını Etkileyen Faktörler.” Ege Akademik Bakış, 11(2), 289-298.
• Yerdelen Tatoğlu, F. (2016). Panel Veri Ekonometrisi Stata Uygulamalı. Beta Basım Yayım Dağıtım, İstanbul.