THE RELATIONSHIP BETWEEN STOCK PERFORMANCE AND THE EFFICIENCY IN TURKISH BANKING SECTOR
Year 2015,
Volume: 16 Issue: 2, 203 - 215, 01.07.2015
Hakan Aygören
M. Ensar Yeşilyurt
Bülent Güloğlu
İlhan Küçükkaplan
Abstract
This study aims to investigate the relationship between efficiency and the stock performance of the banking sector in Turkey. Efficiency analysis is conducted via Stochastic Frontier Analysis SFA . Subsequently, the market-to-book value as a measure of stock performance is regressed against the percentage change in efficiency using panel data analysis. SFA shows that the concentration ratios and capital adequacy ratio have a positive effect on the efficiency of stocks, whereas the number of employees per unit of branches and age influence stocks negatively. The results also show that investors perceive efficiency to be a significant factor in terms of stock performance.
References
- AHMAD, N.H., Noor, M.A.N.M (2011). The determinants efficiency and profitability of World Islamic Banks. 2010 International Conference on E-business, Management and Economics, Hong Kong.
- AIGNER, D., Lovell, C.A.K., Schmidt, P. (1977). Formulation and estimation of Stochastic Frontier Production function models. Journal of Econometrics, 6, pp.21-37.
- AKTAŞ, H. (1999). Türk bankacılık sektöründe verimlilik: Kamu ve özel bankaların karşılaştırılması. Yöneylem Araştırması ve Endüstri Mühendisliği 20. Ulusal Kongresi, 8-9 Haziran, Kara Harp Okulu, Ankara.
- AVKIRAN, N.K. (1999). The evidence on efficiency gains: The role of mergers and the benefits to the public. Journal of Banking and Finance, 23, pp.991-1013.
- BALTAGI, B., Lee, Q. (1995). Testing AR (1) against MA (1) disturbances in an error component model. Journal of Econometrics, 68, pp.133-151.
- BALTAGI, B.H. (2008). Econometric analysis of panel data, John Wiley and Sons, England.
- BANKING REGULATION AND SUPERVISION AGENCY (BRSA), 2010
- BATTESE, G.E., COELLI, T.J. (1995). A model for technical inefficiency effects in a Stochastic Frontier Production function for panel data. Empirical Economics, 20, pp.325- 332.
- BATTESE, G.E., CORRA, G.S. (1977). Estimation of a production frontier model: With application to the pastoral zone of eastern Australia. Australian Journal of Agricultural Economics, 21, pp.169-179.
- BERGER, A.N., HANNAN, T.H. (1993). Using efficiency measures to distinguish among alternative explanations of the structure-performance relationship in banking. Finance and Economics Discussion Series 93-18, Board of Governors of the Federal Reserve System (U.S.).
- BERGER, A.N., HUMPHREY, D.B. (1991). The dominance in efficiencies over scale and product mix economies in banking. Journal of Monetary Economics, 28, pp.117-148.
- BERGER, A.N., HUMPHREY, D.B. (1997). Efficiency of financial Institutions: International survey and directions for the future research. European Journal of Operational Research, 98, pp.175-212.
- BERGER, A.N., (1995). The profit-structure relationship in banking-Tests of market-power and efficient-structure hypotheses. Journal of Money, Credit, and Banking, 27 (2): pp.401- 431.
- BROCKETT, P. L., COOPER, W. W., GOLDEN, L. L., ROUSSEAU, J. J., WANG, Y. (2005). Financial intermediary versus production approach to efficiency of marketing distribution systems and organizational structure of insurance companies. The Journal of Risk and Insurance, 72, pp.393-412.
- CANHOTO, A., DERMINE, J. (2003). A note on banking efficiency in Portugal: New vs. old banks. Journal of Banking and Finance, 27, pp.2087-2098.
- CHEN, J.K., MASON, J.R., HIGGINS, E.J. (2001). Does bank Efficiency change with the Business Cycle? The relationship between monetary policy. Economic growth, and bank condition. Mimeo. Emporia University.
- CHU, S.F., LIM, G.H. (1998). Share performance and profit efficiency of banks in an oligopolistic market: Evidence from Singapore. Journal of Multinational Financial Management, 8, pp.155-168.
- COELLI, T. (1996). A GUIDE to FRONTIER Version 4.1: A computer progrem for frotier production function estimation. CEPA Working Paper 96/07, Department of Econometrics. University of New England, Armindale.
- COELLI, T.J. (1992). A computer program for frontier production function estimation: FRONTIER, Version 2.0. Economic Letters, 39, pp.29-32.
- COELLI, T.J., RAO P.D.S., O’DONNELL, C.J., BATTASE, G. (2005). An introduction to efficiency and productivity analysis. Second Edition, Springer.
- CUMMINS, J.D., WEISS, M. (1993). Measuring cost efficiency in the property-liability insurance industry. Journal of Banking and Finance, 17, pp.463-481.
- CUMMINS, J.D., WEISS, M., ZI, H. (1999). Organizational form and eficiency: The coexistence of stock and mutual in the property-liability insurers. Management Scienc, 45, pp.1254-1269.
- DEMSETZ, H. (1974). Two systems of belief about monopoly, in Harvey Goldschmid, et al., eds., Industrial Concentration: The New Learning, Little, Brown Boston.
- ERCAN, M.K., ÖZTÜRK, M.B., KÜÇÜKKAPLAN, İ., BAŞCI, E.S., DEMIRGÜNEŞ, K. (2007). Halka açık firmaların beta katsayılarının regresyon modeli ile tespiti ve halka açık olmayan firmalara yönelik uygulanabilirliği. Dozkuz Eylül Üniversitesi, IIBF Dergisi, 22, pp.295-324.
- FABBOZZI, F.J., MODIGLIANI, F., FERRI, M.G. (1994). Foundations of financial markets. New Jersey: Prentice-Hall
- GREENE, W.H. (2008). Econometric Analysis. 6th Ed., New Jersey: Prentice-Hall.
- HUMPHREY, D.B., PULLEY, L.B. (1997). Banks' responses to deregulation: Profits, technology, and efficiency. Journal of Money, Credit and Banking, 29, pp.73-93.
- KARIM, M.Z. A., CHAN, S.G., HASSAN, S. (2010). Bank efficiency and non-performing loans: Evidence from Malaysıa and Singapore. Prague Economic Papers, 2, pp.118-132
- KASMAN, A. (2002). Cost efficiency, scale economies, and technological progress in Turkish banking. Central Bank Review, 1, pp.1-20
- KHADDAJ, W.W. (2010). Evaluating banks efficiency in Syria: An empirical study using Data Envelopment Analysis. Social Science Research Network, pp.1-23.
- KIRKWOOD, J., NAHM, D. (2006). Australian banking efficiency and its relation to stock returns. The Economic Record, 82, pp.253-267.
- KUMBHAKAR, S., GHOSH S. C., MCGUCKIN J.T. (1991). A generalised production frontier approach for estimating determinants of inefficiency in U.S. dairy farms. Journal of Business, Economics and Statistics, 9, pp.279–286.
- LAMBSON, V.E. (1987). Is the concentration-profit correlation partly an artifact of lumpyt?. American Economic Review, 77, pp.731-33.
- MEEUSEN, W., van den BROECK, J. (1977). Efficiency estimation from Cobb-Douglas production functions with composed error. International Economic Review, 18, pp.435- 444.
- MILLER, S., NOULAS, A. (1996). The technical efficiency of large bank production. Journal of Banking and Finance, 28, pp.178-199.
- OLSON, J.A., SCHMIDT, P., WALDMAN, D.M. (1980). A Monte Carlo study of estimators of stochastic frontier production functions. Journal of Econometrics, 13 (1), pp.67-82.
- REIFSCHNEIDER, D., STEVENSON, R. (1991). Systematic departures from The Frontier: A framework for the analysis of firm inefficiency. International Economic Review, 323, pp.715-723.
- SCHMIDT, P. (1986). Frontier production functions. Econometric Reviews, 4 (2), pp.289-328.
- SHEPHERD, W.G. (1986). Tobin’s q and the structure-performance relationship: Comment. American Economic Review, 76, pp.1205-1210.
- SHEPHERD, W.G., (1982). Economies of scale and monopoly profits. in J.V. Craven, ed., Industrial Organization, Antitrust, and Public Policy, Kluwer, Boston.
- STEVENSON, R. (1980). Likelihood functions for generalized Stochastic Frontier Estimation. Journal of Econometrics, 13, pp.58 66.
- Thi N.A.V., VENCAPPA, D. (2008). Does the Entry Mode of Foreign Banks Matter for Bank Efficiency? Evidence from the Czech Republic, Hungary, and Poland. William Davidson Institute Working Paper, Number 925.
- TIMME, S.G., YANG, W.K. (1991). On the use of a direct measure of efficiency in testing structure-performance relationship, Working Paper, Georgia State University.
- ZAIM, O. (1995). The effect of financial liberalization on the efficiency of Turkish commercial banks. Applied Financial Economies, 5, pp.257-264.
TÜRK BANKACILIK SEKTÖRÜNDE HİSSE SENEDİ PERFORMANSI VE ETKİNLİK ARASINDAKİ İLİŞKİ
Year 2015,
Volume: 16 Issue: 2, 203 - 215, 01.07.2015
Hakan Aygören
M. Ensar Yeşilyurt
Bülent Güloğlu
İlhan Küçükkaplan
Abstract
Bu çalışma Türkiye’deki bankacılık sektöründeki hisse senedi performansı ve etkinlik arasındaki ilişkiyi analiz etmektir. Etkinlik analizleri Stokastik Frontier Analizi SFA ile gerçekleştirilmiştir. Daha sonra bir hisse senedi performans ölçümü olarak piyasa defter değeri, panel veri analizleri kullanılarak etkinliğin oransal değişimiyle regresyona tabi tutulmuştur. SFA, şube başına çalışan sayısı ve banka yaşı hisse senetlerinin etkinlikleri üzerinde negatif yoğunlaşma oranı ve sermaye yeterlilik oranı pozitif bir etkiye sahip olduğunu göstermiştir. Sonuçlar aynı zamanda hisse senedi performansını değerlendirirken bankaların etkinlik seviyesini anlamlı bir faktör olarak dikkate aldıklarını göstermiştir
References
- AHMAD, N.H., Noor, M.A.N.M (2011). The determinants efficiency and profitability of World Islamic Banks. 2010 International Conference on E-business, Management and Economics, Hong Kong.
- AIGNER, D., Lovell, C.A.K., Schmidt, P. (1977). Formulation and estimation of Stochastic Frontier Production function models. Journal of Econometrics, 6, pp.21-37.
- AKTAŞ, H. (1999). Türk bankacılık sektöründe verimlilik: Kamu ve özel bankaların karşılaştırılması. Yöneylem Araştırması ve Endüstri Mühendisliği 20. Ulusal Kongresi, 8-9 Haziran, Kara Harp Okulu, Ankara.
- AVKIRAN, N.K. (1999). The evidence on efficiency gains: The role of mergers and the benefits to the public. Journal of Banking and Finance, 23, pp.991-1013.
- BALTAGI, B., Lee, Q. (1995). Testing AR (1) against MA (1) disturbances in an error component model. Journal of Econometrics, 68, pp.133-151.
- BALTAGI, B.H. (2008). Econometric analysis of panel data, John Wiley and Sons, England.
- BANKING REGULATION AND SUPERVISION AGENCY (BRSA), 2010
- BATTESE, G.E., COELLI, T.J. (1995). A model for technical inefficiency effects in a Stochastic Frontier Production function for panel data. Empirical Economics, 20, pp.325- 332.
- BATTESE, G.E., CORRA, G.S. (1977). Estimation of a production frontier model: With application to the pastoral zone of eastern Australia. Australian Journal of Agricultural Economics, 21, pp.169-179.
- BERGER, A.N., HANNAN, T.H. (1993). Using efficiency measures to distinguish among alternative explanations of the structure-performance relationship in banking. Finance and Economics Discussion Series 93-18, Board of Governors of the Federal Reserve System (U.S.).
- BERGER, A.N., HUMPHREY, D.B. (1991). The dominance in efficiencies over scale and product mix economies in banking. Journal of Monetary Economics, 28, pp.117-148.
- BERGER, A.N., HUMPHREY, D.B. (1997). Efficiency of financial Institutions: International survey and directions for the future research. European Journal of Operational Research, 98, pp.175-212.
- BERGER, A.N., (1995). The profit-structure relationship in banking-Tests of market-power and efficient-structure hypotheses. Journal of Money, Credit, and Banking, 27 (2): pp.401- 431.
- BROCKETT, P. L., COOPER, W. W., GOLDEN, L. L., ROUSSEAU, J. J., WANG, Y. (2005). Financial intermediary versus production approach to efficiency of marketing distribution systems and organizational structure of insurance companies. The Journal of Risk and Insurance, 72, pp.393-412.
- CANHOTO, A., DERMINE, J. (2003). A note on banking efficiency in Portugal: New vs. old banks. Journal of Banking and Finance, 27, pp.2087-2098.
- CHEN, J.K., MASON, J.R., HIGGINS, E.J. (2001). Does bank Efficiency change with the Business Cycle? The relationship between monetary policy. Economic growth, and bank condition. Mimeo. Emporia University.
- CHU, S.F., LIM, G.H. (1998). Share performance and profit efficiency of banks in an oligopolistic market: Evidence from Singapore. Journal of Multinational Financial Management, 8, pp.155-168.
- COELLI, T. (1996). A GUIDE to FRONTIER Version 4.1: A computer progrem for frotier production function estimation. CEPA Working Paper 96/07, Department of Econometrics. University of New England, Armindale.
- COELLI, T.J. (1992). A computer program for frontier production function estimation: FRONTIER, Version 2.0. Economic Letters, 39, pp.29-32.
- COELLI, T.J., RAO P.D.S., O’DONNELL, C.J., BATTASE, G. (2005). An introduction to efficiency and productivity analysis. Second Edition, Springer.
- CUMMINS, J.D., WEISS, M. (1993). Measuring cost efficiency in the property-liability insurance industry. Journal of Banking and Finance, 17, pp.463-481.
- CUMMINS, J.D., WEISS, M., ZI, H. (1999). Organizational form and eficiency: The coexistence of stock and mutual in the property-liability insurers. Management Scienc, 45, pp.1254-1269.
- DEMSETZ, H. (1974). Two systems of belief about monopoly, in Harvey Goldschmid, et al., eds., Industrial Concentration: The New Learning, Little, Brown Boston.
- ERCAN, M.K., ÖZTÜRK, M.B., KÜÇÜKKAPLAN, İ., BAŞCI, E.S., DEMIRGÜNEŞ, K. (2007). Halka açık firmaların beta katsayılarının regresyon modeli ile tespiti ve halka açık olmayan firmalara yönelik uygulanabilirliği. Dozkuz Eylül Üniversitesi, IIBF Dergisi, 22, pp.295-324.
- FABBOZZI, F.J., MODIGLIANI, F., FERRI, M.G. (1994). Foundations of financial markets. New Jersey: Prentice-Hall
- GREENE, W.H. (2008). Econometric Analysis. 6th Ed., New Jersey: Prentice-Hall.
- HUMPHREY, D.B., PULLEY, L.B. (1997). Banks' responses to deregulation: Profits, technology, and efficiency. Journal of Money, Credit and Banking, 29, pp.73-93.
- KARIM, M.Z. A., CHAN, S.G., HASSAN, S. (2010). Bank efficiency and non-performing loans: Evidence from Malaysıa and Singapore. Prague Economic Papers, 2, pp.118-132
- KASMAN, A. (2002). Cost efficiency, scale economies, and technological progress in Turkish banking. Central Bank Review, 1, pp.1-20
- KHADDAJ, W.W. (2010). Evaluating banks efficiency in Syria: An empirical study using Data Envelopment Analysis. Social Science Research Network, pp.1-23.
- KIRKWOOD, J., NAHM, D. (2006). Australian banking efficiency and its relation to stock returns. The Economic Record, 82, pp.253-267.
- KUMBHAKAR, S., GHOSH S. C., MCGUCKIN J.T. (1991). A generalised production frontier approach for estimating determinants of inefficiency in U.S. dairy farms. Journal of Business, Economics and Statistics, 9, pp.279–286.
- LAMBSON, V.E. (1987). Is the concentration-profit correlation partly an artifact of lumpyt?. American Economic Review, 77, pp.731-33.
- MEEUSEN, W., van den BROECK, J. (1977). Efficiency estimation from Cobb-Douglas production functions with composed error. International Economic Review, 18, pp.435- 444.
- MILLER, S., NOULAS, A. (1996). The technical efficiency of large bank production. Journal of Banking and Finance, 28, pp.178-199.
- OLSON, J.A., SCHMIDT, P., WALDMAN, D.M. (1980). A Monte Carlo study of estimators of stochastic frontier production functions. Journal of Econometrics, 13 (1), pp.67-82.
- REIFSCHNEIDER, D., STEVENSON, R. (1991). Systematic departures from The Frontier: A framework for the analysis of firm inefficiency. International Economic Review, 323, pp.715-723.
- SCHMIDT, P. (1986). Frontier production functions. Econometric Reviews, 4 (2), pp.289-328.
- SHEPHERD, W.G. (1986). Tobin’s q and the structure-performance relationship: Comment. American Economic Review, 76, pp.1205-1210.
- SHEPHERD, W.G., (1982). Economies of scale and monopoly profits. in J.V. Craven, ed., Industrial Organization, Antitrust, and Public Policy, Kluwer, Boston.
- STEVENSON, R. (1980). Likelihood functions for generalized Stochastic Frontier Estimation. Journal of Econometrics, 13, pp.58 66.
- Thi N.A.V., VENCAPPA, D. (2008). Does the Entry Mode of Foreign Banks Matter for Bank Efficiency? Evidence from the Czech Republic, Hungary, and Poland. William Davidson Institute Working Paper, Number 925.
- TIMME, S.G., YANG, W.K. (1991). On the use of a direct measure of efficiency in testing structure-performance relationship, Working Paper, Georgia State University.
- ZAIM, O. (1995). The effect of financial liberalization on the efficiency of Turkish commercial banks. Applied Financial Economies, 5, pp.257-264.