FINANCIAL BREAKS AN EXAMINATION ON TURKISH BANKING SECTOR

Abstract

This paper detects the sudden volatility shifts in Turkish banking stock returns following the process of Iterated Cumulative Squared Returns (ICSS) and investigates both the local and global causes of volatility shifts. The results indicate that examined banking sector returns have exposed to fifteen volatility shifts, which have significant impact on volatility persistence. Overall, the results provide evidence that banking sector returns of Turkey is highly affected by both local and global political, economic, and social events.

Keywords

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FİNANSAL KIRILGANLIKLAR TÜRK BANKACILIK SEKTÖRÜ ÜZERİNE BİR UYGULAMA

Abstract

Bu çalışma Türk bankalarına ait hisse senetlerine ilişkin getirilerde meydana gelen ani oynaklık değişimlerini Yinelenen Birikimli Kareler yöntemi aracılığıyla belirlemekte ve söz konusu kırılmaların olası yerel ve küresel nedenlerini incelemektedir. Sonuçlar bankacılık sektörüne ait hisse senetleri getiri serilerinde on beş adet ani oynaklık kırılması meydana geldiğini göstermiştir. Çalışma sonucunda, Türk bankacılık sektör hisse senedi getirilerinin yerel ve küresel nitelikteki siyasi ve ekonomik olaylardan etkilendiği saptanmıştır.

Keywords

• Finansal kırılganlık, Yinelenen Birikimli Kareler Metodu (ICSS), Bankacılık, GARCH

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