FİNANSAL RİSKLERİN BANKA KARLILIĞI ÜZERİNE ETKİSİ: BIST BANKA ENDEKSİ ÜZERİNE BİR UYGULAMA

Abstract

Bu çalışmada BIST Banka endeksinde bulunan bankaların karlılıklarının finansal risk ve makroekonomik değişkenler ile olan ilişkisi analiz edilmiştir. Çalışmada 2008-2019 dönemine ait veri seti kullanılmıştır. Çalışmada bağımlı değişkenler aktif karlılığı, öz kaynak karlılığı ve net faiz marjı olup her bir değişken için ayrı panel regresyon denklemi (FMOLS-DOLS) kurulmuştur. Yapılan analizler sonucu elde edilen bulgulara göre enflasyon ve likidite riskinin banka karlılığını arttırdığı ancak piyasa kapitilizasyonu ve kredi riskinin ise istatistiksel olarak anlamlı bir etkisinin olmadığı sonucuna ulaşılmıştır.

Keywords

• Banka Karlılığı
• Finansal Risk
• Kredi Riski
• FMOLS-DOLS
• BIST Banka Endeksi

IMPACT OF FINANCIAL RISKS ON BANK PROFITABILITY: AN APPLICATION ON BIST BANK INDEX

Abstract

In this study, the relationship of banks profitability with financial risk and macroeconomic variables is analyzed. The dataset used in this study belong to the 2008-2019 period. In the study, a separate panel regression equation (FMOLS-DOLS) was established for each variable which is a dependent variable as ROA, ROE, and ROS. According to the analysis results, it was concluded that inflation and liquidity risk increased the profitability of the banks, but market capitalization and credit risk did not have a statistically significant effect.

Keywords

• Bank Profitability
• Financial Risk
• Credit Risk
• FMOLS-DOLS
• BIST Bank Index

References

1. Adusei, M. 2015. “Bank Profitability: Insights from The Rural Banking Industry in Ghana”, Cogent Economics and Finance, 3(1), 1-15.
2. Ali, M. 2015. Bank Profitability and Its Determinants in Pakistan: A Panel Data Analysis After Financial Crisis, MPRA Paper No. 67987.
3. Alp, A. ve Ban, Ü., Demirgüneş, K., Kılıç, S. 2010. “Türk Bankacılık Sektöründe Karlılığın İçsel Belirleyicileri” İMKB Dergisi, 12(46), 1-13.
4. Alper, D. and Anbar, A. 2011. “Bank Specific and Macroeconomic Determinants of Commercial Bank Profitability: Empirical Evidence from Turkey”, Business and Economics Research Journal, 2(2), 139-152.
5. Asthanasoglou, P.P., Delis, M. and Staitouras, C. 2006. “Determinants of Profitability in the South Eastern European Regions”, Journal of Financial Decision Making, 2, 1-17.
6. Ata, H.A. 2009. “Kriz Sonrası Türkiye’de Mevduat Bankaları Karlılığına Etki Eden Faktörler”, İsletme Fakültesi Dergisi, 10(2), 137-151.
7. Athanasoglou, P.P., Brissimis, S.N. and Delis, M.D. 2008. “Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability”, Journal of International Financial Markets, Institutions and Money, 18(2), 121-136.
8. Aydın, Y. 2019. “Türk Bankacılık Sektöründe Karlılığı Etkileyen Faktörlerin Panel Veri Analizi ile İncelenmesi”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 10(1), 181-189.

9. Belke, M. and Unal, E.A. 2017. “Determinants of Bank Profitability: Evidence From Listed and Non-Listed Banks in Turkey. Journal of Economics, Finance and Accounting (JEFA), 4(4), 404-416.
10. Ben Naceur, S. and Omran, M. 2008. The Effects on Bank Regulation, Competition, and Financial Reforms on MENA Banks Profitability. Working Papers 449, Economic Research Forum.
11. Bourke, P. 1989. “Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia,” Journal of Banking and Finance, 13, 65-79.
12. 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.
13. Demirgüç-Kunt, A. and Huizinga, H. 2000. Financial Structure and Bank Profitability, The World Bank Policy Research Working Paper, No. 2430.
14. Demirhan, D. 2013. “Effects of The Recent Financial Crisis on The Determınants of Bank Profitability: Case of Turkish Banking Industry”, Journal of Yasar University, 8(31), 5203-5228.
15. Dietrich, A. and Wanzenried, G. 2011. “Determinants of Bank Profitability Before and During The Crisis: Evidence From Switzerland”, Journal of International Financial Markets, Institutions and Money, 21(3), 307-327.
16. Engle, R.F. and Granger, C.W.J. 1987. “Cointegration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, 251-276.
17. Fang, J., Lau, C.K.M., Lu, Z., Tan Y. and Zhang, H. 2019. “Bank Performance in China: A Perspective from Bank Efficiency, Risk-Taking and Market Competition”, Pacific-Basin Finance Journal, 56, 290-309.
18. Goddard, J., Molyneux, P. and Wilson, J.O. 2004. “The Profitability of European Banks: A Cross‐Sectional and Dynamic Panel Analysis”, The Manchester School, 72(3), 363-381.
19. Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica, 37(3), 424-438.
20. Gülhan, Ü. ve Uzunlar, E. 2011. “ Bankacılık Sektöründe Kârlılığı Etkileyen Faktörler: Türk Bankacılık Sektörüne Yönelik Bir Uygulama”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(1), 341-368.
21. Gülmez, A. ve Yardımcıoğlu, F. 2012. “OECD Ülkelerinde Ar-Ge Harcamaları ve Ekonomik Büyüme İlişkisi: Panel Eşbütünleşme ve Panel Nedensellik Analizi (1990-2010)”, Maliye Dergisi, 163, 335-353.
22. Güneş, N. 2015. “Banka Kârlılığının Belirleyicileri: 2002-2012 Dönemi Türk Mevduat Bankaları Üzerine Bir İnceleme”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(3), 265-282.
23. Güngör, B. 2007. "Türkiye'de Faaliyet Gösteren Yerel ve Yabancı Bankaların Karlılık Seviyelerini Etkileyen Faktörler: Panel Veri Analizi”, İktisat İşletme ve Finans, 22(258), 40-63.
24. Hamit-Haggar, M. 2012. “Greenhouse Gas Emissions, Energy Consumption and Economic Growth: A Panel Cointegration Analysis from Canadian Industrial Sector Perspective”, Energy Economics, 34, 358-364.
25. Isik, Ö. and Belke, M. 2017. “An Empirical Analysis of the Determinants of Net Interest Margins of Turkish Listed Banks: Panel Data Evidence from Post-Crisis Era”, Sosyoekonomi, 25(34), 227-245.
26. Işık, Ö. 2018. “Küresel Finansal Kriz Öncesi ve Sonrasında Türkiye'de Bankacılık Sektörünün Performansı”, Toros Üniversitesi İİSBF Sosyal Bilimler Dergisi, 5(9), 341-368.
27. Kansoy, F. 2012. “The Determinants of Net Interest Margin in the Turkish Banking Sector: Does Bank OwnershipMatter?”, Journal of BRSA Banking and Financial Markets, 6(2), 13-49.
28. Kao, C. 1999. “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data”, Journal of Econometrics, 90, 1-44.
29. King, R.G. and Levine, R. 1993. “Finance and Growth: Schumpeter Might Be Right”, The Quarterly Journal of Economics, 18(3), 717-737.
30. Masood, O. and Ashraf, M. 2012. “Bank-Specific and Macroeconomic Profitability Determinants of Islamic Banks: The Case of Different Countries”, Qualitative Research in Financial Markets, 4(2), 255-268.
31. Maudos, J. and De Guevara, J.F. 2004. “Factors Explaining The Interest Margin in The Banking Sectors of The European Union, Journal of Banking and Finance, 28, 2259-2281.
32. Moulyneux, P. and Thornton J. 1992. “Determinants of European Bank Profitability: A Note”, Journal of Banking and Finance, 16, 1173-1178.
33. Ozili, P.K. 2017. “Bank Profitability and Capital Regulation: Evidence From Listed and Non-Listed Banks in Africa”, Journal of African Business, 18(2), 143-168.
34. Petria, N., Capraru, B. and Ihnatov, I. 2015. “Determinants of Banks Profitability: Evidence from EU 27 Banking Systems”, Procedia Economics and Finance, 20, 518-524.
35. Phillips, P.C.B. and Hansen, B.E. 1990. “Statistical Inference in Instrumental Variables Regression with I(1) Processes”, Review of Economic Studies, 57(1), 99-125.
36. Reis, Ş.G., Kılıç, Y. ve Buğan, M.F. 2016. “Banka Karlılığını Etkileyen Faktörler: Türkiye Örneği”, Muhasebe ve Finansman Dergisi, 72, 21-36.
37. Saad, W. and El-Moussawi, C. 2012. “The Determinants of Net Interest Margins of Commercial Banks in Lebanon”, Journal of Money, Investment and Banking, 2, 118-132.
38. Saikkonen, P. 1992. “Estimation and Testing of Cointegrated Systems by An Autoregressive Approximation”, Econometric Theory, 8, 1-27.
39. Sevim, U. ve Eyüboğlu, K. 2016. “Ticari Banka Performansının İçsel Belirleyicileri: Borsa İstanbul Örneği”, Doğuş Üniversitesi Dergisi, 17(2), 211-223.
40. Stock, J. H. and Watson, M.W. 1993. “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61(4), 783-820.
41. Sufian, F. 2009. “Determinants of Bank Profitability in A Developing Economy: Empirical Evidence from the China Banking Sector”, Journal of Asia-Pacific Business, 10, 281-307.
42. Sufian, F. and Habibullah, M.S. 2009. “Bank Specific and Macroeconomic Determinants of Bank Profitability: Empirical Evidence from The China Banking Sector”, Frontiers of Economics in China, 4(2), 274-291.
43. Şenol, Z., Öncül M. ve Alıcı, M.S. 2019. “Bankalara Özgü Finansal Risklerin Banka Karlılığına Etkisi”, Journal of International Management, Educational and Economics Perspectives, 7(2), 101-109.
44. Tan, Y. and Floros, C. 2012. “Bank Profitability and Inflation: The Case of China”, Journal of Economic Studies, 39(6), 675-696.
45. Uğur, A. and Erkuş, H. 2010. “Determinants of Net Interest Margins of Banks in Turkey”, Journal of Economic and Social Research, 12(2), 101-118.
46. Uludağ, B.K. ve Gökmen, H. 2011. “Türk Bankacılık Sektörünün Kârlılığının Dinamik Yaklaşımla Test Edilmesi”, İktisat İşletme ve Finans, 26(308), 71-98.