Liquidity Risk Management: An Empirical Analysis on Panel Data Analysis and ISE Banking Sector

Year 2012, Volume: 13 Issue: 1, 1 - 17, 01.03.2012

Sibel Çelik Yasemin Deniz Akarım

Abstract

In this paper, we test the factors affecting liquidity risk management in banking sector in Turkey by using panel regression analysis. We use the data for 9 commercial banks traded in
Istanbul Stock Exchange for the period 1998-2008. In conclusion, we find that risky liquid assets and return on equity variables are negatively related with liquidity risk. However, external financing and return on asset variables are positively related with liquidity risk. This finding is importance for banks since it underlines the critical factors in liquidity risk management.

Keywords

Liquidity Risk Management, Panel Data Regression, Banking Sector

Likidite Riski Yönetimi: Panel Veri Analizi ile İMKB Bankacılık Sektörü Üzerine Ampirik Bir Uygulama

Abstract

Bu çalışmanın amacı, İMKB’de hisse senetleri işlem gören bankaların, likidite riski yönetimini etkileyen faktörleri panel regresyon analizi kullanarak test etmektir. Analiz kapsamına 1998-2008 yılları arasında İstanbul Menkul Kıymetler Borsasında işlem gören 9 banka dahil edilmiştir. Analiz sonucunda riskli likit varlıklar ve özsermaye karlılığı değişkenleri likidite riski ile negatif ilişkili iken, dış finansman ve varlık karlılığı değişkenlerinin pozitif ilişkili olduğu tespit edilmiştir. Bu sonuç bankaların likidite riskini yönetmede dikkate almaları gereken kritik faktörleri ortaya koyması açısından önemli ve özgündür.

Keywords

Likidite Riski Yönetimi, Panel Veri Regresyon, Bankacılık Sektörü

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