RİSK ALMA EĞİLİMİNİ ETKİLEYEN İÇSEL FAKTÖRLER: BİST BANKA ENDEKSİ ÜZERİNE PANEL EŞBÜTÜNLEŞME VE NEDENSELLİK ANALİZİ

Year 2022, Issue: 52, 363 - 378, 25.09.2022

Tuğba Nur

https://doi.org/10.30794/pausbed.1076301

Abstract

Çalışmada Borsa İstanbul Banka Endeksi’nde işlem gören bankaların risk alma eğiliminin belirleyicilerinin Aralık 2000 – Aralık 2020 döneminde panel eşbütünleşme ve nedensellik analizi ile araştırılması amaçlanmıştır. Bankaların risk alma eğilimi Z-Skor ile ölçülmüştür. Mali yapı (Özsermaye/Toplam Aktif), aktif kalitesi (Net Kredi/Toplam Aktif), performans (Net Kar/Toplam Aktif), likidite (Amihud Rasyosu) ve imtiyaz değerine ((Piyasa Değeri + Toplam Borç) /Toplam Aktif) ilişkin oranlar bağımsız değişken olarak analize dahil edilmiştir. Gerçekleştirilen analizler sonucunda değişkenler arasında uzun dönemli eşbütünleşme ilişkisi olduğu, Özsermaye / Toplam Aktif oranının, aktif karlılığın ve likidite yetersizliğinin artmasının risk alma eğilimini azalttığı ve risk alma eğiliminden aktif karlılığa, imtiyaz değerinden risk alma eğilimine ve likidite yetersizliğinden risk alma eğilimine doğru tek yönlü nedensellik ilişkisi olduğu tespit edilmiştir.

Keywords

Risk Alma Eğilimi, Bankacılık, Risk Yönetimi

SPECIFIC FACTORS AFFECTING RISK-TAKING BEHAVIOUR: PANEL COINTEGRATION AND CAUSALITY ANALYSIS ON BIST BANK INDEX

Abstract

In the study, it is aimed to investigate the determinants of risk-taking behavior of banks traded in Borsa Istanbul Bank Index in the period of December 2000 - December 2020 by panel cointegration and causality analysis. Risk-taking behavior of banks is measured with Z-Score. Ratios related to financial structure (Equity/Total Asset), asset quality (Net Credit/Total Asset), performance (Net Profit/Total Asset), liquidity (Amihud Ratio) and franchise value ((Market Value + Total Debt) /Total Asset) was included in the analysis as an independent variable. As a result of the analyzes carried out, it has been determined that there is a long-term cointegration relationship between the variables and that the increase in the Equity / Total Assets Ratio, return on assets and insufficient liquidity reduces the risk-taking behavior. In addition, a one-way causality relationship has been determined from risk-taking behavior to return on assets, from franchise value to risk-taking behavior and from lack of liquidity to risk-taking behavior.

Keywords

Risk-Taking Behavior, Banking, Risk Management

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