Katılım ve Geleneksel Bankalarda Karlılığın Banka Risk Duyarlılıkları Üzerine Olan Etkisinin Analizi

Abstract

Bu çalışmada küresel finansal sistemde ortaya çıkan risk yayılımları karşısında banka karlılık oranlarının katılım ve geleneksel bankaların risk duyarlılıklarını nasıl etkilediği incelenmektedir. Kantil vektör otoregresyon yönteminin kullanıldığı çalışma, 1 Ocak 2010 ile COVID-19’un pandemi olarak kabul edilmesinin hemen öncesi 1 Mart 2020 tarihleri arasında ikili bankacılık sisteminin bulunduğu 14 ülkeden borsaya kote 170 bankayı kapsamaktadır. Makalede küresel finansal piyasalardaki risk yayılımları için Dow Jones Sanayi Endeksi, Volatilite Endeksi ve MSCI Gelişmekte Olan Ülkeler Endeksi; banka karlılıklarını ölçmek için ise aktif karlılık ve özkaynak karlılık oranları kullanılmıştır. Bulgular, katılım ve geleneksel bankaların risk duyarlılıkları açısından önemli farkları olmadığını göstermektedir. Sonuçlar, ayrıca, aktif karlılık ve özkaynak karlılık oranları düşük olan katılım bankalarının geleneksel bankalar ve karlılığı yüksek katılım bankalarına oranla risk yayılımlarından daha az etkilendiğine işaret etmektedir. Elde edilen sonuçlar ikili banka sistemi analizlerinde genel karşılaştırmaların yanı sıra karlılık oranları gibi bankaya özgü değişkenler üzerinden karşılaştırmalar yapılmasının önemini ortaya koymaktadır.

Keywords

• Risk Yayılımları
• Kantil Vektör Otoregresyon
• Katılım Bankaları
• Kantil Etki Tepki Fonksiyonları
• Riske Maruz Değer

An Analysis of the Impact of Bank Profitability On Risk Sensitivity of Islamic and Conventional Banks

Abstract

This study examines how bank profitability measures affect the risk sensitivity of Islamic and conventional banks in the presence of risk spillovers that may occur in the global financial system. Using the quantile vector autoregression model, our sample includes 170 banks from 14 countries having a dual banking system from January 1, 2010 to March 1, 2020, right before the COVID-19 outbreak was declared as pandemic. We consider the Dow Jones Industrial Index, Volatility Index, and MSCI Emerging Market Index to measure the risk spillovers in the global financial markets. We measure bank profitability by banks' return on assets and return on equity ratios. Results reveal that overall there is no major difference between conventional and Islamic banks in terms of their risk sensitivities. However, we find that Islamic banks with low return on assets and equity ratios seem to be less affected by risk spillovers due to a shock in global financial indices compared to conventional banks and Islamic banks with high profitability ratios. Our findings suggest that bank-specific variables such as profitability ratios might provide important insights in analyzing the dual bank system.

Keywords

• Risk Spillovers
• Quantile Vector Autoregression
• Islamic Banks
• Quantile Impulse Response Functions
• Value at Risk

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