Unravelling the Impact of COVID-19 on The Turkish Banking Sector: An Empirical Analysis

Year 2024, Volume: 32 Issue: 61, 11 - 20, 30.07.2024

Arzu Alvan Bozdereli Derviş Kırıkkaleli Şükrü Umarbeyli

https://doi.org/10.17233/sosyoekonomi.2024.03.01

Abstract

This study aims to examine the impact of COVID-19 on the Turkish Banking Index of the Istanbul Stock Exchange. Bayer-Hanch Cointegration Test, a Canonical Cointegrating Regression, and a Fully Modified Least Squares test were examined. Gold price, Repo, exchange rate, and the COVID-19 cases exhibit a long-run relationship with the banking index. During the pandemic, COVID-19 cases affected banks' performance in a negative way at the Istanbul Stock Exchange. No study in the literature has specifically examined the impact of COVID-19 on the Turkish Banking Index using the Bayer Hanch Co-integration strategy. Therefore, this study provides valuable insight into the literature.

Keywords

Turkish Banking Index, Bayer Hanck Co-integration Test, FMLS Rest, Canonical Cointegrating Regression, COVID-19 Cases, Gold Price, Exchange Rate

COVİD-19’un Türk Bankacılık Sektörü Üzerindeki Etkisini Ortaya Çıkaran Ampirik Bir Analiz

Abstract

Bu çalışmanın amacı, COVID-19’un İstanbul Menkul Kıymetler Borsası Türk Bankacılık Endeksi üzerindeki etkisini incelemektir. Bu amaçla çalışmada Bayer-Hanch Eşbütünleşme Testi, Kanonik Eşbütünleşme Regresyon testi ve Tamamen Değiştirilmiş En Küçük Kareler testi kullanılmıştır. Altın fiyatı, repo, döviz kuru ve COVID-19 vakaları bankacılık endeksi ile uzun vadeli bir ilişki sergilemektedir. Pandemi sürecinde COVID-19 vakaları İstanbul Menkul Kıymetler Borsasında bankaların performansını olumsuz etkilemiştir. Bu çalışma, literatürde Bayer Hanch Eşbütünleşme stratejisi kullanarak COVID-19’un Türk Bankacılık Endeksi üzerindeki etkisini inceleyen ilk çalışmadır.

Keywords

Türk Bankacılık Endeksi, Bayer Hanck Eşbütünleşme Testi, FMLS Testi, Kanonik Eşbütünleşme Testi, COVID-19 Vakaları, Altın Fiyatı, Döviz Kuru

References

• Acaravcı, S.K. & A.E. Çalım (2013), “Turkish banking sector’s profitability factors”, International Journal of Economics and Financial Issues, 3, 27-41.
• Açıkgöz, Ö. & A. Günay (2020), “The early impact of the Covid-19 pandemic on the global and Turkish economy”, Turkish Journal of Medical Sciences, 50, 520-526.
• Akbaş, H.E. (2012), “Determinants of bank profitability: An investigation on Turkish banking sector”, Öneri Dergisi, 10, 103-110.
• Awwad, T.A. & T. Türsoy (2016), “The Effects of Macroeconomic Variables on the Banking Sector Index: Evidence from Turkish Stock Market”, Journal of Social Sciences, 9(1), 168-190.
• Babaoğlu, C. & O. Kulaç (2022), “Government Initiatives and Responses to COVID-19 Pandemic: The Case of Turkey”, in: P.G. Aquino Jr. & R.C. Jalagat Jr. (eds.), Effective Public Administration Strategies for Global “New Normal” (111-128), Springer.
• Çakmaklı, C. et al. (2021), An evaluation of the Turkish economy during COVID-19, Centre for Applied Turkey Studies (CATS)| WP NR, 1.
• Clark, L. et al. (2012), The external current account in the macroeconomic adjustment process in Turkey, Princeton University The Woodrow Wilson School’s Graduate Policy Workshop.
• Coskun, M. et al. (2022), “Exploring Online Payment System Adoption Factors in the Age of COVID-19 - Evidence from the Turkish Banking Industry”, International Journal of Financial Studies, 10(2), 39.
• Erden, B. & Ö.F. Aslan (2022), “The impact of the COVID-19 pandemic outbreak on the sustainable development of the Turkish banking sector”, Front. Environ. Sci., 10, 989070.
• Gür, B. (2020), The impact of the Covid-19 pandemic process on the industrial companies traded on the Istanbul stock exchange (bist): a bayer-hanck cointegration analysis”, Social Sciences Studies Journal, 6(75), 5496-5505.
• Gür, N. et al. (2023), “Firm Size and Financing Behavior during COVID-19 Pandemic: Evidence from SMEs in Istanbul”, Borsa Istanbul Review, 23(4), 804-817.
• Hailu, S.M. & G. Vural (2020), “Testing the weak form market efficiency of Borsa Istanbul: an empirical evidence from Turkish banking sector stocks”, Journal of Economics Finance and Accounting, 7, 236-249.
• İleri, S.G. (2022), “An investigation of the impacts of asset ratio policy on the banking system during the Covid-19 crisis in Turkey”, International Journal of Emerging Markets, 18(11), 5135-5154.
• Karaömer, Y. & S.K. Acaravcı (2021), “The impact of COVID-19 outbreak on Borsa Istanbul: An event study method”, Journal of Economic and Administrative Sciences, 38, 652-666.
• Kartal, M.T. et al. (2020), “The determinants of main stock exchange index changes in emerging countries: evidence from Turkey in COVID-19 pandemic age”, Available at SSRN 3659154.
• Kartal, M.T. et al. (2022), “The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey”, Borsa Istanbul Review, 22, 12-19.
• Öztürk, Ö. et al. (2020), “Effect of COVID-19 outbreak on Turkish stock market: a sectoral-level analysis”, Hitit University Journal of Social Sciences Institute, 13, 56-68.
• Rjoub, H. et al. (2017), “Micro and macroeconomic determinants of stock prices: The case of Turkish banking sector”, Romanian Journal of Economic Forecasting, 20, 150-166.
• Sahu, P.K. et al. (2022), “Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas”, Resour Policy, 79, 103126.
• Saldanlı, A. et al. (2017), “The determinants of stock prices: Evidence from the Turkish banking sector”, Theoretical and Applied Economics, 22, 181-188.
• Yağlı, İ. (2020), “The impact of COVID-19 on emerging stock market volatility: Empirical evidence from Borsa Istanbul”, Ekonomi Politika ve Finans Araştırmaları Dergisi, 5, 269-279.
• Yağlı, İ. (2023), “Efficiency Assessment of the Turkish Banking Sector in the Pre-And During COVID-19 Pandemic Periods”, PressAcademia Procedia, 16, 26-32.
• Yıldırım, A.C. (2020), “The impacts of digitalization and Covid-19 on the business model of banking: A qualitative study on Turkish banks”, Masters’ Thesis, Middle East Technical University.