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LİKİDİTE RİSKİNİN BELİRLEYİCİLERİ: BORSA İSTANBUL’A KOTE MEVDUAT BANKALARINDAN KANITLAR

Yıl 2017, Cilt 2, Sayı 2, 113 - 126, 29.12.2017
https://doi.org/10.30784/epfad.354458

Öz

Bu çalışmanın amacı, Türk bankacılık sektöründe faaliyet gösteren ticari bankaların likidite riskinin belirleyicilerini incelenmektir. Bu amaçla çalışmada, Borsa İstanbul'da işlem gören 13 ticari bankaya ait 2006-2015 dönemi için banka düzeyindeki veriler kullanılmıştır. Panel veri analizlerine dayalı ampirik bulgular, bankaların likidite riskinde meydana gelen değişimleri açıklamada bankaya özgü (banka büyüklüğü, özkaynak kârlılığı, banka sermayesi, mevduattaki büyüme, kredi kayıpları karşılığı) ve makroekonomik belirleyicilerin  (ekonomik büyüme ve enflasyon oranı gibi) önemli olduğunu göstermektedir. Daha açık şekilde ifade edilirse, özkaynak kârlılığı, banka sermayesi, mevduattaki büyüme, kredi kayıpları karşılığı ve enflasyon oranı gibi değişkenler likidite riskiyle negatif ve anlamlı olarak ilişkiliyken, banka büyüklüğü ve ekonomik büyüme gibi değişkenler likidite riskiyle pozitif ve anlamlı olarak ilişkilidir. Ayrıca sonuçlar, küresel finansal kriz ve net faiz marjı gibi değişkenlerin ticari bankaların likidite riski üzerinde önemli bir etkisi olmadığını göstermektedir.

Kaynakça

  • Abdel-Megeid, N. S. (2017). Liquidity Risk Management: Conventional Versus Islamic Banking System In Egypt. Journal of Islamic Accounting and Business Research 8(1): 100-128.
  • Athanasoglou, P., Delis, M., & Staikouras, C. (2006). Determinants Of Bank Profitability In The South Eastern European Region, Bank of Greece Working Paper, No. 47.
  • Ayaydın, H., & Karaaslan, İ. (2014). Likidite Riski Yönetimi: Türk Bankacılık Sektörü Üzerine Bir Araştırma. Gümüshane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi 5(11): 237-256.
  • Aydemir, R., and Guloglu, B. (2017). How Do Banks Determine Their Spreads Under Credit And Liquidity Risks During Business Cycles?. Journal of International Financial Markets, Institutions and Money 46: 147-157.
  • Boateng, A., Huang, W., and Kufuor, N. K. (2015). Commercial Bank Ownership And Performance In China. Applied Economics 47(49): 5320-5336.
  • Cecchetti, S. G., and Schoenholtz, K. L. (2015). Money, Banking, And Financial Markets (Fourth Edition). New York: McGraw-Hill Education.
  • 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.
  • Delechat, C., Arbelaez, C. H., Muthoora, M. P. S., & Vtyurina, S. (2012). The Determinants of Banks' Liquidity Buffers in Central America (No. 12-301). International Monetary Fund.
  • Dinger, V. (2009). Do Foreign-Owned Banks Affect Banking System Liquidity Risk?. Journal of Comparative Economics 37(4): 647-657.
  • Gujarati, D. N. and Porter, D. C. (2009). Basic Econometrics (Fifth Edition), New York: The McGraw-Hill Companies.
  • Iqbal, A. (2012). Liquidity Risk Management: A Comparative Study between Conventional and Islamic Banks of Pakistan. Global Journal of Management and Business Research 12(5): 54-64.
  • Isik, O. (2017). Internal Determinants Of Profitability Of State, Private And Foreign Owned Commercial Banks Operating In Turkey. Journal of Economics, Finance and Accounting (JEFA) 4(3): 342-353.
  • Isik, O., and Bolat, S. (2016). Determinants of non-Performing Loans of Deposit Banks in Turkey. Journal of Business, Economics and Finance 5(4): 341-350.
  • Isik, O., and Ince, A. R. (2016). Board Size, Board Composition And Performance: An Investigation On Turkish Banks. International Business Research 9(2): 74-84.
  • Işık, Ö. and M. Belke (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.
  • Işık, Ö., Yalman, İ. N. ve Koşaroğlu Ş. M. (2017). Türkiye’de Mevduat Bankalarının Kârlılığını Etkileyen Faktörler. İşletme Araştırmaları Dergisi 9(1): 362–380.
  • Işıl, G., ve Özkan, N. (2015). İslami Bankalarda Likidite Riski Yönetimi: Türkiye’de Katılım Bankacılığı Üzerine Ampirik Bir Uygulama. International Journal of Islamic Economics and Finance Studies 1(2): 23-37.
  • Jean-Loup, S. (2017). Measuring Heterogeneity In Bank Liquidity Risk: Who Are The Winners And Losers?. The Quarterly Review of Economics and Finance 66: 302-313.
  • Jedidia, K. B., and Hamza, H. (2015). Determinants Of Liquidity Risk In Islamic Banks: A Panel Study. European Journal of Business and Management, Special Issue: Islamic Management and Business 7(16): 137-146.
  • Kosmidou, K. (2008). The Determinants Of Banks' Profits In Greece During The Period Of EU Financial Integration. Managerial Finance 34(3): 146-159.
  • Laurine, C. (2013). Zimbabwean Commercial Banks Liquidity Risk Determinants After Dollarisation. Journal of Applied Finance and Banking 3(6): 97-114.
  • Ly, K. C. (2015). Liquidity Risk, Regulation and Bank Performance: Evidence from European Banks. Global Economy and Finance Journal 8(1): 11-33.
  • Mehmed, G. (2014). An Emperical Study On Liquidity Risk And Its Determinants In Bosnia And Herzegovina. Romania Economic Journal 52: 157-183.
  • Mohamad, A. A. S., Mohamad, M. T., and Samsudin, M. L. (2013). How Islamic Banks Of Malaysia Managing Liquidity? An Emphasis On Confronting Economic Cycles. International Journal of Business and Social Science 4(7): 253-263.
  • Molyneux, P., & Thornton, J. (1992). Determinants Of European Bank Profitability: A note. Journal of banking & Finance 16(6): 1173-1178.
  • Moussa, M. A. B. (2015). The Determinants Of Bank Liquidity: Case Of Tunisia. International Journal of Economics and Financial Issues 5(1): 249-259.
  • Munteanu, I. (2012). Bank Liquidity And Its Determinants In Romania. Procedia Economics and Finance 3: 993-998.
  • Patora, K. (2013). Bank Liquidity Determinants In CEE Countries. Research Papers of Wrocław University of Economics 316: 133-144.
  • Patora, K. (2016). Liquidity Risk of Banks in Light of a Dominant Share of Foreign Capital in the Polish Banking Sector. World Academy of Science, Engineering and Technology, International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering 10(8): 2734-2741.
  • Saunders, A., and Cornett, M. M. (2006). Financial Institutions Management: A Risk Management Approach, Boston: McGraw-Hill.
  • Sayım, F. ve Er, S. (2009). Risk Kavramı ve Bankacılıkta Risk. Tasarruf Mevduatı Sigorta Fonu Bilimsel Yayın Organı Çatı Dergisi 4( 22): 7-17.
  • Singh, A., and Sharma, A. K. (2016). An Empirical Analysis Of Macroeconomic And Bank-Specific Factors Affecting Liquidity Of Indian Banks. Future Business Journal 2(1): 40-53.
  • Sufian, F., and Habibullah, M. S. (2009). Determinants Of Bank Profitability In A Developing Economy: Empirical Evidence From Bangladesh. Journal of Business Economics and Management 10(3): 207-217.
  • Tabari, N. A. Y, Ahmadi M., and Emami, M. (2013). The Effect of Liquidity Risk on the Performance of Commercial Banks, International Research Journal of Applied and Basic Sciences 4(6): 1624-1631.
  • Tatoğlu, F.Y. (2012), Panel Veri Ekonometrisi. İstanbul: Beta Yayınevi.
  • Us, V. (2015). Banking Sector Performance in Turkey before and after the Global Crisis, İktisat İşletme ve Finans, 30(353): 45-74.
  • Vodova, P. (2011). Liquidity Of Czech Commercial Banks And Its Determinants. International Journal of Mathematical Models and Methods in Applied Sciences 5(6): 1060-1067.
  • Vodova, P. (2013). Determinants Of Commercial Bank Liquidity In Hungary. e-Finanse 9(3): 64-71.
  • Wójcik-Mazur, A., and Szajt, M. (2015). Determinants Of Liquidity Risk In Commercial Banks In The European Union. Argumenta Oeconomica, 2(35): 25-47.
  • Zaghdoudi, K., and Hakimi, A. (2017). The Determinants of Liquidity Risk: Evidence from Tunisian Banks. Journal of Applied Finance and Banking, 7(2): 71-81.
  • Zengin, S., and Yüksel, S. (2016). Likidite Riskini Etkileyen Faktörler: Türk Bankacılık Sektörü Üzerine Bir Inceleme, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi 15(29): 77-95.

The Determinants of Liquidity Risk: Evidence From Banks Traded on Borsa Istanbul

Yıl 2017, Cilt 2, Sayı 2, 113 - 126, 29.12.2017
https://doi.org/10.30784/epfad.354458

Öz

The aim of this study is to analyze the determinants of liquidity risk of commercial banks operating in the banking industry in Turkey. For this purpose we employ bank-level data for 13 commercial banks quoted in Borsa Istanbul over the period 2006 to 2015. Empirical findings based on panel data analysis indicate that bank-specific determinants (i.e. bank size, return on equity, bank capital, deposit growth rate, loan loss provisions) and macroeconomic determinants (i.e. economic growth and inflation rate) are significant determinants in explaining changes in liquidity risk of commercial banks. More specifically, return on equity, bank capital, deposit growth, loan loss provisions, and inflation rate are negatively and significantly associated with liquidity risk, whereas bank size and economic growth are positively and significantly related to liquidity risk. Moreover, our results also suggest that the variables such as global financial crisis and net interest margins do not have any significant impact on commercial banks’ liquidity risk.

Kaynakça

  • Abdel-Megeid, N. S. (2017). Liquidity Risk Management: Conventional Versus Islamic Banking System In Egypt. Journal of Islamic Accounting and Business Research 8(1): 100-128.
  • Athanasoglou, P., Delis, M., & Staikouras, C. (2006). Determinants Of Bank Profitability In The South Eastern European Region, Bank of Greece Working Paper, No. 47.
  • Ayaydın, H., & Karaaslan, İ. (2014). Likidite Riski Yönetimi: Türk Bankacılık Sektörü Üzerine Bir Araştırma. Gümüshane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi 5(11): 237-256.
  • Aydemir, R., and Guloglu, B. (2017). How Do Banks Determine Their Spreads Under Credit And Liquidity Risks During Business Cycles?. Journal of International Financial Markets, Institutions and Money 46: 147-157.
  • Boateng, A., Huang, W., and Kufuor, N. K. (2015). Commercial Bank Ownership And Performance In China. Applied Economics 47(49): 5320-5336.
  • Cecchetti, S. G., and Schoenholtz, K. L. (2015). Money, Banking, And Financial Markets (Fourth Edition). New York: McGraw-Hill Education.
  • 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.
  • Delechat, C., Arbelaez, C. H., Muthoora, M. P. S., & Vtyurina, S. (2012). The Determinants of Banks' Liquidity Buffers in Central America (No. 12-301). International Monetary Fund.
  • Dinger, V. (2009). Do Foreign-Owned Banks Affect Banking System Liquidity Risk?. Journal of Comparative Economics 37(4): 647-657.
  • Gujarati, D. N. and Porter, D. C. (2009). Basic Econometrics (Fifth Edition), New York: The McGraw-Hill Companies.
  • Iqbal, A. (2012). Liquidity Risk Management: A Comparative Study between Conventional and Islamic Banks of Pakistan. Global Journal of Management and Business Research 12(5): 54-64.
  • Isik, O. (2017). Internal Determinants Of Profitability Of State, Private And Foreign Owned Commercial Banks Operating In Turkey. Journal of Economics, Finance and Accounting (JEFA) 4(3): 342-353.
  • Isik, O., and Bolat, S. (2016). Determinants of non-Performing Loans of Deposit Banks in Turkey. Journal of Business, Economics and Finance 5(4): 341-350.
  • Isik, O., and Ince, A. R. (2016). Board Size, Board Composition And Performance: An Investigation On Turkish Banks. International Business Research 9(2): 74-84.
  • Işık, Ö. and M. Belke (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.
  • Işık, Ö., Yalman, İ. N. ve Koşaroğlu Ş. M. (2017). Türkiye’de Mevduat Bankalarının Kârlılığını Etkileyen Faktörler. İşletme Araştırmaları Dergisi 9(1): 362–380.
  • Işıl, G., ve Özkan, N. (2015). İslami Bankalarda Likidite Riski Yönetimi: Türkiye’de Katılım Bankacılığı Üzerine Ampirik Bir Uygulama. International Journal of Islamic Economics and Finance Studies 1(2): 23-37.
  • Jean-Loup, S. (2017). Measuring Heterogeneity In Bank Liquidity Risk: Who Are The Winners And Losers?. The Quarterly Review of Economics and Finance 66: 302-313.
  • Jedidia, K. B., and Hamza, H. (2015). Determinants Of Liquidity Risk In Islamic Banks: A Panel Study. European Journal of Business and Management, Special Issue: Islamic Management and Business 7(16): 137-146.
  • Kosmidou, K. (2008). The Determinants Of Banks' Profits In Greece During The Period Of EU Financial Integration. Managerial Finance 34(3): 146-159.
  • Laurine, C. (2013). Zimbabwean Commercial Banks Liquidity Risk Determinants After Dollarisation. Journal of Applied Finance and Banking 3(6): 97-114.
  • Ly, K. C. (2015). Liquidity Risk, Regulation and Bank Performance: Evidence from European Banks. Global Economy and Finance Journal 8(1): 11-33.
  • Mehmed, G. (2014). An Emperical Study On Liquidity Risk And Its Determinants In Bosnia And Herzegovina. Romania Economic Journal 52: 157-183.
  • Mohamad, A. A. S., Mohamad, M. T., and Samsudin, M. L. (2013). How Islamic Banks Of Malaysia Managing Liquidity? An Emphasis On Confronting Economic Cycles. International Journal of Business and Social Science 4(7): 253-263.
  • Molyneux, P., & Thornton, J. (1992). Determinants Of European Bank Profitability: A note. Journal of banking & Finance 16(6): 1173-1178.
  • Moussa, M. A. B. (2015). The Determinants Of Bank Liquidity: Case Of Tunisia. International Journal of Economics and Financial Issues 5(1): 249-259.
  • Munteanu, I. (2012). Bank Liquidity And Its Determinants In Romania. Procedia Economics and Finance 3: 993-998.
  • Patora, K. (2013). Bank Liquidity Determinants In CEE Countries. Research Papers of Wrocław University of Economics 316: 133-144.
  • Patora, K. (2016). Liquidity Risk of Banks in Light of a Dominant Share of Foreign Capital in the Polish Banking Sector. World Academy of Science, Engineering and Technology, International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering 10(8): 2734-2741.
  • Saunders, A., and Cornett, M. M. (2006). Financial Institutions Management: A Risk Management Approach, Boston: McGraw-Hill.
  • Sayım, F. ve Er, S. (2009). Risk Kavramı ve Bankacılıkta Risk. Tasarruf Mevduatı Sigorta Fonu Bilimsel Yayın Organı Çatı Dergisi 4( 22): 7-17.
  • Singh, A., and Sharma, A. K. (2016). An Empirical Analysis Of Macroeconomic And Bank-Specific Factors Affecting Liquidity Of Indian Banks. Future Business Journal 2(1): 40-53.
  • Sufian, F., and Habibullah, M. S. (2009). Determinants Of Bank Profitability In A Developing Economy: Empirical Evidence From Bangladesh. Journal of Business Economics and Management 10(3): 207-217.
  • Tabari, N. A. Y, Ahmadi M., and Emami, M. (2013). The Effect of Liquidity Risk on the Performance of Commercial Banks, International Research Journal of Applied and Basic Sciences 4(6): 1624-1631.
  • Tatoğlu, F.Y. (2012), Panel Veri Ekonometrisi. İstanbul: Beta Yayınevi.
  • Us, V. (2015). Banking Sector Performance in Turkey before and after the Global Crisis, İktisat İşletme ve Finans, 30(353): 45-74.
  • Vodova, P. (2011). Liquidity Of Czech Commercial Banks And Its Determinants. International Journal of Mathematical Models and Methods in Applied Sciences 5(6): 1060-1067.
  • Vodova, P. (2013). Determinants Of Commercial Bank Liquidity In Hungary. e-Finanse 9(3): 64-71.
  • Wójcik-Mazur, A., and Szajt, M. (2015). Determinants Of Liquidity Risk In Commercial Banks In The European Union. Argumenta Oeconomica, 2(35): 25-47.
  • Zaghdoudi, K., and Hakimi, A. (2017). The Determinants of Liquidity Risk: Evidence from Tunisian Banks. Journal of Applied Finance and Banking, 7(2): 71-81.
  • Zengin, S., and Yüksel, S. (2016). Likidite Riskini Etkileyen Faktörler: Türk Bankacılık Sektörü Üzerine Bir Inceleme, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi 15(29): 77-95.

Ayrıntılar

Birincil Dil Türkçe
Konular İşletme
Bölüm Makaleler
Yazarlar

Özcan IŞIK
CUMHURİYET ÜNİVERSİTESİ
0000-0003-2230-8738
Türkiye


Murat BELKE
MEHMET AKİF ERSOY ÜNİVERSİTESİ
orcid.org/0000-0002-3299-7162
Türkiye

Yayımlanma Tarihi 29 Aralık 2017
Yayınlandığı Sayı Yıl 2017, Cilt 2, Sayı 2

Kaynak Göster

APA Işık, Ö. & Belke, M. (2017). LİKİDİTE RİSKİNİN BELİRLEYİCİLERİ: BORSA İSTANBUL’A KOTE MEVDUAT BANKALARINDAN KANITLAR . Ekonomi Politika ve Finans Araştırmaları Dergisi , 2 (2) , 113-126 . DOI: 10.30784/epfad.354458

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