FINANSAL KRIZ ÖNCESI VE SONRASI TÜRK BANKACILIK SEKTÖRÜNDE PIYASA, DÖVIZ KURU VE FAIZ ORANI RISKLERININ BELIRLEYICILERININ DEĞERLENDIRILMESI

Yıl 2019, , 673 - 693, 01.10.2019

İsmail Erkan Çelik

https://doi.org/10.17130/ijmeb.2019355045

Öz

Bu çalışma bankalara özel değişkenlerin, piyasa riski, kur riski ve faiz oranı riskini beta üzerine etkilerini, Türk bankacılık sektörü açısından 2002-2019, 2002-2008 kriz öncesi ve 2010-2019 kriz sonrası dönemler için araştırmaktadır. İki aşamalı yaklaşımı kullanarak, önce risk betaları, kayan pencereli GARCH 1,1 modeli kullanılarak tahmin edilmiş ve ardından da, bu üç farklı risk betasının her birinin, bankaya özgü belirleyiciler tarafından nasıl etkilendiği panel veri yöntemi kullanılarak incelenmiştir. Sonuçlar, faiz oranı ve piyasa risk betalarının, döviz kuru riskine kıyasla, finansal oranlarla daha yüksek düzeyde ilişkili olduğunu göstermektedir.

Anahtar Kelimeler

Bankacılık Sektörü, Piyasa Riski, Kur Riski, Panel Data, Betanın Belirleyicileri, GARCH Model

EVALUATING THE DETERMINANTS OF MARKET, EXCHANGE RATE AND INTEREST RATE RISKS IN THE PRE- AND POST FINANCIAL CRISIS FOR THE TURKISH BANKING INDUSTRY

Öz

This study investigates the bank specific determinants of market risk, exchange rate risk and interest rate risk betas over the whole period of 2002-2019, pre-crisis period of 20022008 and the post-crisis period of 2010-2019 for the Turkish banking sector. Using the two step approach, first the risk betas are estimated by employing GARCH 1,1 model with rolling window estimation and then, the bank specific determinants of each of these three different risk betas are determined by using panel data method. The results show that the interest rate and market beta is highly related to financial ratios compared to the exchange rate risk

Anahtar Kelimeler

Banking Sector, Market Risk, Exchange Rate Risk, Panel Data, Determinants of Beta, GARCH Model

Kaynakça

• Agrawal, T. J., & Sehgal, S. (2018). Dynamic interaction of bank risk exposures: An empirical study for the Indian banking industry. IMM Kozhikode Society & Management Review, 7(2), 132-153.
• Arabacı, H. (2018). Türkiye’de bankacılık sektörünün gelişimi (2000-2016). Meriç Uluslararası Sosyal ve Stratejik Araştırmalar Dergisi, 2 (3), 25-42.
• Arora, A. (2012). The impact of size on credit risk management strategies in commercial banks: Empirical evidence from India. The IUP Journal of Financial Risk Management, 9(3), 24–44.
• Arora, A. (2013). Credit risk management operations and systems: Does ownership matter?. IIMS Journal of Management Science, 4(1), 77–87.
• Au Yong, H. H., Faff, R., & Chalmers, K. (2009). Derivative activities and Asia-Pacific banks’ interest rate and exchange rate exposures. Journal of International Financial Markets, Institutions and Money, 19(1), 16–32.
• Bae, K. H., Chan, K., & Ng, A. (2004). Investibility and return volatility. Journal of Financial Economics, 71, 239-63.
• Bae, S. C. (1990). Interest rate changes and common stock returns of financial institutions: Revisited. Journal of Financial Research, 13, 71-79.
• Berkowitz, M. K. (1998). Estimating the market risk for nontraded securities: An application to Canadian public utilities. International Review of Financial Analysis, 7(2), 171-179.
• Çelik, İ. E. (2019). Assessing the ımpact of bank risk factors on Turkish bank’s stock returns using the Egarch-M Model. Üçüncü Sektör Sosyal Ekonomi Dergisi, 54(2), 811-827.
• Choi, J. J., Elyasiani, E., & Kopecky, K. J. (1992). The sensitivity of bank stock returns to market, interest and exchange rate risks. Journal of Banking & Finance, 16(5), 983–1004.
• Çiçek, M. (2014). Türkiye’de faiz, döviz ve borsa: Fiyat ve oynaklık yayılma etkileri. Ankara Üniversitesi SBF Dergisi, 65(2), 1-28.
• Cordella, T., & Ospino Rojas, A., (2017). Financial globalization and market volatility an empirical appraisal. World Bank Group, Policy Research Working Paper 8091.
• Ekinci, A. (2016). The effect of credit and market risk on bank perforamance: Evidence from Turkey. International Journal of Economics and Financial Issues, 6(2), 427-434.
• Elyasiani, E., & Mansur, I. (2005). The association between market and exchange rate risks and accounting variables: A GARCH model of the Japanese banking institutions. Review of Quantitative Finance and Accounting, 25(2), 183–206.
• Elyasiani, E., & Mansur, I. (1998). Sensitivity of bank stock returns distribution to changes in the level of volatility of interest rate: A GARCH-M model. Journal of Banking and Finance, 22, 535–563.
• Elyasiani, E., & Mansur, I. (2003). International spillover of risk and return among major banking institutions: A bivariate GARCH model. Journal of Accounting, Auditing and Finance, 18(2), 303-330.
• Elyasiani, E., Mehdian, S., & Rezvanian, R. (1994). An empirical test of the association between production and financial performance: The case of the commercial banking industry. Applied Financial Economics, 4, 55– 59.
• Er, H., & Kaya, I. (2012). The relationship between accounting beta and CAPM. 4(2), 233-243.
• Ercan, M. K., Öztürk, B. M., Küçükkaplan, İ., & Başçı, E. S. (2007). Halka açık firmaların beta katsayılarının regreson modeli ile tespiti ve halka açık olmayan firmalara yönelik uygulanabilirliği. Dokuz Eylül Üniversitesi İİBF Fakülte Dergisi, 22(2), 295-324.
• Eryiğit, C., & Eryiğit, M. (2009). Temel finansal oranların sistematik riske etkisi. İktisat İşletme ve Finans, 24(281), 60-76.
• Esqueda, O. A., Assefa, T. A., & Mollick, A.V. (2012). Financial globalization and stock market risk. Journal of International Financial Markets, Institutions and Money, 22, 87-102.
• Fama, E., & French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427,465.
• Hassan, M. K. (1993). The off-balance sheet banking risk of large U.S. commercial banks. Quarterly Review of Economics and Finance, 33, 51–69.
• Jahankhani, A., & Lynge, M. (1980). Commercial bank financial policies and their impact on market- determined measures of risk. Journal of Bank Research, 11, 169–178.
• Karakus, R. (2017). Determinants of affecting level from systematic risk: Evidence from BIST 100 companies in Turkey. Eurasian Journal of Business and Economics, 10(20), 33-46.
• Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on bank’s stock returns and volatility: Evidence from Turkey. Economic Modelling, 28, 1328-1334.
• Kose, M. A., Prasad, E. S., & Terrones, M. E. (2009). Does financial globalization promote risk sharing?. Journal of Development Economics, 89, 258-70.
• Mansur, I., & Elyasiani, E. (1995). Sensitivity of bank equity returns to the level and volatility of interest rates. Managerial Finance, 21, 58-77.
• Mansur, I., Zangeneh, H., & Zitz, M. S. (1993). The association between banks’ performance ratios and market determined measures of risk. Applied Economics, 25, 1503–1510.
• McAnally, M. L. (1996). Bank, risk, and FAS105 disclosures. Journal of Accounting, Auditing & Finance, 453–490.
• Mensah, Y. M. (1992). Adjusted accounting beta, operating leverage and financial leverage as determinants of market beta: A synthesis and empirical evaluation. Review of Quantitative Finance and Accounting, 2(2), 187-203.
• Schlueter, T., & Sievers, S. (2014). Determinants of market beta: The impacts of firmspecific accounting figures and market conditions. Review of Quantitative Finance and Accounting, 42(3), 535-570.
• Sehgal, S., Agrawal, T. J. (2017). Bank risk factors and changing risk exposures in the pre- and post- financial crisis periods: An empirical study for India. Management and Labour Studies, 42(4), 356-378.
• Stiglitz, J. E. (2004). Capital-market liberalization, globalization, and the IMF. Oxford Review of Economic Policy, 20, 57-71.
• Sukcharoensin, P. (2013). Time-varying market, interest rate and exchange rate risks of Thai commercial banks. Asian Academy of Management Journal of Accounting and Finance, 9(1), 25–45.
• Tanrıöven, C., & Aksoy, E. E. (2011). Sistematik riskin belirleyicileri: İMKB’de sektörel karşılaştırma. MUFAD, Muhasebe Finans Dergisi, 51, 119-138.
• Tepeli, Y. (2017) Halka açık olmayan anonim şirketlerde sistematik risk ölçütü beta katsayısının tahmin edilmesi: Turizm sektörü uygulaması. MUFAD Muhasebe Finansman Dergisi, 75, 155-170.
• Topak, M. S., & Talu, N. H. (2017), Bank specific and Macroeconomic determinants of bank profitability: Evidence from Turkey. International Journal of Economics and Financial Issues, 7(2), 574-584.
• Umutlu, M., Akdeniz, L., & Altay, S. (2010). The degree of financial liberalization and aggregated stock- return volatility in emerging markets. Journal of Banking and Finance, 34, 509-21.
• Uyar, U., & Çağlak, E. (2019). Çimento sektörü açısından sistematik risk-finansal oran ilişkisi: Ana çimento üreticisi ülkeler karşılaştırılması. Muhasebe ve Finans Dergisi, 81, 231-248.
• Wong, T. C., Wong, J., & Leung, P. (2009). The foreign exchange exposure of Chinese banks. China Economic Review, 20(2), 174–182.