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Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach

Yıl 2020, Cilt 15, Sayı 3, 1001 - 1018, 30.11.2020
https://doi.org/10.17153/oguiibf.471816

Öz

This study researches the effects of bank efficiency changes of returns in Turkish stock markets using a two-stage model for the period of 2002-2017. First, Malmquist Productive Index is employed to measure the different dimensions of efficiency; then, static and dynamic panel data models are used to investigate the effects of efficiency changes. First stage indicates that efficiency increased until 2010, and then a considerable decrease was observed. Second stage proves that together with market itself efficiency change has explanatory power on stock return. Effect of increase in profitability efficiency is positive in the long run while effect of intermediation is positive in the short but negative in the long run. This may be explained with the side effects of increasing intermediation in the short run as the increasing non-performing loans and decreasing profitability in the long run.

Kaynakça

  • Avkiran, Necmi K. (2011). "Association of Dea Super-Efficiency Estimates with Financial Ratios: Investigating the Case for Chinese Banks." Omega, 39(3), 323-34.
  • Banker, Rajiv D; Abraham Charnes and William Wager Cooper. (1984). "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis." Management science, 30(9), 1078-92.
  • Berger, Allen N. and David B. Humphrey. (1997). "Efficiency of Financial Institutions: International Survey and Directions for Future Research." European Journal of Operational Research, 98(2), 175-212.
  • Blackburne, Edward F and Mark W Frank. (2007). "Estimation of Nonstationary Heterogeneous Panels." The Stata Journal, 7(2), 197-208.
  • Burmeister, Edwin; Richard Roll; Stephen A. Ross; Edwin J. Elton; Martin J. Gruber; Richard Grinold and Ronald N. Kahn. (1994). "A Practitioner's Guide to Factor Models," USA: Research Foundation of CFA Institute,
  • Casu, Barbara; Claudia Girardone and Philip Molyneux. (2004). "Productivity Change in European Banking: A Comparison of Parametric and Non-Parametric Approaches." Journal of Banking & Finance, 28(10), 2521-40.
  • Chan, Sok-Gee and Mohd Zaini Abd Karim. (2014). "Bank Efficiency and Stock Returns in Selected Asean Countries." Argumenta Oeconomica, 2(33), 5-21.
  • Charnes, Abraham; William W Cooper and Edwardo Rhodes.(1978). "Measuring the Efficiency of Decision Making Units." European Journal of Operational Research, 2(6), 429-44.
  • Chu, Sing Fat and Guan Hua Lim. (1998). "Share Performance and Profit Efficiency of Banks in an Oligopolistic Market: Evidence from Singapore." Journal of Multinational Financial Management, 8(2–3), 155-68.
  • Cooper, William W; Lawrence M Seiford and Kaoru Tone. (2007). "Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and Dea-Solver Software," New York, USA: Springer-Verlag,
  • Erdem, Cumhur and Meziyet Sema Erdem. (2008). "Turkish Banking Efficiency and Its Relation to Stock Performance." Applied Economics Letters, 15(3), 207-11.
  • Fethi, Meryem Duygun and Fotios Pasiouras. (2010). "Assessing Bank Efficiency and Performance with Operational Research and Artificial Intelligence Techniques: A Survey." European Journal of Operational Research, 204(2), 189-98.
  • Fiordelisi, Franco. (2007). "Shareholder Value Efficiency in European Banking." Journal of Banking & Finance, 31(7), 2151-71.
  • Fiordelisi, Franco and Phil Molyneux. (2010). "Total Factor Productivity and Shareholder Returns in Banking." Omega, 38(5), 241-53.
  • Fu, Xiaoqing; Yongjia Lin and Philip Molyneux. (2014). "Bank Efficiency and Shareholder Value in Asia Pacific." Journal of International Financial Markets, Institutions and Money, 33, 200-22.
  • Guzmán, Isidoro and Carmelo Reverte. (2008). "Productivity and Efficiency Change and Shareholder Value: Evidence from the Spanish Banking Sector." Applied Economics, 40(15), 2037-44.
  • Habibullah, Muzafar Shah; Muhd Iqbal Makmur; W. N. W. Azman-Saini; Alias Radam and Hway-Boon Ong. (2005). "Bank Efficiency and the Efficient Market Hypothesis the Case for Bank Stock Prices in Klse." Savings and Development, 29(4), 363-90.
  • Hossan, Mohammad Akter; Mohammad Ziaul Hoque and Bishajit Dey. (2014). "Does Operating Efficiency Matter for the Returns of Banking Sector Stocks in Dhaka Stock Exchange?" Universal Journal of Accounting and Finance, 2(5), 121-28.
  • Ioannidis, Christos; Philip Molyneux and Fotios Pasiouras. (2008). "The Relationship between Bank Efficiency and Stock Returns: Evidence from Asia and Latin America." University of Bath, School of Management, Working Paper, (2008.10).
  • Kasman, Saadet and Adnan Kasman. (2011). "Efficiency, Productivity and Stock Performance: Evidence from the Turkish Banking Sector." Panoeconomicus, 58(3), 355-72.
  • Kennedy, P. (2008). A Guide to Econometrics. USA: Blackwell Publishing Ltd.
  • Liadaki, Aggeliki and Chrysovalantis Gaganis. (2010). "Efficiency and Stock Performance of Eu Banks: Is There a Relationship?" Omega, 38(5), 254-59.
  • Paradi, Joseph C.; Zijiang Yang and Haiyan Zhu. (2011). "Assessing Bank and Bank Branch Performance," W. W. Cooper, L. M. Seiford and J. Zhu, Handbook on Data Envelopment Analysis. Boston, MA: Springer US, 315-61.
  • Paradi, Joseph C. and Haiyan Zhu. (2013). "A Survey on Bank Branch Efficiency and Performance Research with Data Envelopment Analysis." Omega, 41(1), 61-79.
  • Pasiouras, Fotios; Aggeliki Liadaki and Constantin Zopounidis. (2008). "Bank Efficiency and Share Performance: Evidence from Greece." Applied Financial Economics, 18(14), 1121-30.
  • Pesaran, M. Hashem; Yongcheol Shin and Ron P. Smith. (1999). "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels." Journal of the American Statistical Association, 94(446), 621-34.
  • Radić, Nemanja. (2015). "Shareholder Value Creation in Japanese Banking." Journal of Banking & Finance, 52, 199-207.
  • Samargandi, Nahla; Jan Fidrmuc and Sugata Ghosh. (2015). "Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle-Income Countries." World Development, 68, 66-81.
  • Shamsuddin, Abul and Dong Xiang. (2012). "Does Bank Efficiency Matter? Market Value Relevance of Bank Efficiency in Australia." Applied Economics, 44(27), 3563-72.
  • Sharma, Dipasha; Anil K. Sharma and Mukesh K. Barua. (2013). "Efficiency and Productivity of Banking Sector: A Critical Analysis of Literature and Design of Conceptual Model." Qualitative Research in Financial Markets, 5(2), 195-224.
  • Srairi, Samir; Imen Kouki and Nizar Harrathi. (2015). "The Relationship between Islamic Bank Efficiency and Stock Market Performance: Evidence from Gcc Countries," H. A. El-Karanshawy and e. al, Islamic Banking and Finance: Essays on Corporate Finance, Efficiency and Product Development. Doha, Qatar: Bloomsbury Qatar Foundation, 125.
  • Sufian, Fadzlan and Muhamed Zulkhibri Abdul Majid. (2009). "Bank Efficiency and Share Prices in China: Empirical Evidence from a Three-Stage Banking Model." International Journal of Computational Economics and Econometrics, 1(1), 23-47.
  • Sufian, Fadzlan and Muhd-Zulkhibri Abdul Majid. (2007). "Singapore Banking Efficiency and Its Relation to Stock Returns: A Dea Window Analysis Approach." International Journal of Business Studies, 15(1), 83.
  • Tone, Kaoru. (2001). "A Slacks-Based Measure of Efficiency in Data Envelopment Analysis." European Journal of Operational Research, 130(3), 498-509.
  • Vardar, Gülin. (2013). "Efficiency and Stock Performance of Banks in Transition Countries: Is There a Relationship?" International Journal of Economics and Financial Issues, 3(2), 355.

Türk Hisse Senetleri Piyasasında Banka Etkinliği ve Getiri: İki Aşamalı Bir Analiz

Yıl 2020, Cilt 15, Sayı 3, 1001 - 1018, 30.11.2020
https://doi.org/10.17153/oguiibf.471816

Öz

Bu çalışmada, 2002-2017 döneminde Türk hisse senedi piyasalarında, banka etkinliğindeki değişimin getiriler üzerinde etkili olup olmadığı, araştırılmaktadır. Önce Malmquist Verimlilik Endeksi ile etkinlik farklı boyutları ile hesaplanmış; daha sonra statik ve dinamik panel veri yöntemleri ile etkinlik değişiminin etkileri incelenmiştir. İlk aşama, banklarda etkinliğin 2010 yılına kadar art-tığını, sonrasında önemli derecede azaldığını göstermektedir. İkinci aşama, piyasanın ve etkinlikteki değişimin getiri üzerinde etkili olduğunu ortaya koymuştur. Karlılık etkinliği uzun dönemde olumlu; diğer taraftan aracılık etkinliği kısa dönemde olumlu ancak uzun dönemde olumsuz etkiye sahiptir. Bu durum aracılık etkinliğinin artması sonucu uzun vadede tak-ipteki kredi oranının artması ve karlılığın azalması ile açıklanabilir.

Kaynakça

  • Avkiran, Necmi K. (2011). "Association of Dea Super-Efficiency Estimates with Financial Ratios: Investigating the Case for Chinese Banks." Omega, 39(3), 323-34.
  • Banker, Rajiv D; Abraham Charnes and William Wager Cooper. (1984). "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis." Management science, 30(9), 1078-92.
  • Berger, Allen N. and David B. Humphrey. (1997). "Efficiency of Financial Institutions: International Survey and Directions for Future Research." European Journal of Operational Research, 98(2), 175-212.
  • Blackburne, Edward F and Mark W Frank. (2007). "Estimation of Nonstationary Heterogeneous Panels." The Stata Journal, 7(2), 197-208.
  • Burmeister, Edwin; Richard Roll; Stephen A. Ross; Edwin J. Elton; Martin J. Gruber; Richard Grinold and Ronald N. Kahn. (1994). "A Practitioner's Guide to Factor Models," USA: Research Foundation of CFA Institute,
  • Casu, Barbara; Claudia Girardone and Philip Molyneux. (2004). "Productivity Change in European Banking: A Comparison of Parametric and Non-Parametric Approaches." Journal of Banking & Finance, 28(10), 2521-40.
  • Chan, Sok-Gee and Mohd Zaini Abd Karim. (2014). "Bank Efficiency and Stock Returns in Selected Asean Countries." Argumenta Oeconomica, 2(33), 5-21.
  • Charnes, Abraham; William W Cooper and Edwardo Rhodes.(1978). "Measuring the Efficiency of Decision Making Units." European Journal of Operational Research, 2(6), 429-44.
  • Chu, Sing Fat and Guan Hua Lim. (1998). "Share Performance and Profit Efficiency of Banks in an Oligopolistic Market: Evidence from Singapore." Journal of Multinational Financial Management, 8(2–3), 155-68.
  • Cooper, William W; Lawrence M Seiford and Kaoru Tone. (2007). "Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and Dea-Solver Software," New York, USA: Springer-Verlag,
  • Erdem, Cumhur and Meziyet Sema Erdem. (2008). "Turkish Banking Efficiency and Its Relation to Stock Performance." Applied Economics Letters, 15(3), 207-11.
  • Fethi, Meryem Duygun and Fotios Pasiouras. (2010). "Assessing Bank Efficiency and Performance with Operational Research and Artificial Intelligence Techniques: A Survey." European Journal of Operational Research, 204(2), 189-98.
  • Fiordelisi, Franco. (2007). "Shareholder Value Efficiency in European Banking." Journal of Banking & Finance, 31(7), 2151-71.
  • Fiordelisi, Franco and Phil Molyneux. (2010). "Total Factor Productivity and Shareholder Returns in Banking." Omega, 38(5), 241-53.
  • Fu, Xiaoqing; Yongjia Lin and Philip Molyneux. (2014). "Bank Efficiency and Shareholder Value in Asia Pacific." Journal of International Financial Markets, Institutions and Money, 33, 200-22.
  • Guzmán, Isidoro and Carmelo Reverte. (2008). "Productivity and Efficiency Change and Shareholder Value: Evidence from the Spanish Banking Sector." Applied Economics, 40(15), 2037-44.
  • Habibullah, Muzafar Shah; Muhd Iqbal Makmur; W. N. W. Azman-Saini; Alias Radam and Hway-Boon Ong. (2005). "Bank Efficiency and the Efficient Market Hypothesis the Case for Bank Stock Prices in Klse." Savings and Development, 29(4), 363-90.
  • Hossan, Mohammad Akter; Mohammad Ziaul Hoque and Bishajit Dey. (2014). "Does Operating Efficiency Matter for the Returns of Banking Sector Stocks in Dhaka Stock Exchange?" Universal Journal of Accounting and Finance, 2(5), 121-28.
  • Ioannidis, Christos; Philip Molyneux and Fotios Pasiouras. (2008). "The Relationship between Bank Efficiency and Stock Returns: Evidence from Asia and Latin America." University of Bath, School of Management, Working Paper, (2008.10).
  • Kasman, Saadet and Adnan Kasman. (2011). "Efficiency, Productivity and Stock Performance: Evidence from the Turkish Banking Sector." Panoeconomicus, 58(3), 355-72.
  • Kennedy, P. (2008). A Guide to Econometrics. USA: Blackwell Publishing Ltd.
  • Liadaki, Aggeliki and Chrysovalantis Gaganis. (2010). "Efficiency and Stock Performance of Eu Banks: Is There a Relationship?" Omega, 38(5), 254-59.
  • Paradi, Joseph C.; Zijiang Yang and Haiyan Zhu. (2011). "Assessing Bank and Bank Branch Performance," W. W. Cooper, L. M. Seiford and J. Zhu, Handbook on Data Envelopment Analysis. Boston, MA: Springer US, 315-61.
  • Paradi, Joseph C. and Haiyan Zhu. (2013). "A Survey on Bank Branch Efficiency and Performance Research with Data Envelopment Analysis." Omega, 41(1), 61-79.
  • Pasiouras, Fotios; Aggeliki Liadaki and Constantin Zopounidis. (2008). "Bank Efficiency and Share Performance: Evidence from Greece." Applied Financial Economics, 18(14), 1121-30.
  • Pesaran, M. Hashem; Yongcheol Shin and Ron P. Smith. (1999). "Pooled Mean Group Estimation of Dynamic Heterogeneous Panels." Journal of the American Statistical Association, 94(446), 621-34.
  • Radić, Nemanja. (2015). "Shareholder Value Creation in Japanese Banking." Journal of Banking & Finance, 52, 199-207.
  • Samargandi, Nahla; Jan Fidrmuc and Sugata Ghosh. (2015). "Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle-Income Countries." World Development, 68, 66-81.
  • Shamsuddin, Abul and Dong Xiang. (2012). "Does Bank Efficiency Matter? Market Value Relevance of Bank Efficiency in Australia." Applied Economics, 44(27), 3563-72.
  • Sharma, Dipasha; Anil K. Sharma and Mukesh K. Barua. (2013). "Efficiency and Productivity of Banking Sector: A Critical Analysis of Literature and Design of Conceptual Model." Qualitative Research in Financial Markets, 5(2), 195-224.
  • Srairi, Samir; Imen Kouki and Nizar Harrathi. (2015). "The Relationship between Islamic Bank Efficiency and Stock Market Performance: Evidence from Gcc Countries," H. A. El-Karanshawy and e. al, Islamic Banking and Finance: Essays on Corporate Finance, Efficiency and Product Development. Doha, Qatar: Bloomsbury Qatar Foundation, 125.
  • Sufian, Fadzlan and Muhamed Zulkhibri Abdul Majid. (2009). "Bank Efficiency and Share Prices in China: Empirical Evidence from a Three-Stage Banking Model." International Journal of Computational Economics and Econometrics, 1(1), 23-47.
  • Sufian, Fadzlan and Muhd-Zulkhibri Abdul Majid. (2007). "Singapore Banking Efficiency and Its Relation to Stock Returns: A Dea Window Analysis Approach." International Journal of Business Studies, 15(1), 83.
  • Tone, Kaoru. (2001). "A Slacks-Based Measure of Efficiency in Data Envelopment Analysis." European Journal of Operational Research, 130(3), 498-509.
  • Vardar, Gülin. (2013). "Efficiency and Stock Performance of Banks in Transition Countries: Is There a Relationship?" International Journal of Economics and Financial Issues, 3(2), 355.

Ayrıntılar

Birincil Dil İngilizce
Konular Sosyal
Yayınlanma Tarihi Kış
Bölüm Makaleler
Yazarlar

Süleyman KALE (Sorumlu Yazar)
KIRKLARELİ ÜNİVERSİTESİ
0000-0001-7208-1872
Türkiye


Mehmet Hasan EKEN
KIRKLARELİ ÜNİVERSİTESİ
0000-0002-6005-7637
Türkiye


İ. Gökçe KAYA Bu kişi benim
İstanbul Gelişim Üniversitesi
0000-0002-2949-2147
Türkiye

Yayımlanma Tarihi 30 Kasım 2020
Başvuru Tarihi 17 Ekim 2018
Kabul Tarihi 3 Nisan 2020
Yayınlandığı Sayı Yıl 2020, Cilt 15, Sayı 3

Kaynak Göster

APA Kale, S. , Eken, M. H. & Kaya, İ. G. (2020). Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 15 (3) , 1001-1018 . DOI: 10.17153/oguiibf.471816