Stock return co-movement and systemıc rısk in the turkısh bankıng system
Yıl: 2013 Cilt: 13 Sayı: 2013 Sayfa Aralığı: 41 - 63 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022
Stock return co-movement and systemıc rısk in the turkısh bankıng system
Öz: Bu çalışmada sistemik risk göstergesi olarak bankaların hisse senedi getirilerinin birlikte hareketi kullanılarak son yirmi yılda Türk bankacılık sektöründe sistemik riskin gelişimi incelenmiştir. Buna ek olarak, etkin makro ihtiyati politika geliştirmeye katkı sağlamak amacıyla sistemik riskin muhtemel belirleyicileri de araştırılmıştır. Bulgular banka hisse senedi getirileri arasındaki korelasyonların 1990’lara kıyasla 2000'li yıllarda neredeyse iki katına çıktığını göstermektedir. Korelasyonlar 2002 yılından sonra bir miktar azalmış, 2007–2009 finansal krizinden sonra ise tekrar artmıştır. Sistemik riskin ana belirleyicilerinin banka çiftlerinin pazar payları, takipteki kredilerin tutarı, bankaların sürü davranışı ve döviz kuru, ABD hazine bonosu, EMBI+, VIX ve MSCI gelişmekte olan piyasa endeksi gibi makro değişkenlerin oynaklıkları olduğu görülmektedir
Anahtar Kelime: Konular:
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Öz: This paper investigates the evolution of systemic risk in the Turkish banking sector over the past two decades using co-movement of banks’ stock returns as a systemic risk indicator. In addition, we explore possible determinants of systemic risk, the knowledge of which can be a useful input into effective macroprudential policymaking. Results show that the correlations between bank stock returns almost doubled in 2000s in comparison to 1990s. The correlations decreased somewhat after 2002 and increased again after the 2007-2009 financial crisis. Main determinants of systemic risk appear to be the market share of bank pairs, the amount of non- performing loans, herding behavior of banks, and volatilities of macro variables including the exchange rate, US T-bills, EMBI+, VIX, and MSCI emerging markets index.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | BİNİCİ M, KÖKSAL B, ORMAN C (2013). Stock return co-movement and systemıc rısk in the turkısh bankıng system. , 41 - 63. |
| Chicago | BİNİCİ Mahir,KÖKSAL Bülent,ORMAN Cüneyt Stock return co-movement and systemıc rısk in the turkısh bankıng system. (2013): 41 - 63. |
| MLA | BİNİCİ Mahir,KÖKSAL Bülent,ORMAN Cüneyt Stock return co-movement and systemıc rısk in the turkısh bankıng system. , 2013, ss.41 - 63. |
| AMA | BİNİCİ M,KÖKSAL B,ORMAN C Stock return co-movement and systemıc rısk in the turkısh bankıng system. . 2013; 41 - 63. |
| Vancouver | BİNİCİ M,KÖKSAL B,ORMAN C Stock return co-movement and systemıc rısk in the turkısh bankıng system. . 2013; 41 - 63. |
| IEEE | BİNİCİ M,KÖKSAL B,ORMAN C "Stock return co-movement and systemıc rısk in the turkısh bankıng system." , ss.41 - 63, 2013. |
| ISNAD | BİNİCİ, Mahir vd. "Stock return co-movement and systemıc rısk in the turkısh bankıng system". (2013), 41-63. |
| APA | BİNİCİ M, KÖKSAL B, ORMAN C (2013). Stock return co-movement and systemıc rısk in the turkısh bankıng system. Central Bank Review, 13(2013), 41 - 63. |
| Chicago | BİNİCİ Mahir,KÖKSAL Bülent,ORMAN Cüneyt Stock return co-movement and systemıc rısk in the turkısh bankıng system. Central Bank Review 13, no.2013 (2013): 41 - 63. |
| MLA | BİNİCİ Mahir,KÖKSAL Bülent,ORMAN Cüneyt Stock return co-movement and systemıc rısk in the turkısh bankıng system. Central Bank Review, vol.13, no.2013, 2013, ss.41 - 63. |
| AMA | BİNİCİ M,KÖKSAL B,ORMAN C Stock return co-movement and systemıc rısk in the turkısh bankıng system. Central Bank Review. 2013; 13(2013): 41 - 63. |
| Vancouver | BİNİCİ M,KÖKSAL B,ORMAN C Stock return co-movement and systemıc rısk in the turkısh bankıng system. Central Bank Review. 2013; 13(2013): 41 - 63. |
| IEEE | BİNİCİ M,KÖKSAL B,ORMAN C "Stock return co-movement and systemıc rısk in the turkısh bankıng system." Central Bank Review, 13, ss.41 - 63, 2013. |
| ISNAD | BİNİCİ, Mahir vd. "Stock return co-movement and systemıc rısk in the turkısh bankıng system". Central Bank Review 13/2013 (2013), 41-63. |
