Assessing The Impact Of Bank Risk Factors On Turkish Bank’s Stock Returns Using The Egarch-M Model

This study examines the effects of interest rate, exchange rate and credit risk factors on Turkish banks’ stock returns using weekly bank-level data from 1 January 2002 to 4 April 2019. The first order autoregressive exponential GARCH in-mean (EGARCH-M) model is estimated for 10 Turkish commercial banks. The results indicate that: (i) different banks are prone to different types of risk and the magnitude of risk exposure coefficients differ across banks with different characteristics; (ii) credit risk, exchange rate and interest rate risk factors exert a negative and significant impact on stock returns of about six Turkish banks and bank portfolio; (iii) for 6 banks, increases in risk will not necessarily lead to an increase in the returns; (iv) current conditional variance (volatility) is a function of past surprises and past volatility and is changing by time for all banks; (v) the current volatility is more sensitive to old news than it is to the news about recent surprises in the market; (vi) past innovations have significant asymmetric and leverage effect on current volatility for half of the banks in the sample; (vii) the positive and negative surprises have a symmetric effect on the volatility of bank returns; (viii) volatility of bank returns seems to have declined in post global financial crisis period compared to pre-crisis period.

Banka Risk Faktörlerinin Türk Bankalarının Hisse Senedi Getirileri Üzerine Etkilerinin Garch-M Modeli İle Değerlendirilmesi

Bu çalışma, 1 Ocak 2002 - 4 Nisan 2019 tarihleri arasında haftalık banka düzeyindeki verileri kullanarak faiz oranı, döviz kuru ve kredi risk faktörlerinin Türk bankalarının hisse senedi getirileri üzerindeki etkilerini incelemektedir. Üssel GARCH ortalama (EGARCH-M) modeli 10 Türk ticari bankası için tahmin edilmiştir. Sonuçlar şunu göstermektedir: (i) farklı bankalar farklı tür risklere yatkındır ve risk katsayılarının büyüklüğü farklı özelliklere sahip bankalar arasında farklılık göstermektedir; (ii) kredi riski, kur ve faiz oranı risk faktörleri, hisse senedi getirileri üzerinde negatif ve anlamlı bir etkiye sahiptir; (iii) 6 banka için, getirilerdeki artış risklerdeki artışa bağlı olarak artmamaktadır; (iv) cari koşullu varyans (oynaklık) geçmiş sürprizlerin ve geçmiş oynaklığın fonksiyonudur ve bütün bankalar için zamanla değişmektedir; (v) Cari oynaklık geçmişe ilişkin haberlere yakın geçmiş sürprizlerinden daha duyarlıdır; (vi) geçmiş yeniliklerin, örnekteki bankaların yarısı için mevcut oynaklık üzerinde önemli asimetrik ve kaldıraç etkisine sahiptir; (vii) Pozitif ve negatif sürprizler banka getirilerinin oynaklığı üzerinde simetrik etkiye sahiptir; (viii) Küresel mali kriz sonrası kriz öncesi döneme kıyasla banka getirilerinin oynaklığı azalmış görünmektedir.

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