IDEAS home Printed from https://ideas.repec.org/a/bor/bistre/v14y2014i1p23-31.html
   My bibliography  Save this article

What determines return risks for bank equities in Turkey?

Author

Listed:
  • Emre Ozsoz
  • Erick W. Rengifo
  • Mustapha A. Akinkunmi

Abstract

By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for banks’ equities in the case of an emerging market economy, Turkey. The analysis reveals that maturity composition of banks’ loans, share of trading income in banks’ overall revenue stream and its foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of banks’ overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk. Copyright 2013, Borsa _Istanbul Anonim S‚ irketi. Production and hosting by Elsevier B.V. All rights reserved.

Suggested Citation

  • Emre Ozsoz & Erick W. Rengifo & Mustapha A. Akinkunmi, 2014. "What determines return risks for bank equities in Turkey?," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 23-31, March.
    • Handle: RePEc:bor:bistre:v:14:y:2014:i:1:p:23-31
    as

    Download full text from publisher

    File URL: http://ac.els-cdn.com/S2214845013000367/1-s2.0-S2214845013000367-main.pdf?_tid=8b041192-ba3c-11e3-9872-00000aab0f02&acdnat=1396425674_08dfac91e1019e45510692985832453c.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ross Levine, 1997. "Financial Development and Economic Growth: Views and Agenda," Journal of Economic Literature, American Economic Association, vol. 35(2), pages 688-726, June.
    2. Ihsan Isik & M. Kabir Hassan, 2003. "Efficiency, Ownership and Market Structure, Corporate Control and Governance in the Turkish Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9‐10), pages 1363-1421, December.
    3. Saunders, Anthony & Walter, Ingo, 1994. "Universal Banking in the United States: What Could We Gain? What Could We Lose?," OUP Catalogue, Oxford University Press, number 9780195080698, Decembrie.
    4. Rogers, Kevin, 1994. "Universal banking in the United States: What could we gain? What could we lose? : Saunders, Anthony and Ingo Walter. New York: Oxford University Press, 1994. Pp 276. $39.95," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1217-1219, December.
    5. Demsetz, Rebecca S & Strahan, Philip E, 1997. "Diversification, Size, and Risk at Bank Holding Companies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 300-313, August.
    6. Rousseau, Peter L & Wachtel, Paul, 1998. "Financial Intermediation and Economic Performance: Historical Evidence from Five Industrialized Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(4), pages 657-678, November.
    7. Micco, Alejandro & Panizza, Ugo & Yañez, Mónica, 2004. "Bank Ownership and Performance," IDB Publications (Working Papers) 1544, Inter-American Development Bank.
    8. Lensink, Robert & Meesters, Aljar & Naaborg, Ilko, 2008. "Bank efficiency and foreign ownership: Do good institutions matter?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 834-844, May.
    9. Kevin Stiroh, 2006. "New Evidence on the Determinants of Bank Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 237-263, December.
    10. Başak Tanyeri, 2010. "Financial Transparency and Sources of Hidden Capital in Turkish Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 25-43, February.
    11. Cem Payaslioglu, 2009. "Common features and stylized facts in Turkish macroeconomy," Journal of Developing Areas, Tennessee State University, College of Business, vol. 43(1), pages 155-176, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Saoussen Ben Gamra & Dominique Plihon, 2011. "Revenue diversification in emerging market banks: implications for financial performance," CEPN Working Papers hal-00598136, HAL.
    2. Olivier De Jonghe & Mustafa Disli & Koen Schoors, 2012. "Corporate Governance, Opaque Bank Activities, and Risk/Return Efficiency: Pre- and Post-Crisis Evidence from Turkey," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(1), pages 51-80, April.
    3. Calmès, Christian & Théoret, Raymond, 2010. "The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1719-1728, July.
    4. Nada Kobeissi, 2004. "Ownership Structure and Bank Performance: Evidence from the Middle East and North Africa," Working Papers 0413, Economic Research Forum, revised 06 Mar 2004.
    5. Martin Goetz & Luc Laeven & Ross Levine, 2011. "The Valuation Effects of Geographic Diversification: Evidence from U.S. Banks," NBER Working Papers 17660, National Bureau of Economic Research, Inc.
    6. Ho, Chun-Yu, 2012. "Market structure, welfare, and banking reform in China," Journal of Comparative Economics, Elsevier, vol. 40(2), pages 291-313.
    7. Mitchener, Kris James & Wheelock, David C., 2013. "Does the structure of banking markets affect economic growth? Evidence from U.S. state banking markets," Explorations in Economic History, Elsevier, vol. 50(2), pages 161-178.
    8. Pomfret, Richard, 2010. "The financial sector and the future of capitalism," Economic Systems, Elsevier, vol. 34(1), pages 22-37, March.
    9. Howard Bodenhorn, 2016. "Two Centuries of Finance and Growth in the United States, 1790-1980," Working Papers id:11352, eSocialSciences.
    10. Hondroyiannis, George & Lolos, Sarantis & Papapetrou, Evangelia, 2005. "Financial markets and economic growth in Greece, 1986-1999," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 173-188, April.
    11. Li, Li & Zhang, Yu, 2013. "Are there diversification benefits of increasing noninterest income in the Chinese banking industry?," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 151-165.
    12. Beck, Thorsten & Levine, Ross & Loayza, Norman, 2000. "Finance and the sources of growth," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 261-300.
    13. Denizer Cevdet A. & Iyigun Murat F. & Owen Ann, 2002. "Finance and Macroeconomic Volatility," The B.E. Journal of Macroeconomics, De Gruyter, vol. 2(1), pages 1-32, October.
    14. Hidayat, Wahyu Yuwana & Kakinaka, Makoto & Miyamoto, Hiroaki, 2012. "Bank risk and non-interest income activities in the Indonesian banking industry," Journal of Asian Economics, Elsevier, vol. 23(4), pages 335-343.
    15. Westman, Hanna, 2011. "The impact of management and board ownership on profitability in banks with different strategies," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3300-3318.
    16. Evan Gatev & Til Schuermann & Philip E. Strahan, 2009. "Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 995-1020.
    17. Ross Levine & Norman Loayza & Thorsten Beck, 2002. "Financial Intermediation and Growth: Causality and Causes," Central Banking, Analysis, and Economic Policies Book Series, in: Leonardo Hernández & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Banking, Financial Integration, and International Crises, edition 1, volume 3, chapter 2, pages 031-084, Central Bank of Chile.
    18. Ahlin, Christian & Pang, Jiaren, 2008. "Are financial development and corruption control substitutes in promoting growth?," Journal of Development Economics, Elsevier, vol. 86(2), pages 414-433, June.
    19. Hosamane, Manjappa & Rajanna, Niranjan, 2010. "Financial Liberalization, Development and Industrial Growth: Evidence from India," MPRA Paper 55624, University Library of Munich, Germany.
    20. Katharina Diekmann & Frank Westermann, 2010. "Financial Development and Sectoral Output Growth in 19th Century Germany," IEER Working Papers 86, Institute of Empirical Economic Research, Osnabrueck University.

    More about this item

    Keywords

    Commercial banks; Turkish banks; Equity risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bor:bistre:v:14:y:2014:i:1:p:23-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ahmet Palu (email available below). General contact details of provider: https://edirc.repec.org/data/rdisetr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.