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Examining Systematic and Nonsystematic Risks of the ISE Financial Sector Companies

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  • Prof. Dr. Hatice Dogukanli
  • Songül Kakilli Acaravci
  • Serkan Yilmaz Kandir
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    Abstract

    The recent crises in Turkey again indicated the importance of systematic risk. Transfer of many banks into “Savings Deposit Insurance Fund” in the last period is a result of these events. It is believed that systematic risk has an important place in these risks. Basic systematic risk sources, growth rate in GNP, inflation rate, interest rate and exchange rate risk influence all of the companies. Effect of these risks over financial companies is more important. Because interest rate and exchange rate risks concern financial companies and especially banks more than any other sector companies. In this study, systematic and nonsystematic risks of 32 financial sector stocks are decomposed by using single index model. The time period of 72 months between January 1996 and December 2001 is covered in the study. As a result it can be stated that nonsystematic risk is more important than systematic risk for financial sector companies. Nevertheless this is not the case for all of the financial companies. There are differences in both total risks and composition of risk between financial companies.

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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_24.pdf
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    Bibliographic Info

    Article provided by Research and Business Development Department, Borsa Istanbul in its journal Istanbul Stock Exchange Review.

    Volume (Year): 6 (2003)
    Issue (Month): 24 ()
    Pages: 1-14

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    Handle: RePEc:bor:iserev:v:6:y:2003:i:24:p:1-14

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