What determines return risks for bank equities in Turkey?
AbstractBy using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity composition of a bank’s loans, the share of trading income in a banks’ overall revenue stream and 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 bank’s overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35291.
Date of creation: 04 Oct 2011
Date of revision:
Commercial banks; risk; Turkish Banks;
Other versions of this item:
- 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.
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-ARA-2011-12-19 (MENA - Middle East & North Africa)
- NEP-BAN-2011-12-19 (Banking)
- NEP-CWA-2011-12-19 (Central & Western Asia)
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