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The Causality Relation Between Market Value and Economic Value Added of Banks: Panel Causality Analysis

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  • Tugba FÝGANKAPLAN

Abstract

The purpose of this study is to investigate the causality relation between market value and economic value added of banks. For this purposes, the relationship between market value and economic value added of 7 publicly listed deposit banks in Turkey over the period of 2004-2018 has been examined by using panel cointegration and panel causality analysis. According to panel cointegration test it is obtained that there is long run cointegration among the variables. Dumitrescu and Hurlin (2012) panel Granger causality methods indicate uni-directional causality from economic value added to market value.

Suggested Citation

  • Tugba FÝGANKAPLAN, 2020. "The Causality Relation Between Market Value and Economic Value Added of Banks: Panel Causality Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 14(1), pages 39-67.
    • Handle: RePEc:bdd:journl:v:14:y:2020:i:1:p:39-67
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    More about this item

    Keywords

    Economic value added; Market value; Panel cointegration test; Dumitrescu and Hurlin (2012) panel granger causality analysis; Publicly listed bank.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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