Examining Systematic and Nonsystematic Risks of the ISE Financial Sector Companies
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.
Volume (Year): 6 (2003)
Issue (Month): 24 ()
|Contact details of provider:|| Postal: |
Phone: (90 212) 298 2100
Fax: (90 212) 298 2189
Web page: http://www.borsaistanbul.com
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- King, Robert G. & Levine, Ross, 1993. "Finance, entrepreneurship and growth: Theory and evidence," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 513-542, December.
- Robert J. Barro, 1989.
"Economic Growth in a Cross Section of Countries,"
NBER Working Papers
3120, National Bureau of Economic Research, Inc.
- Bhide, Amar, 1993. "The hidden costs of stock market liquidity," Journal of Financial Economics, Elsevier, vol. 34(1), pages 31-51, August.
- Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Hansson, Pontus & Jonung, Lars, 1997.
"Finance and Economic Growth. The Case of Sweden 1834-1991,"
SSE/EFI Working Paper Series in Economics and Finance
176, Stockholm School of Economics.
- Hansson, Pontus & Jonung, Lars, 1997. "Finance and economic growth: the case of Sweden 1834-1991," Research in Economics, Elsevier, vol. 51(3), pages 275-301, September.
- Thornton, John, 1995. "Financial Deepening and Economic Growth in Developing Countries," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 48(3), pages 423-430.
- Levine, Ross & Zervos, Sara, 1998.
"Stock Markets, Banks, and Economic Growth,"
American Economic Review,
American Economic Association, vol. 88(3), pages 537-58, June.
- Ross Levine & Sara Zervos, . "Stock markets, banks and economic growth ," CERF Discussion Paper Series 95-11, Economics and Finance Section, School of Social Sciences, Brunel University.
- Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank.
- 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 657-78, November.
- 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.
- Rajan, Raghuram G & Zingales, Luigi, 1998.
"Financial Dependence and Growth,"
American Economic Review,
American Economic Association, vol. 88(3), pages 559-86, June.
- Raghuram G. Rajan & Luigi Zingales, 1996. "Financial Dependence and Growth," NBER Working Papers 5758, National Bureau of Economic Research, Inc.
- Raghuram G. Rajan & Luigi Zingales, . "Financial Dependence and Growth," CRSP working papers 344, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Stern, Nicholas, 1989. "The Economics of Development: A Survey," Economic Journal, Royal Economic Society, vol. 99(397), pages 597-685, September.
- Klaus Neusser & Maurice Kugler, 1998. "Manufacturing Growth And Financial Development: Evidence From Oecd Countries," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 638-646, November.
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
- Ahmed, S. M. & Ansari, M. I., 1998. "Financial sector development and economic growth: The South-Asian experience," Journal of Asian Economics, Elsevier, vol. 9(3), pages 503-517.
- Philip Arestis & Panicos O. Demetriades & Kul B. Luintel, 1997.
"Financial Development and Economic Growth: the Role of Stock Markets,"
Keele Department of Economics Discussion Papers (1995-2001)
97/05, Department of Economics, Keele University.
- Arestis, Philip & Demetriades, Panicos O & Luintel, Kul B, 2001. "Financial Development and Economic Growth: The Role of Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(1), pages 16-41, February.
- repec:ner:tilbur:urn:nbn:nl:ui:12-3125520 is not listed on IDEAS
- Fry, Maxwell J, 1978. "Money and Capital or Financial Deepening in Economic Development?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(4), pages 464-75, November.
- Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
When requesting a correction, please mention this item's handle: RePEc:bor:iserev:v:6:y:2003:i:24:p:1-14. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.