THE EFFECTS OF RISKS AND INTEREST RATE RETURN ON THE BIST BANK INDEX: 2023 TURKEY GENERAL ELECTIONS APPLICATION

Year 2024, , 37 - 44, 30.12.2024

Melih Kutlu

https://doi.org/10.18070/erciyesiibd.1362860

Abstract

The aim of this study is to investigate the asymmetric effect of foreign exchange risk, market risk and interest return on the BIST Bank index return and volatility in the 2023 Turkish general elections. The research covers the period between March 13, 2023 and July 21, 2023. GJR-GARCH model was used in the study. Elections affect the banking sector returns and asymmetric volatility. The most obvious variable affecting the banking sector is exchange rate risk. The impact of negative shocks before and after the election is greater than positive shocks. This effect is not observed between two elections. This shows that political uncertainty affects the market. In the period between two elections, banking sector volatility is affected by exchange rate risk rather than past period shocks, past volatility and leverage effects.

Keywords

BIST Bank Index, Volatility, Exchange Rate Risk, Market Risk, General Elections

Ethical Statement

This study complies with Research and Publication Ethics

RİSKLERİN VE FAİZ GETİRİSİNİN BİST BANKA ENDEKSİNE ETKİLERİ: 2023 TÜRKİYE GENEL SEÇİMLERİ UYGULAMASI

Abstract

Bu çalışmanın amacı 2023 Türkiye genel seçimlerinde döviz riski, piyasa riski ve faiz getirisinin BİST Banka endeksi getiri ve volatilitesine asimetrik etkisini araştırmaktır. Araştırma 13 Mart 2023 ve 21 Temmuz 2023 arası dönemini kapsamaktadır. Çalışmada GJR-GARCH modeli kullanılmıştır. Çalışmadan elde edilen bulgulara göre seçimler bankacılık sektörü getiri ve asimetrik volatilitesini etkilemektedir. Bankacılık sektörünü etkileyen en belirgin değişken döviz kuru riskidir. Seçim öncesi ve sonrası negatif şokların etkisi pozitif şoklardan daha fazladır. İki seçim arası dönemde ise bu etki gözlemlenmemiştir. Bu durum siyasi belirsizliğin piyasayı etkilediğini göstermektedir. İki seçim arası dönemde bankacılık sektörü volatilitesi geçmiş dönem şokları, geçmiş dönem volatilitesi ve kaldıraç etkisinden ziyade döviz kuru riskinden etkilenmiştir.

Keywords

BİST Banka Endeksi, Volatilite, Döviz Kuru Riski, Piyasa Riski, Genel Seçimler

Ethical Statement

Bu çalışma Araştırma ve Yayın Etiğine uymaktadır

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