THE RELATIONSHIP OF LIQUIDITY RISK AND FINANCIAL PERFORMANCE: A COMPARATIVE ANALYSIS FOR PRIVATE AND FOREIGN CAPITAL BANKS

Yıl 2023, , 600 - 635, 31.12.2023

Nigar Alev

https://doi.org/10.14520/adyusbd.1356291

Cited By: 2

Öz

While insufficient liquidity is one of the main causes of bank failure, the low liquidity premium of liquid assets, that is, lower returns than illiquid assets, can also lead to bank failures. For this reason, liquidity risk and liquidity risk management are issues that banks should give importance to. In this study, it is aimed to examine the relationship between the performance of 8 private commercial banks and 11 commercial banks with foreign capital in Turkey and as well as liquidity risk and liquidity risk management in the period of 2010:q1-2022:q4. For this purpose, two different models have been established, in which the average return on assets and the average return on equity ratio are dependent variables. The ratio of financing gap to total assets, the ratio of total loans to total assets, the ratio of liquid assets to total assets, the ratio of total equity to total assets, the natural logarithm of total assets, the ratio of total loans to total deposits and the ratio of liquid assets to short-term liabilities are the independent variables in the models. The created models were estimated by the Soft Generalized Least Squares method. Findings from the regression analyzes revealed that banks with foreign capital are more successful in liquidity risk management. Parallel to this result, the findings showed that the liquidity risk increased the performance of foreign banks and decreased the performance of private banks.

Anahtar Kelimeler

Liquidity risk, ROA, ROE, Panel data analysis.

LİKİDİTE RİSKİ VE FİNANSAL PERFORMANS İLİŞKİSİ: ÖZEL VE YABANCI SERMAYELİ BANKALAR İÇİN KARŞILAŞTIRMALI BİR ANALİZ

Öz

Yetersiz likidite, banka başarısızlığının ana nedenlerinden biri olmakla birlikte, likit varlıkların sahip olduğu düşük likidite primi, yani likit olmayan varlıklara göre getirisinin daha düşük olması da banka başarısızlıklarına yol açabilmektedir. Bu nedenle likidite riski ve likidite riski yönetimi bankaların önem vermesi gereken konulardandır. Bu bağlamda bu çalışmada, Türkiye'deki 8 özel ticari banka ve 11 yabancı sermayeli ticari bankanın performansı ile likidite riski ve likidite riski yönetimi arasındaki ilişkinin 2010 yılının ilk çeyreğinden 2022 yılının dördüncü çeyreğine kadar incelenmesi amaçlanmıştır. Bu amaçla ortalama aktif getirisi ve ortalama özsermaye getirisi oranının bağımlı değişken olduğu iki farklı model kurulmuştur. Finansman açığının toplam varlıklara oranı, toplam kredinin toplam varlıklara oranı, likit varlıkların toplam varlıklara oranı, toplam öz sermayenin toplam varlıklara oranı, toplam varlıkların doğal logaritması, toplam kredilerin toplam mevduatlara oranı ve likit aktiflerin kısa vadeli yükümlülüklere oranı modellerde yer alan bağımsız değişkenlerdir. Bankalara ait veriler Türkiye Bankalar Birliğinin veri tabanından elde edilmiştir. Oluşturulan modeller Esnek Genelleştirilmiş En Küçük Kareler yöntemi ile tahmin edilmiştir. Regresyon analizlerinden elde edilen bulgular yabancı sermayeli bankaların likidite riski yönetiminde daha başarılı olduğunu ortaya koymuştur. Bu sonuca paralel olarak bulgular, likidite riskinin yabancı sermayeli bankaların performansını arttırdığı özel sermayeli bankaların performansını düşürdüğünü göstermiştir.

Anahtar Kelimeler

Likidite riski, ROA, ROE, Panel veri analizi

Kaynakça

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