Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks

Hikmet Akyol; Selim Başar

doi:10.26650/ISTJECON2023-1288872

Araştırma Makalesi

Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks

Yıl 2024, Cilt: 74 Sayı: 1, 59 - 98, 04.09.2024

Hikmet Akyol , Selim Başar

https://doi.org/10.26650/ISTJECON2023-1288872

Öz

This research examines the macroeconomic and institutional sources of individual, systemic, and systematic risks in the Turkish banking sector. The period between 2008:Q3 and 2019:Q3 of the nine deposit banks selected for this purpose were estimated using panel data analysis estimators. The results indicate that selected macroeconomic and institutional variables affect banking risks. These findings are important for revealing the institutional and macroeconomic sources of risks in the Turkish banking sector. Therefore, the results contain significant propositions for researchers, market participants, and politicians. Market participants and researchers can anticipate defaults and financial instability using selected macroeconomic and institutional variables. The estimation results reveal Turkish banks’ institutional soundness and financial performance strength. In addition, the extent to which banks are effective intermediaries in the sector was analysed. This research documented a strong link between global market indicators and banking risks.

JEL Classification : E44 , G20 , G21

Anahtar Kelimeler

Individual risk, Systematic risk, Systemic risk, MacroFinance

Kaynakça

Abbate, A. & Thaler, D. (2019). Monetary policy and the asset risk-taking channel. Journal of Money, Credit and Banking, 51(8), 2116-2143. google scholar
Acharya, V. V., Pedersen, L. H., Philippon, T. & Richardson, M. P. (2010). Measuring Systemic Risk. FRB of Cleveland Working Paper, No. 10-02. SSRN: https://ssrn.com/abstract=1595075 google scholar
Acharya, V. V. & Thakor, A. V. (2016). The dark side of liquidity creation: leverage and systemic risk Journal of Financial Intermediation, 28, 4-21. http://dx.doi.Org/10.1016/j.jfi.2016.08.004 google scholar
Adami, R., Gough, O., Muradoğlu, G. & Sivaprasad, S. (2010). The leverage effect on stock returns. 1-34. http://10.2139/ssrn.1690183 google scholar
Adhikari, N. (2015). Determinants of systemic risk for companies listed on Nepal stock exchange. GlobalJournal of Management and Business Research: C Finance, 15(5), 1-11. google scholar
Aharon, D.Y. & Yagil, Y. (2019). The Impact of financial leverage on shareholders’ systematic risk. Sustainability, 11, 6548. https://doi.org/10.3390/su11236548 google scholar
Ahmad, M. I., Ur Rehman, R. & Raoof, A. (2010). Do interest rate, exchange rate effect stock returns? A Pakistani Perspective. International Research Journal of Finance and Economics, 50, 146-150. google scholar
Akyol, H. & Baltacı, N. (2018). Ülke kredi risk düzeyi, petrol fiyatları ve temel makroekonomik göstergelerin hisse senedi getirilerine etkisi: BIST 100 örneği. Kafkas Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 22, 459-476. google scholar
Alaghi, K. (2011). Financial leverage and systematic risk. African Journal of Business Management, 5(15), 6648-6650. google scholar
Allen, F. & Carletti, E. (2013). Systemic risk from real estate and macro-prudential regulation. InternationalJournal of Banking, Accounting and Finance, 5(1/2), 28-48. google scholar
Alper, D. & Kara, E. (2017). Borsa İstanbul’da hisse senedi getirilerini etkileyen makroekonomik faktörler: BIST sınai endeksi üzerine bir araştırma. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(3), 713-730. google scholar
Al-Qudah, A. & Laham, M. (2013). The effect of financial leverage & systematic risk on stock returns in the Amman Stock Exchange (Analytical study-ındustrial sector). Research Journal of Finance and Accounting, 4(6), 136-144. google scholar
Amtiran, P. Y., Indiastuti, R., Nidar, S. R. & Masyita, D. (2016). Determinants of systematic risk of banking sector in Indonesia stock exchange. GlobalJournal of Business and Social Science Review, 04(1), 1-8. google scholar
Anginer, D. & Demirguc-Kunt, A. (2014). Bank capital and systemic stability. The World Bank Development Research Group, Policy Research Working Paper, 6948. google scholar
Andrieş, A. M. & Nistor, S. (2018). Systemic risk and foreign currency positions of banks: Evidence from Emerging Europe. Eastern European Economics, 56(5), 382-421. google scholar
Bai, J. & Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica, Econometric Society, 72(4), 1127-1177. google scholar
Bai, J. & Ng, S. (2010). Panel unit root tests with cross-section dependence: A further investigation. Econometric Theory, 26(4), 1088-1114. google scholar
Baltagi, B. H. & Wu, P. X. (1999). Unequally spaced panel data regressions with ar (1) disturbances. Econometric Theory, 15(6), 814-823. google scholar
Baltagi, B. H, Feng, Q. & C. Kao (2012). A lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model. Journal of the Econometrics, 170, 164-177. google scholar
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18. google scholar
Belen, M. & Karamelikli, H. (2015). Türkiye’de hisse senedi getirileri ile döviz kuru arasındaki ilişkinin incelenmesi: ARDL yaklaşımı. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 45(1), 34-42. google scholar
Berke, B. (2012). Döviz kuru ve İMKB100 endeksi ilişkisi: yeni bir test. Maliye Dergisi, 163, 243-257. google scholar
Bhagat, S., Bolton, B. & Lu, J. (2015). Size, leverage, and risk-taking of financial institutions. Journal of Banking & Finance, 59, 520-537. google scholar
Bianconi, M., Hua, X. & Tan, C. M. (2015). Determinants of systemic risk and information dissemination. International Review of Economics and Finance, 38, 352-368. google scholar
Borde, S. F. (1998). Risk diversity across restaurants: an empirical analysis. Cornell Hospitality Quarterly, 39(2), 64-69. google scholar
Borri, N., Caccavaio, M., Di Giorgio, G. & Sorrentino, A. M. (2014). Systemic risk in the Italian banking industry. Economic Notes by Banca Monte dei Paschi di Siena SpA, 43(1), 21-38. google scholar
BORSA ISTANBUL (2019). Günlük Bülten. Retrieved December 2, 2019 from https://www.borsaistanbul.com/veriler/verileralt/gunluk-bulten google scholar
Bowman, R.G. (1980). The importance of a market-value measurement of debt in assessing leverage. Journal ofAccounting Research, 18(1), 242-254 google scholar
Bouheni, F. B. (2014). Banking regulation and supervision: can it enhance stability in Europe? Journal of Financial Economic Policy, 6(3), 244-269. google scholar
Bouheni, F. B. & Rachdi, H. (2015). Bank capital adequacy requirements and risk-taking behavior in Tunisia: A Simultaneous Equations Framework. The Journal of Applied Business Research, 31(1), 231-238. google scholar
Booth, J. R., Officer, D. T. & Henderson, G. V. (1985). Commercial bank stocks, interest rates, and systematic risk. Journal of Economics and Business, 37, 303-310. google scholar
Boztosun, D. (2010). İMKB’de işlem gören banka hisse senetlerinin getirileri ile makro ekonomik faktörler arasındaki ilişkinin analizi. Üçüncü Sektör Kooperatifçilik, 45(4), 39-53. google scholar
Breitung, J. (2000). The local power of some unit root tests for panel data. nonstationary panels, Panel Cointegration and Dynamic Panels, 15, 161-177. google scholar
Breusch, T. S. & Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specification in econometrics. Review of Economic Studies, Oxford University Press, 47(1), 239-253. google scholar
Chung, T. F., Ariff, M. & M., S. (2017). Banking liquidity and stock market prices in three countries in ASEAN. Pertanika Journal of Social Sciences and Humanities, 25 (1), 291- 316. google scholar
CME Group Company (2010a). Global sovereign credit risk report, 1st quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2010b). Global sovereign credit risk report, 2nd quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com">http://www.cmavision.com http://www.cmavision.com google scholar
CME Group Company (2010c). Global sovereign credit risk report, 3rd quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011a). Global sovereign credit risk report, 4th quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011b). Global sovereign credit risk report, 1st quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011c). Global sovereign credit risk report, 2nd quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company. (2011d). Global sovereign credit risk report, 3rd quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012a). Global sovereign credit risk report, 4th quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012b). Global sovereign credit risk report, 1st quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012c). Global sovereign credit risk report, 2nd quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012d). Global sovereign credit risk report, 3rd quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012e). Global sovereign credit risk report, 4th quarter 2012.Retrieved June google scholar
Colletaz, G., Levieuge, G. & Popescu, A. (2018). Monetary policy and long-run systemic risk-taking. Journal of Economic Dynamics & Control, 86, 165-184. google scholar
Daelemans, B., Daniels, J. P. & Nourzad, F. (2018). Free trade agreements and volatility of stock returns and exchange rates: evidence from NAFTA. Open Economies Review, 29, 141-163. google scholar
Daves, P. R., Ehrhardt, M.C., Kuhlemeyer, G. A. & Kunkel, R. A. (2000). Increases in the systematic risk of large firms. American Business Review, 18(2), 62-74. google scholar
Dedunu, H. H. (2017). Financial variables impact on common stock systematic risk. International Journal of Scientific Research and Innovative Technology, 4(10), 23-32. google scholar
Dell’ariccia, G., Laeven, L. & Suarez, G. A. (2017). Bank leverage and monetary policy’s risk-taking channel: evidence from the United States. The Journal of Finance, LXXII (2), 613-654. google scholar
Dreyer, J. K., Schmid, P.A. & Zugrav, V. (2018). Individual, systematic and systemic risks in the Danish banking sector. Finance a ûver-CzechJournalof Economics and Finance, 68 (4), 320-350. google scholar
Driscoll, J. C. & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, 80(4), 549-560, google scholar
Drobetz, W., Menzel, C. & Schröder, H. (2016). Systematic risk behavior in cyclical industries: the case of shipping. Transportation Research Part E, 88, 129-145. google scholar
ECB (2009). The Concept of Systemic Risk. Financial Stability Review, 134-142. google scholar
Fahmi, S., Geetha, C. & Mohidin, R. (2017). The effect of systematıc risk factors on the performance of the Malaysia stock market. Proceedings of International Conference on Economics, 57-68. google scholar
Festic, M., Kavkler, A. & Repina, S. (2011). The macroeconomic sources of systemic risk in the banking sectors of five new EU member states. Journal of Banking & Finance, 35, 310-322. google scholar
Frees, E.W. (1995). Assessing cross-sectional correlation in panel data. Journal of Econometrics, 69, 393-414. google scholar
Frees E.W. (2004). Longitudinal and panel data: analysis and applications in the social sciences. Cambridge University Press. google scholar
Friedman, M. (1937). The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32, 675-701. google scholar
Fu, X., Sandri, M. & Shackleton, M. B. (2016). Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures. The Journal of Futures Markets, 36 (11), 1029-1056. google scholar
Giacomini, E., Ling, D. C. & Naranjo, A. (2015). Leverage and returns: a cross-country analysis of public real estate markets. The Journal of Real Estate Finance and Economics, 51, 125-159. http://10.1007/s11146-014-9489-5 google scholar
Greene, W. (2000). Econometric analysis. upper saddle river. New Jersey: Prentice-Hall. google scholar
Grill, M., Lang, J. H. & Smith, J. (2016). The leverage ratio, risk-taking and bank stability. ECB, Working Paper, 2079. google scholar
Ha, N. T. T. & Quyen, P. G. (2018). Monetary policy, bank competitiveness and bank risk-taking: empirical evidence from Vietnam. Asian Academy of Management Journal of Accounting and Finance, 14(2), 137-156. google scholar
Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. EconometricsJournal, 3, 148-161. google scholar
Hamada, R. S. (1969). Portfolio analysis, market equilibrium and corporation finance. The Journal of Finance, 24(1), 13-31. google scholar
Hamada, R. S. (1972). The effect of firms’s capital structure on the systematic risk of common stock. The Journal of Finance, 27(2), 435-452. google scholar
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271. google scholar
Hussain, S. & Shah, S. M. A. (2018). Macro-economic factors and firm downside systematic risk: socio-political index as moderation. Journal of Managerial Sciences, XI (3), 221-242. google scholar
Im, K. S., Pesaran, M. H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53 - 74. google scholar
Investing.Com (2019). Investing. Retrieved December 2, 2019 from https://www.investing.com/ google scholar
Iqbal, M. J. & Shah, S. Z. A. (2012). Determinants of systematic risk. The Journal of Commerce, 4(1), 47-56. google scholar
Kabundi, A. & De Simone, F. N. (2019). Monetary policy and systemic risk-taking in the Euro area banking sector. Economic Modelling, https://doi.org/10.1016/j.econmod.2019.10.020 google scholar
Karakuş, R. (2017). Determinants of affecting level from systematic risk: evidence from BIST 100 companies in Turkey. Eurasian Journal of Business and Economics, 10(20), 33-46. google scholar
Kasman, S., Vardar, G. & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: evidence from Turkey. Economic Modelling, 28, 1328-1334. google scholar
Kim, J. (2019). The effect of systematic default risk on credit risk premiums. Sustainability, 11(6039), 1-17. google scholar
Kownatzki, C. (2016). How good is the VIX as a predictor of market risk? Journal of Accounting and Finance, 16(6), 39-60. google scholar
Kubinschi, M. & Barnea, D. (2016). Systemic risk impact on economic growth- the case of the CEE countries. Romanian Journal of Economic Forecasting, XIX (4), 79-94. google scholar
Kuzubaş, T. U., Saltoğlu, B. & Sever, C. (2016). Systemic risk and heterogeneous leverage in banking networks. Physica A, 462, 358-375. google scholar
Laeven, L., Ratnovski, L. & Tong, H. (2014). Bank size and systemic risk. Internatıonal Monetary Fund, 1-33. google scholar
Laeven, L., Ratnovski, L. & Tong, H. (2016). Bank size, capital, and systemic risk: some international evidence. Journal of Banking & Finance, 69, 25-34. google scholar
Langfield, S. & Pagano, M. (2016). Bank bias in Europe: effects on systemic risk and growth. Economic Policy, 31(85), 51-106. google scholar
Lakonishok, J. & Shapiro, A. C. (1984). Stock returns, beta, variance and size: an empirical analysis. Financial Analysts Journal, 40(4), 36-41. google scholar
Lee, U. (1997). Stock market and macroeconomic policies: new evidence from Pacific basin countries. Multinational Finance Journal, 1(4), 273-289. google scholar
Lee, C. C. & Hsieh, M. F. (2013). The impact of bank capital on profitability and risk in Asian banking. Journal of International Money and Finance, 32, 251-281. google scholar
Lee, J. S. & Jang, S. (2007). The systematic-risk determinants of The US airline industry. Tourism Management, 28, 434-442. google scholar
Levine, R. (1997). Financial development and economic growth: views and agenda. Journal of Economic Literature, 35(2), 688-726. google scholar
Longstaff, F. A., Pan, J., Pedersen, L. H. & Singleton, K. J. (2007). How sovereign is sovereign credit risk? Working Paper, 13658, National Bureau of Economic Research. google scholar
Longstaff, F. A., Pan, J., Pedersen, L. H. & Singleton, K. J. (2011). How sovereign is sovereign credit risk? American Economic Journal, 1-31. google scholar
Lopotenco, V. (2017). What is the ımpact of monetary policy on systemic risk of republic of Moldova’s Banking Sector? The Journal Contemporary Economy, 2(1), 157-163. google scholar
Macau, M. M. & Ambrose, D. J. (2018). Systematic risk factors, investor sentiment and stock market performance in Kenya. International Journal of Management and Commerce Innovations, 5(2), 1132-1143. google scholar
Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, Special Issue, 0305-9049, 631-652. google scholar
Mandelker, G. N. & S. Ghon Rhee, S. G. (1984). The impact of the degrees of operating and financial leverage on systematic risk of common stock. The Journal of Financial and Quantitative Analysis, 19(1), 45-57. google scholar
Marozva, G. (2019). Liquidity and stock returns: new evidence from Johannesburg stock Exchange. The Journal Developing Areas, 53(2), 79-90. google scholar
Maysami, R. C., Howe, L. C. & Hamzah, M.A. (2004). Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-sector indices. Jurnal Pengurusan, 24, 47-77. google scholar
Mazviona, B.W. & Nyangara, D. (2014). Does firm size affect stock returns? evidence from the Zimbabwe stock exchange. International Journal of Business and Economic Development, 2(3), 13-17. google scholar
McCurdy, T. H. & Morgan, I. G. (1991). Tests for a systematic risk component in deviations from uncovered interest rate parity. Review of Economic Studies, 58, 587-602. google scholar
Mcgraw Hill Financial (2013a). Global sovereign credit risk report. S&P capital IQ, 1st quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013b). Global sovereign credit risk report. S&P capital IQ, 2nd quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013c). Global sovereign credit risk report. S&P capital IQ, 3rd quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013d). global sovereign credit risk report. S&P capital IQ, 4th quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014a). Global sovereign credit risk report. S&P capital IQ, 1st quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014b). Global sovereign credit risk report. S&P capital IQ, 2nd quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014c). Global sovereign credit risk report. S&P capital IQ, 3rd quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014d). Global sovereign credit risk report. S&P capital IQ, 4th quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887. google scholar
Mirza, N., Rahat, B. & Reddy, K. (2016). Financial leverage and stock returns: evidence from an emerging economy, Economic Research-Ekonomska Istrazivanja, 29(1) 85-100. google scholar
Modigliani, F. & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297. google scholar
MSCI.Com (2019). MSCI. Retrieved December 2, 2019 from https://www.msci.com/ google scholar
Muradoğlu, G. & Sivaprasad, S. (2008). An empirical test on leverage and stock returns. Retrieved June 15, 2020 from https://www.semanticscholar.org/paper/AN-EMPIRICAL-TEST-ON-LEVERAGE-AND-STOCK-RETURNS-Muradoglu/90e3cacad068843bd71ec 75916d620482fae3e3fv google scholar
Narayan, P. K., Narayan, S. & Singh, H. (2014). The determinants of stock prices: new evidence from the Indian banking sector. Emerging Markets Finance & Trade, 50(2),5-15. google scholar
Nimalathasan, B. & Pratheepkanth, P. (2012). Systematic risk management and profitability: a case study of selected financial ınstitutions in Sri Lanka. Global Journal of Management and Business Research, 12(17), 1-4. google scholar
Öztürk, H. & Yılmaz, A. A. (2015). Leverage and stock returns: evidence from Istanbul stock exchange. Accounting and Finance Research, 4(4), 140-146. google scholar
Pais, A. & Stork, P. A. (2013). Bank size and systemic risk. European Financial Management, 19(3), 429-451. google scholar
PARAGARANTI.COM (2019). Para-garanti. Retrieved December 2, 2019 from https://www. paragaranti.com/ google scholar
Patrick, H. T. (1966). Financial development and economic growth in underdeveloped countries. Economic Development and Cultural Change, 14(2), 174-189. google scholar
Pesaran, M.H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper Series, No. 1229; IZA Discussion Paper No. 1240. google scholar
Pesaran, M. H. (2007). A simple panel unıt root test in the presence of cross-section dependence. Journal of Applied Economy, 22, 265-312. google scholar
Pesaran, M. H. (2015). Testing weak cross-sectional dependence in large panels. Econometric Reviews, 34(6-10), 1089-1117. google scholar
Puspitaningtyas, Z. (2017). Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia. Investment Management and Financial Innovations, 14(1), 46-54. google scholar
Rahman, M. M., Chowdhury, A. A. & Dey, M. (2018). Relationship between risk-taking, capital regulation and bank performance: empirical evidence from Bangladesh. Eurasian Journal of Business and Economics, 11(22), 29-57. google scholar
Rahim, A., Khan, Z., Alam, T. & Khan, H. (2016). Effect of leverage on stock returns and systematic risk: evidence from Pakistani industries. Sarhad Journal of Management Sciences, 2(1), 39-48. google scholar
Ranciere, R. & Tornell, A. (2004). Systemic risk and growth. 1-28. Retrieved May 15, 2019 from https://www.imf.org/external/pubs/ft/staffp/2004/00-00/tornel.pdf google scholar
Ranciere, R., Tornell, A. & Westermann, F. (2008). Systemic crises and growth. The Quarterly Journal of Economics, 123(1), 359-406. google scholar
Ranciere, R., Tornell, A., Vamvakidis, A., Nocke, V., Alberola, E. & Del Rio, P. (2010). Currency mismatch, systemic risk and growth in Emerging europe [with Discussion]. Economic Policy, 25(64), 597-658. google scholar
Rubinstein, M.E. A (1973). Mean variance synthesis of corporate financial theory. The Journal of Finance, 28 (1), 167-181. google scholar
Rutkowska-Ziarko, A. & Pyke, C. (2017). The development of downside accounting beta as a measure of risk . Folia Oeconomica Stetinensia, 151-161. Economics and Business Review, 3(17) (4), 55-65. google scholar
Sarwar, G. & Khan, W. (2017). The effect of US stock market uncertainty on emerging market returns. Emerging Markets Finance & Trade, 53, 1796-1811. google scholar
Sirivige, R. (2017). The relationship between profitability and the risk factors and other macroeconomic factors. Munich Personal RePEc Archive, 78625. google scholar
Smaga, P. (2014). The concept of systemic risk. The London school of economics and political science, E.S.R.C., 5, 1-26. google scholar
Stever, R. (2007). Bank size, credit and the sources of bank market risk. BIS Working Papers, 238. google scholar
Stolbov, M. (2017). Assessing systemic risk and ıts determinants for advanced and major emerging economies: the case of ACoVaR. International Economics and Economic Policy, 14, 119-152. google scholar
Sullivan, T. G. (1978). The cost of capital and the market power of firms. The Review of Economics and Statistics, 60(2), 209-217. google scholar
Şentürk, M. & Dücan, E. (2014). Türkiye’de döviz kuru-faiz oranı ve borsa getirisi ilişkisi: ampirik bir analiz. Business and Economics Research Journal, 5(3), 67-80. google scholar
Taylor, M. P. & Sarno, L. (1998). The behavior of real exchange rates during the post- bretton woods period. Journal of International Economics, 46, 281-312. google scholar
TBB (2019). İstatistikler. Retrieved December 2, 2019 from https://www.tbb.org.tr/tr google scholar
TCMB (2019). EVDS. Retrieved December 2, 2019 from https://www.tcmb.gov.tr/ google scholar
Toader, O. (2015). Estimating the ımpact of higher capital requirements on the cost of equity: an empirical study of European banks. International Economics and Economic Policy, 12, 411-436. google scholar
Varotto, S. & Zhao, L. (2018). Systemic risk and bank size. Journal of International Money and Finance, 82, 45-70. google scholar
NYU-Stern (2019). V-lab. Retrieved December 2, 2019 from https://vlab.stern.nyu.edu/ google scholar
Wibowo, B. (2017). Systemic risk, bank’s capital buffer, and leverage. Economic Journal of Emerging Markets, 9(2), 150-158. google scholar
Xu, T. T., Hu, K. & Udaibir, S. D. (2019). Bank profitability and financial stability. IMF Working Paper, No. WP/19/5. google scholar
YAHOO FINANCE (2019). CBOE volatility index. Retrieved December 2, 2019 from https://finance. yahoo.com/ google scholar
Yeşin, P. (2013). Foreign currency loans and systemic risk in europe. Federal Reserve Bank of St. Louis Review, 95(3), 219-235. google scholar

Yıl 2024, Cilt: 74 Sayı: 1, 59 - 98, 04.09.2024

Hikmet Akyol , Selim Başar

https://doi.org/10.26650/ISTJECON2023-1288872

Öz

Teşekkür

Sayın editör, size ve dergi yönetimindeki kıymetli hoca ve görevlilere emeklerinizden dolayı şimdiden çok teşekkür ederiz.

Kaynakça

Abbate, A. & Thaler, D. (2019). Monetary policy and the asset risk-taking channel. Journal of Money, Credit and Banking, 51(8), 2116-2143. google scholar
Acharya, V. V., Pedersen, L. H., Philippon, T. & Richardson, M. P. (2010). Measuring Systemic Risk. FRB of Cleveland Working Paper, No. 10-02. SSRN: https://ssrn.com/abstract=1595075 google scholar
Acharya, V. V. & Thakor, A. V. (2016). The dark side of liquidity creation: leverage and systemic risk Journal of Financial Intermediation, 28, 4-21. http://dx.doi.Org/10.1016/j.jfi.2016.08.004 google scholar
Adami, R., Gough, O., Muradoğlu, G. & Sivaprasad, S. (2010). The leverage effect on stock returns. 1-34. http://10.2139/ssrn.1690183 google scholar
Adhikari, N. (2015). Determinants of systemic risk for companies listed on Nepal stock exchange. GlobalJournal of Management and Business Research: C Finance, 15(5), 1-11. google scholar
Aharon, D.Y. & Yagil, Y. (2019). The Impact of financial leverage on shareholders’ systematic risk. Sustainability, 11, 6548. https://doi.org/10.3390/su11236548 google scholar
Ahmad, M. I., Ur Rehman, R. & Raoof, A. (2010). Do interest rate, exchange rate effect stock returns? A Pakistani Perspective. International Research Journal of Finance and Economics, 50, 146-150. google scholar
Akyol, H. & Baltacı, N. (2018). Ülke kredi risk düzeyi, petrol fiyatları ve temel makroekonomik göstergelerin hisse senedi getirilerine etkisi: BIST 100 örneği. Kafkas Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 22, 459-476. google scholar
Alaghi, K. (2011). Financial leverage and systematic risk. African Journal of Business Management, 5(15), 6648-6650. google scholar
Allen, F. & Carletti, E. (2013). Systemic risk from real estate and macro-prudential regulation. InternationalJournal of Banking, Accounting and Finance, 5(1/2), 28-48. google scholar
Alper, D. & Kara, E. (2017). Borsa İstanbul’da hisse senedi getirilerini etkileyen makroekonomik faktörler: BIST sınai endeksi üzerine bir araştırma. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(3), 713-730. google scholar
Al-Qudah, A. & Laham, M. (2013). The effect of financial leverage & systematic risk on stock returns in the Amman Stock Exchange (Analytical study-ındustrial sector). Research Journal of Finance and Accounting, 4(6), 136-144. google scholar
Amtiran, P. Y., Indiastuti, R., Nidar, S. R. & Masyita, D. (2016). Determinants of systematic risk of banking sector in Indonesia stock exchange. GlobalJournal of Business and Social Science Review, 04(1), 1-8. google scholar
Anginer, D. & Demirguc-Kunt, A. (2014). Bank capital and systemic stability. The World Bank Development Research Group, Policy Research Working Paper, 6948. google scholar
Andrieş, A. M. & Nistor, S. (2018). Systemic risk and foreign currency positions of banks: Evidence from Emerging Europe. Eastern European Economics, 56(5), 382-421. google scholar
Bai, J. & Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica, Econometric Society, 72(4), 1127-1177. google scholar
Bai, J. & Ng, S. (2010). Panel unit root tests with cross-section dependence: A further investigation. Econometric Theory, 26(4), 1088-1114. google scholar
Baltagi, B. H. & Wu, P. X. (1999). Unequally spaced panel data regressions with ar (1) disturbances. Econometric Theory, 15(6), 814-823. google scholar
Baltagi, B. H, Feng, Q. & C. Kao (2012). A lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model. Journal of the Econometrics, 170, 164-177. google scholar
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18. google scholar
Belen, M. & Karamelikli, H. (2015). Türkiye’de hisse senedi getirileri ile döviz kuru arasındaki ilişkinin incelenmesi: ARDL yaklaşımı. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 45(1), 34-42. google scholar
Berke, B. (2012). Döviz kuru ve İMKB100 endeksi ilişkisi: yeni bir test. Maliye Dergisi, 163, 243-257. google scholar
Bhagat, S., Bolton, B. & Lu, J. (2015). Size, leverage, and risk-taking of financial institutions. Journal of Banking & Finance, 59, 520-537. google scholar
Bianconi, M., Hua, X. & Tan, C. M. (2015). Determinants of systemic risk and information dissemination. International Review of Economics and Finance, 38, 352-368. google scholar
Borde, S. F. (1998). Risk diversity across restaurants: an empirical analysis. Cornell Hospitality Quarterly, 39(2), 64-69. google scholar
Borri, N., Caccavaio, M., Di Giorgio, G. & Sorrentino, A. M. (2014). Systemic risk in the Italian banking industry. Economic Notes by Banca Monte dei Paschi di Siena SpA, 43(1), 21-38. google scholar
BORSA ISTANBUL (2019). Günlük Bülten. Retrieved December 2, 2019 from https://www.borsaistanbul.com/veriler/verileralt/gunluk-bulten google scholar
Bowman, R.G. (1980). The importance of a market-value measurement of debt in assessing leverage. Journal ofAccounting Research, 18(1), 242-254 google scholar
Bouheni, F. B. (2014). Banking regulation and supervision: can it enhance stability in Europe? Journal of Financial Economic Policy, 6(3), 244-269. google scholar
Bouheni, F. B. & Rachdi, H. (2015). Bank capital adequacy requirements and risk-taking behavior in Tunisia: A Simultaneous Equations Framework. The Journal of Applied Business Research, 31(1), 231-238. google scholar
Booth, J. R., Officer, D. T. & Henderson, G. V. (1985). Commercial bank stocks, interest rates, and systematic risk. Journal of Economics and Business, 37, 303-310. google scholar
Boztosun, D. (2010). İMKB’de işlem gören banka hisse senetlerinin getirileri ile makro ekonomik faktörler arasındaki ilişkinin analizi. Üçüncü Sektör Kooperatifçilik, 45(4), 39-53. google scholar
Breitung, J. (2000). The local power of some unit root tests for panel data. nonstationary panels, Panel Cointegration and Dynamic Panels, 15, 161-177. google scholar
Breusch, T. S. & Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specification in econometrics. Review of Economic Studies, Oxford University Press, 47(1), 239-253. google scholar
Chung, T. F., Ariff, M. & M., S. (2017). Banking liquidity and stock market prices in three countries in ASEAN. Pertanika Journal of Social Sciences and Humanities, 25 (1), 291- 316. google scholar
CME Group Company (2010a). Global sovereign credit risk report, 1st quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2010b). Global sovereign credit risk report, 2nd quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com">http://www.cmavision.com http://www.cmavision.com google scholar
CME Group Company (2010c). Global sovereign credit risk report, 3rd quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011a). Global sovereign credit risk report, 4th quarter 2010. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011b). Global sovereign credit risk report, 1st quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2011c). Global sovereign credit risk report, 2nd quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company. (2011d). Global sovereign credit risk report, 3rd quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012a). Global sovereign credit risk report, 4th quarter 2011. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012b). Global sovereign credit risk report, 1st quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012c). Global sovereign credit risk report, 2nd quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012d). Global sovereign credit risk report, 3rd quarter 2012. Retrieved June 15, 2018 from http://www.cmavision.com google scholar
CME Group Company (2012e). Global sovereign credit risk report, 4th quarter 2012.Retrieved June google scholar
Colletaz, G., Levieuge, G. & Popescu, A. (2018). Monetary policy and long-run systemic risk-taking. Journal of Economic Dynamics & Control, 86, 165-184. google scholar
Daelemans, B., Daniels, J. P. & Nourzad, F. (2018). Free trade agreements and volatility of stock returns and exchange rates: evidence from NAFTA. Open Economies Review, 29, 141-163. google scholar
Daves, P. R., Ehrhardt, M.C., Kuhlemeyer, G. A. & Kunkel, R. A. (2000). Increases in the systematic risk of large firms. American Business Review, 18(2), 62-74. google scholar
Dedunu, H. H. (2017). Financial variables impact on common stock systematic risk. International Journal of Scientific Research and Innovative Technology, 4(10), 23-32. google scholar
Dell’ariccia, G., Laeven, L. & Suarez, G. A. (2017). Bank leverage and monetary policy’s risk-taking channel: evidence from the United States. The Journal of Finance, LXXII (2), 613-654. google scholar
Dreyer, J. K., Schmid, P.A. & Zugrav, V. (2018). Individual, systematic and systemic risks in the Danish banking sector. Finance a ûver-CzechJournalof Economics and Finance, 68 (4), 320-350. google scholar
Driscoll, J. C. & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. The Review of Economics and Statistics, 80(4), 549-560, google scholar
Drobetz, W., Menzel, C. & Schröder, H. (2016). Systematic risk behavior in cyclical industries: the case of shipping. Transportation Research Part E, 88, 129-145. google scholar
ECB (2009). The Concept of Systemic Risk. Financial Stability Review, 134-142. google scholar
Fahmi, S., Geetha, C. & Mohidin, R. (2017). The effect of systematıc risk factors on the performance of the Malaysia stock market. Proceedings of International Conference on Economics, 57-68. google scholar
Festic, M., Kavkler, A. & Repina, S. (2011). The macroeconomic sources of systemic risk in the banking sectors of five new EU member states. Journal of Banking & Finance, 35, 310-322. google scholar
Frees, E.W. (1995). Assessing cross-sectional correlation in panel data. Journal of Econometrics, 69, 393-414. google scholar
Frees E.W. (2004). Longitudinal and panel data: analysis and applications in the social sciences. Cambridge University Press. google scholar
Friedman, M. (1937). The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32, 675-701. google scholar
Fu, X., Sandri, M. & Shackleton, M. B. (2016). Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures. The Journal of Futures Markets, 36 (11), 1029-1056. google scholar
Giacomini, E., Ling, D. C. & Naranjo, A. (2015). Leverage and returns: a cross-country analysis of public real estate markets. The Journal of Real Estate Finance and Economics, 51, 125-159. http://10.1007/s11146-014-9489-5 google scholar
Greene, W. (2000). Econometric analysis. upper saddle river. New Jersey: Prentice-Hall. google scholar
Grill, M., Lang, J. H. & Smith, J. (2016). The leverage ratio, risk-taking and bank stability. ECB, Working Paper, 2079. google scholar
Ha, N. T. T. & Quyen, P. G. (2018). Monetary policy, bank competitiveness and bank risk-taking: empirical evidence from Vietnam. Asian Academy of Management Journal of Accounting and Finance, 14(2), 137-156. google scholar
Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. EconometricsJournal, 3, 148-161. google scholar
Hamada, R. S. (1969). Portfolio analysis, market equilibrium and corporation finance. The Journal of Finance, 24(1), 13-31. google scholar
Hamada, R. S. (1972). The effect of firms’s capital structure on the systematic risk of common stock. The Journal of Finance, 27(2), 435-452. google scholar
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271. google scholar
Hussain, S. & Shah, S. M. A. (2018). Macro-economic factors and firm downside systematic risk: socio-political index as moderation. Journal of Managerial Sciences, XI (3), 221-242. google scholar
Im, K. S., Pesaran, M. H. & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115, 53 - 74. google scholar
Investing.Com (2019). Investing. Retrieved December 2, 2019 from https://www.investing.com/ google scholar
Iqbal, M. J. & Shah, S. Z. A. (2012). Determinants of systematic risk. The Journal of Commerce, 4(1), 47-56. google scholar
Kabundi, A. & De Simone, F. N. (2019). Monetary policy and systemic risk-taking in the Euro area banking sector. Economic Modelling, https://doi.org/10.1016/j.econmod.2019.10.020 google scholar
Karakuş, R. (2017). Determinants of affecting level from systematic risk: evidence from BIST 100 companies in Turkey. Eurasian Journal of Business and Economics, 10(20), 33-46. google scholar
Kasman, S., Vardar, G. & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: evidence from Turkey. Economic Modelling, 28, 1328-1334. google scholar
Kim, J. (2019). The effect of systematic default risk on credit risk premiums. Sustainability, 11(6039), 1-17. google scholar
Kownatzki, C. (2016). How good is the VIX as a predictor of market risk? Journal of Accounting and Finance, 16(6), 39-60. google scholar
Kubinschi, M. & Barnea, D. (2016). Systemic risk impact on economic growth- the case of the CEE countries. Romanian Journal of Economic Forecasting, XIX (4), 79-94. google scholar
Kuzubaş, T. U., Saltoğlu, B. & Sever, C. (2016). Systemic risk and heterogeneous leverage in banking networks. Physica A, 462, 358-375. google scholar
Laeven, L., Ratnovski, L. & Tong, H. (2014). Bank size and systemic risk. Internatıonal Monetary Fund, 1-33. google scholar
Laeven, L., Ratnovski, L. & Tong, H. (2016). Bank size, capital, and systemic risk: some international evidence. Journal of Banking & Finance, 69, 25-34. google scholar
Langfield, S. & Pagano, M. (2016). Bank bias in Europe: effects on systemic risk and growth. Economic Policy, 31(85), 51-106. google scholar
Lakonishok, J. & Shapiro, A. C. (1984). Stock returns, beta, variance and size: an empirical analysis. Financial Analysts Journal, 40(4), 36-41. google scholar
Lee, U. (1997). Stock market and macroeconomic policies: new evidence from Pacific basin countries. Multinational Finance Journal, 1(4), 273-289. google scholar
Lee, C. C. & Hsieh, M. F. (2013). The impact of bank capital on profitability and risk in Asian banking. Journal of International Money and Finance, 32, 251-281. google scholar
Lee, J. S. & Jang, S. (2007). The systematic-risk determinants of The US airline industry. Tourism Management, 28, 434-442. google scholar
Levine, R. (1997). Financial development and economic growth: views and agenda. Journal of Economic Literature, 35(2), 688-726. google scholar
Longstaff, F. A., Pan, J., Pedersen, L. H. & Singleton, K. J. (2007). How sovereign is sovereign credit risk? Working Paper, 13658, National Bureau of Economic Research. google scholar
Longstaff, F. A., Pan, J., Pedersen, L. H. & Singleton, K. J. (2011). How sovereign is sovereign credit risk? American Economic Journal, 1-31. google scholar
Lopotenco, V. (2017). What is the ımpact of monetary policy on systemic risk of republic of Moldova’s Banking Sector? The Journal Contemporary Economy, 2(1), 157-163. google scholar
Macau, M. M. & Ambrose, D. J. (2018). Systematic risk factors, investor sentiment and stock market performance in Kenya. International Journal of Management and Commerce Innovations, 5(2), 1132-1143. google scholar
Maddala, G. S. & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, Special Issue, 0305-9049, 631-652. google scholar
Mandelker, G. N. & S. Ghon Rhee, S. G. (1984). The impact of the degrees of operating and financial leverage on systematic risk of common stock. The Journal of Financial and Quantitative Analysis, 19(1), 45-57. google scholar
Marozva, G. (2019). Liquidity and stock returns: new evidence from Johannesburg stock Exchange. The Journal Developing Areas, 53(2), 79-90. google scholar
Maysami, R. C., Howe, L. C. & Hamzah, M.A. (2004). Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-sector indices. Jurnal Pengurusan, 24, 47-77. google scholar
Mazviona, B.W. & Nyangara, D. (2014). Does firm size affect stock returns? evidence from the Zimbabwe stock exchange. International Journal of Business and Economic Development, 2(3), 13-17. google scholar
McCurdy, T. H. & Morgan, I. G. (1991). Tests for a systematic risk component in deviations from uncovered interest rate parity. Review of Economic Studies, 58, 587-602. google scholar
Mcgraw Hill Financial (2013a). Global sovereign credit risk report. S&P capital IQ, 1st quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013b). Global sovereign credit risk report. S&P capital IQ, 2nd quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013c). Global sovereign credit risk report. S&P capital IQ, 3rd quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2013d). global sovereign credit risk report. S&P capital IQ, 4th quarter 2013. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014a). Global sovereign credit risk report. S&P capital IQ, 1st quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014b). Global sovereign credit risk report. S&P capital IQ, 2nd quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014c). Global sovereign credit risk report. S&P capital IQ, 3rd quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Mcgraw Hill Financial (2014d). Global sovereign credit risk report. S&P capital IQ, 4th quarter 2014. Retrieved June 15, 2018 from http://www.spcapitaliq.com google scholar
Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887. google scholar
Mirza, N., Rahat, B. & Reddy, K. (2016). Financial leverage and stock returns: evidence from an emerging economy, Economic Research-Ekonomska Istrazivanja, 29(1) 85-100. google scholar
Modigliani, F. & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297. google scholar
MSCI.Com (2019). MSCI. Retrieved December 2, 2019 from https://www.msci.com/ google scholar
Muradoğlu, G. & Sivaprasad, S. (2008). An empirical test on leverage and stock returns. Retrieved June 15, 2020 from https://www.semanticscholar.org/paper/AN-EMPIRICAL-TEST-ON-LEVERAGE-AND-STOCK-RETURNS-Muradoglu/90e3cacad068843bd71ec 75916d620482fae3e3fv google scholar
Narayan, P. K., Narayan, S. & Singh, H. (2014). The determinants of stock prices: new evidence from the Indian banking sector. Emerging Markets Finance & Trade, 50(2),5-15. google scholar
Nimalathasan, B. & Pratheepkanth, P. (2012). Systematic risk management and profitability: a case study of selected financial ınstitutions in Sri Lanka. Global Journal of Management and Business Research, 12(17), 1-4. google scholar
Öztürk, H. & Yılmaz, A. A. (2015). Leverage and stock returns: evidence from Istanbul stock exchange. Accounting and Finance Research, 4(4), 140-146. google scholar
Pais, A. & Stork, P. A. (2013). Bank size and systemic risk. European Financial Management, 19(3), 429-451. google scholar
PARAGARANTI.COM (2019). Para-garanti. Retrieved December 2, 2019 from https://www. paragaranti.com/ google scholar
Patrick, H. T. (1966). Financial development and economic growth in underdeveloped countries. Economic Development and Cultural Change, 14(2), 174-189. google scholar
Pesaran, M.H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper Series, No. 1229; IZA Discussion Paper No. 1240. google scholar
Pesaran, M. H. (2007). A simple panel unıt root test in the presence of cross-section dependence. Journal of Applied Economy, 22, 265-312. google scholar
Pesaran, M. H. (2015). Testing weak cross-sectional dependence in large panels. Econometric Reviews, 34(6-10), 1089-1117. google scholar
Puspitaningtyas, Z. (2017). Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia. Investment Management and Financial Innovations, 14(1), 46-54. google scholar
Rahman, M. M., Chowdhury, A. A. & Dey, M. (2018). Relationship between risk-taking, capital regulation and bank performance: empirical evidence from Bangladesh. Eurasian Journal of Business and Economics, 11(22), 29-57. google scholar
Rahim, A., Khan, Z., Alam, T. & Khan, H. (2016). Effect of leverage on stock returns and systematic risk: evidence from Pakistani industries. Sarhad Journal of Management Sciences, 2(1), 39-48. google scholar
Ranciere, R. & Tornell, A. (2004). Systemic risk and growth. 1-28. Retrieved May 15, 2019 from https://www.imf.org/external/pubs/ft/staffp/2004/00-00/tornel.pdf google scholar
Ranciere, R., Tornell, A. & Westermann, F. (2008). Systemic crises and growth. The Quarterly Journal of Economics, 123(1), 359-406. google scholar
Ranciere, R., Tornell, A., Vamvakidis, A., Nocke, V., Alberola, E. & Del Rio, P. (2010). Currency mismatch, systemic risk and growth in Emerging europe [with Discussion]. Economic Policy, 25(64), 597-658. google scholar
Rubinstein, M.E. A (1973). Mean variance synthesis of corporate financial theory. The Journal of Finance, 28 (1), 167-181. google scholar
Rutkowska-Ziarko, A. & Pyke, C. (2017). The development of downside accounting beta as a measure of risk . Folia Oeconomica Stetinensia, 151-161. Economics and Business Review, 3(17) (4), 55-65. google scholar
Sarwar, G. & Khan, W. (2017). The effect of US stock market uncertainty on emerging market returns. Emerging Markets Finance & Trade, 53, 1796-1811. google scholar
Sirivige, R. (2017). The relationship between profitability and the risk factors and other macroeconomic factors. Munich Personal RePEc Archive, 78625. google scholar
Smaga, P. (2014). The concept of systemic risk. The London school of economics and political science, E.S.R.C., 5, 1-26. google scholar
Stever, R. (2007). Bank size, credit and the sources of bank market risk. BIS Working Papers, 238. google scholar
Stolbov, M. (2017). Assessing systemic risk and ıts determinants for advanced and major emerging economies: the case of ACoVaR. International Economics and Economic Policy, 14, 119-152. google scholar
Sullivan, T. G. (1978). The cost of capital and the market power of firms. The Review of Economics and Statistics, 60(2), 209-217. google scholar
Şentürk, M. & Dücan, E. (2014). Türkiye’de döviz kuru-faiz oranı ve borsa getirisi ilişkisi: ampirik bir analiz. Business and Economics Research Journal, 5(3), 67-80. google scholar
Taylor, M. P. & Sarno, L. (1998). The behavior of real exchange rates during the post- bretton woods period. Journal of International Economics, 46, 281-312. google scholar
TBB (2019). İstatistikler. Retrieved December 2, 2019 from https://www.tbb.org.tr/tr google scholar
TCMB (2019). EVDS. Retrieved December 2, 2019 from https://www.tcmb.gov.tr/ google scholar
Toader, O. (2015). Estimating the ımpact of higher capital requirements on the cost of equity: an empirical study of European banks. International Economics and Economic Policy, 12, 411-436. google scholar
Varotto, S. & Zhao, L. (2018). Systemic risk and bank size. Journal of International Money and Finance, 82, 45-70. google scholar
NYU-Stern (2019). V-lab. Retrieved December 2, 2019 from https://vlab.stern.nyu.edu/ google scholar
Wibowo, B. (2017). Systemic risk, bank’s capital buffer, and leverage. Economic Journal of Emerging Markets, 9(2), 150-158. google scholar
Xu, T. T., Hu, K. & Udaibir, S. D. (2019). Bank profitability and financial stability. IMF Working Paper, No. WP/19/5. google scholar
YAHOO FINANCE (2019). CBOE volatility index. Retrieved December 2, 2019 from https://finance. yahoo.com/ google scholar
Yeşin, P. (2013). Foreign currency loans and systemic risk in europe. Federal Reserve Bank of St. Louis Review, 95(3), 219-235. google scholar

Toplam 146 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Konular	İşletme
Bölüm	Araştırma Makalesi
Yazarlar	Hikmet Akyol 0000-0001-9119-7416 Selim Başar 0000-0002-7055-8240
Yayımlanma Tarihi	4 Eylül 2024
Gönderilme Tarihi	28 Nisan 2023
Yayımlandığı Sayı	Yıl 2024 Cilt: 74 Sayı: 1

Kaynak Göster

APA	Akyol, H., & Başar, S. (2024). Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. İstanbul İktisat Dergisi, 74(1), 59-98. https://doi.org/10.26650/ISTJECON2023-1288872
AMA	Akyol H, Başar S. Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. İstanbul İktisat Dergisi. Eylül 2024;74(1):59-98. doi:10.26650/ISTJECON2023-1288872
Chicago	Akyol, Hikmet, ve Selim Başar. “Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks”. İstanbul İktisat Dergisi 74, sy. 1 (Eylül 2024): 59-98. https://doi.org/10.26650/ISTJECON2023-1288872.
EndNote	Akyol H, Başar S (01 Eylül 2024) Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. İstanbul İktisat Dergisi 74 1 59–98.
IEEE	H. Akyol ve S. Başar, “Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks”, İstanbul İktisat Dergisi, c. 74, sy. 1, ss. 59–98, 2024, doi: 10.26650/ISTJECON2023-1288872.
ISNAD	Akyol, Hikmet - Başar, Selim. “Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks”. İstanbul İktisat Dergisi 74/1 (Eylül 2024), 59-98. https://doi.org/10.26650/ISTJECON2023-1288872.
JAMA	Akyol H, Başar S. Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. İstanbul İktisat Dergisi. 2024;74:59–98.
MLA	Akyol, Hikmet ve Selim Başar. “Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks”. İstanbul İktisat Dergisi, c. 74, sy. 1, 2024, ss. 59-98, doi:10.26650/ISTJECON2023-1288872.
Vancouver	Akyol H, Başar S. Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks. İstanbul İktisat Dergisi. 2024;74(1):59-98.

Makale Dosyaları

Tam Metin