Stock Return Comovement and Systemic Risk in the Turkish Banking System

Binici, Mahir; Köksal, Bülent; Orman, Cüneyt

doi:10.2139/ssrn.2054436

Cited by 10 publications

(8 citation statements)

References 36 publications

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“…The results concluded that SES is a powerful systemic risk alternative approach. Binici et al. (2013) survey the development of systemic risk in the Turkish banking sector using co-movement of the stock returns of banks and search the possible determinants of systemic risk.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results concluded that SES is a powerful systemic risk alternative approach. Binici et al (2013) survey the development of systemic risk in the Turkish banking sector using co-movement of the stock returns of banks and search the possible determinants of systemic risk. As a result, they find the main determinants of systemic risk: the market share of bank pairs, the amount of non-performing loans, heard of behavior of banks, and the volatilities of macrovariables.…”

Section: Literature Reviewmentioning

confidence: 99%

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Identifying the systemically important banks of Turkey with the CoVaR method

Civan¹,

Şimşek

Akay

2020

Heliyon

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The purpose of this paper is to measure the systemic risk contributions of Turkish banks and to identify the systemically important banks of Turkey during the period from 2005 to 2016. We apply the conditional value-at-risk (CoVaR) method proposed by Adrian and Brunnermeier (2009) using quantile regression. The study includes thirteen major banks of Turkey, including both public and private banks, out of a total of 52 banks. The banks are ranked in terms of their systemic risk contribution to the Turkish financial system based on their asset returns, macroeconomic variables and individual bank variables. The study reveals that Akbank, Garanti, Yapi Kredi and Isbank have the highest systemic risk contribution to the financial system when adding macroeconomic variables to the model. This ranking is changed to Yapi Kredi, Garanti, TEB, Sekerbank and Akbank when taking into account bank-specific variables. One surprising result is that risk in isolation and the spillover risks of public banks are smaller than in large private banks. Furthermore, the marginal systemic risk contributions of public banks are smaller than those of private banks. In conclusion, authorities improve the regulatory framework according to the context of CoVaR in addition to monitor the idiosyncratic risks of banks.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Identifying the systemically important banks of Turkey with the CoVaR method

Civan¹,

Şimşek

Akay

2020

Heliyon

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“…For the developing countries, industry structure is pretty simple and is inevitably to be affected by the system risks like the financial crisis (Mahir Binici, Bülent Köksal and Cüneyt Orman, 2012) [11]. For example, recently in China, the percentage of import oil to the total number of oil is about 60 % (the National Bureau of Statistics of China), which means China pretty rely on oil import.…”

Section: The System Risksmentioning

confidence: 99%

The Analysis on Stock Price Synchronicity in China

Ye¹

2017

dtssehs

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This paper focuses on the stock price synchronicity in China. By constructing the variables and measuring the regression, we find that the synchronous stock price movement is pretty high in China. The synchronicity of stock price movement between the firm-specific stock and the market is measured by R2 in the market model. We propose that the system risks coming from the specific political policies and surrounding in China, the unsound property right, the market opening level, the scale of the financial market and the corporation itself may be the main factors in China attributed to the stock price co-movements in China.

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“…The results show non-negligible cross-asset market relations during distress times. Binici et al (2013) examine the systemic risk status of the Turkish banking sector during the last two decades running a new systemic risk indicator which is defined as co-movement of banks' stock returns. In the study, the daily share prices of the seventeen banks quoted on the Turkish stock market are used between 1990 and 2011.…”

Section: Introductionmentioning

confidence: 99%

What Are the Macroeconomic Drivers of the Asset Returns of Turkish Banks?

Civan¹,

Şimşek

Çinar

2022

Technological and Economic Development of Economy

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The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018. In the study, Independent Component Analysis is applied for extracting driving factors of the asset returns of Turkish banks by decomposing the returns into its components. After examining the relationship between the independent components and the macroeconomic variables, the results conclude that one component shows strong similarities with the well-known stock market index of Turkey, namely the BIST100. Besides, the BIST100 is observed as the most important macroeconomic indicator affecting the movements of the asset returns. From systemic risk perspective, the BIST100 and the exchange rate from US dollar to Turkish lira are interpreted as two macro factors that contribute to the systemic risk of Turkish banks. When it is reviewed the regression results of the estimated independent components with the macroeconomic variables, it is found that while the BIST100 affects the asset returns of Turkish banks on its own, three macroeconomic factors (the credit default swap spreads of Turkey, the exchange rate and volatility) jointly affect the banks by creating a chain effect.

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Stock Return Comovement and Systemic Risk in the Turkish Banking System

Cited by 10 publications

References 36 publications

Identifying the systemically important banks of Turkey with the CoVaR method

Identifying the systemically important banks of Turkey with the CoVaR method

The Analysis on Stock Price Synchronicity in China

What Are the Macroeconomic Drivers of the Asset Returns of Turkish Banks?

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