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ANALYSIS OF THE EFFECT OF APPLICATION CHANGE IN REQUIRED EQUIPMENT RATIOS ON BIST BANK INDEX

Yıl 2023, Cilt: 11 Sayı: 2, 267 - 284, 26.12.2023

Şenol Kandemir Elif Sanlı

https://doi.org/10.14514/beykozad.1318477

Öz

In this study, the effect of the Central Bank of the Republic of Turkey (CBRT) announcement numbered 2022-24 on 23.04.2022 and the application of required reserves to the active side of the required reserves, which were applied to the liabilities side of the banks' balance sheets, on the share prices of the banks in the BIST Bank Index were analyzed using the case study method.
Average abnormal returns (AAR), t-test statistics and p-values were calculated to measure the reaction of share prices to the change in reserve requirement applications dated April 23, 2022. The result of the study shows that the announcement of the change in the reserve requirement application causes abnormal returns in BIST bank shares and the market is not efficient in semi-strong form.

Anahtar Kelimeler

Required Reserves BIST Bank Index Stock Prices Event Study

Kaynakça

  • Altuntaş, D. ve Ersoy, E. (2020). The Causal Relationship between CDS Premiums and BIST 30 and BIST Banks Index. Journal of Economics and Financial Researches, 2(2), 144- 155.
  • Athanasoglou, P., Delis, M. ve Staikouras, C. (2006). Determinants of Bank Profitability in the South Eastern European Region. Bank of Greece Working Paper, 47, September 1. Benninga, S. (2014). Financial Modeling. Cambridge, Massachusetts: MIT Press.
  • BIST. (2020). BIST Pay Endeksleri Temel Kuralları. https://www.borsaistanbul.com/files/bistpay-endeksleri-temel-kurallari2020.pdf
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 37, 307-327.
  • Brown, S. J. ve Warner, J. B. (1985). Using Daily Stock Returns. Journal of Financial Economics, 14, 3-31.
  • Brown, S.J. ve Warner, J.B. (1980). Measuring Security Price Performance. Journal of Financial Economics, 8, 205-258.
  • Burki, A. A., ve Niazi, G. S. K. (2009). Impact of Financial Reforms on Efficiency of State Owned, Private and Foreign H.R. Managers in Pakistan. Applied Economics, 42, 3147- 3160.
  • Elyasiani, E. ve Mansur, I. (1998). Sensitivity of Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rates: A GARCH-M Model. Journalof Banking & Finance, 22, 535-563.
  • Elyasiani, E., ve Mansur, I. (2004). Bank Stock Return Sensitivities to the Long-term and Shortterm Interest Rates: A Multivariate GARCH Approach. Managerial Finance, 30 (9), 32-55.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50(4), July, 987-1007.
  • Gray, S. (2011). Central Bank Balances and Reserve Requirements. International Monetary Fund WP, 11/36.
  • Jaffe, J. F. (1974). Special Information and Insider Trading. The Journal of Business, 47(3), 410-428.
  • Kane, E.J. ve Ünal, H. (1988). Change in Market Assessment of Deposit Institution Riskiness. Journal of Financial Services Research, 2, 201-229.
  • MacKinlay, A. C. (1997). Event Studies in Economics And Finance. Journal Of Economic Literature, 35(1), 13-39.
  • Malede, M. (2014). Determinants of Commercial Banks Lending: Evidence from Ethiopian Commercial Banks. European Journal of Business and Management, 6(20).
  • Mazgit, İ. (2013). Endeks Kapsamında Olmanın Hisse Senedi Getirilerine Etkisi: BIST Temettü 25 Endeksi Üzerine Bir Uygulama. Sosyo Ekonomi Dergisi, 2013/2.
  • Mcgee, R. W. ve Tarangelo, T. (2008). Corporate Governance, The Timeliness of Financial Reporting and The Russian Banking System: An Empirical Study. Florida International University Working Paper, June.
  • McWilliams, A. ve Siegel, D. (1997). Event Studies in Management Research: Theoretical and Empirical Issues. Academy of Management Journal, 40(3), 626-657.
  • Menacer, A., ve Nurein, S. A. (2017). Macroeconomic Variables and Islamic Bank Stock Returns: Panel Data Evidence from GCC Countries. Journal of Islamic Finance (Special Issue), 1-13.
  • Olokoyo, F. (2011). Determinant of Commercial Bank’s Lending Behavior in Nigeria. International Journal of Financial Research, 2(2), 61-72.
  • Olusanya, S., Oyebo A. ve Ohadebere E. (2012). Determinants of Lending Behavior of Commercial Banks. A Cointegration Analysis, 5(5), 71-80.
  • Ozbey, F., ve Paksoy, S. (2020). GARCH Ailesi Modelleri ve ANN Entegrasyonu ile BIST 100 Endeks Getirisinin Volatilite Tahmini. Business and Economics Research Journal, 11(2), 385-396.
  • Park, J. ve Choi, P.B. (2011). Interest Rate Sensitivity of US Property/Liability Insurer Stock Returns. Managerial Finance, 7(3), 134-150.
  • Peterson, P. P. (1989). Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 36-66.
  • Santoni, G. J. (1985). The Monetary Control Act, Reserve Taxes and the Stock Prices of Commercial Banks. Federal Reserve Bank of St. Louis Review, June/July, 12-20.
  • Sharpe, W. F. (1963). A Simplified model for Portfolio Analysis. Management Science, 9(2), 277-293.
  • Shuxia, J. ve Yuchan, C. (2012). Monetary Policy, Bank Capital and Risk-Taking. Journal of Financial Research, 4, 1-15.
  • Skander, J. V. (2011). Banking Conditions and the Effects of Monetary Policy: Evidence from U.S. States. The B.E. Journal of Macroeconomics, 12(2), 1-22.
  • Slovin, M., Sushka, M. ve Bendeck, Y. (1990). The Market Valuation Effects of Reserve Regulation. Journal of Afonetary Economics, January, 25, 3-19.
  • Sorescu, A., Warren, N. L. ve Ertekin, L. (2017). Event Study Methodology in the Marketing Literature: an Overview. Journal of the Academy of Marketing Science, 45, 186-207.
  • Şenel, C. (2022). Mevduat Bankalarının Hisse Senedi Getirilerine Etki Eden Finansal Faktörler. İşletme Araştırmaları Dergisi, 14(3), 1880-1889.
  • Tarkun, S., Işığıçok, E. ve Akdamar, E. (2022). Türkiye’de Covid 19 Döneminde CDS Oynaklığı Üzerinde BIST100 ve VIX Endekslerinin Etkilerinin Simetrik ve Asimetrik Koşullu Değişen Varyans Modelleri ile Belirlenmesi. Uludağ Journal of Economy and Society, 41(2), 203-223.
  • Yıldız, B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BIST Alt Sektör Endeksleri Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, 72, 83-106.
  • Yi, F., Shengmin, Z. ve Xiaowen, X. (2012). An Analysis of Bearing Bank Risks in Monetary Policies: on the Coordination Betweenthe Monetary Policy and the Macro-Prudential Policy. Management World, 11, 9-19.

ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ

Yıl 2023, Cilt: 11 Sayı: 2, 267 - 284, 26.12.2023

Şenol Kandemir Elif Sanlı

https://doi.org/10.14514/beykozad.1318477

Öz

Bu çalışmada Türkiye Cumhuriyet Merkez Bankası (TCMB)’ nın 23.04.2022 tarihinde yapılan 2022-24 sayılı duyurusu ile zorunlu karşılıkların bankaların bilançolarının pasif tarafına uygulanan zorunlu karşılıkların aktif tarafına da uygulanmaya başlanmasının BIST Banka Endeksinde yer alan bankaların pay fiyatlarına etkisi olay çalışması yöntemiyle analiz edilmiştir.
Pay fiyatlarının 23 Nisan 2022 tarihli zorunlu karşılık uygulamalarında meydana gelen değişime tepkisini ölçmek için ortalama anormal getirileri (AAR), t-test istatistikler ve p-değerleri hesaplanmıştır. Çalışma sonucu zorunlu karşılık uygulamasında meydana gelen değişim duyurusunun BIST banka paylarında anormal getirilere neden olduğu ve piyasanın yarı güçlü formda etkin olmadığını göstermektedir.

Anahtar Kelimeler

Zorunlu Karşılık BIST Banka Endeksi Pay Fiyatları Olay Çalışması

Kaynakça

  • Altuntaş, D. ve Ersoy, E. (2020). The Causal Relationship between CDS Premiums and BIST 30 and BIST Banks Index. Journal of Economics and Financial Researches, 2(2), 144- 155.
  • Athanasoglou, P., Delis, M. ve Staikouras, C. (2006). Determinants of Bank Profitability in the South Eastern European Region. Bank of Greece Working Paper, 47, September 1. Benninga, S. (2014). Financial Modeling. Cambridge, Massachusetts: MIT Press.
  • BIST. (2020). BIST Pay Endeksleri Temel Kuralları. https://www.borsaistanbul.com/files/bistpay-endeksleri-temel-kurallari2020.pdf
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 37, 307-327.
  • Brown, S. J. ve Warner, J. B. (1985). Using Daily Stock Returns. Journal of Financial Economics, 14, 3-31.
  • Brown, S.J. ve Warner, J.B. (1980). Measuring Security Price Performance. Journal of Financial Economics, 8, 205-258.
  • Burki, A. A., ve Niazi, G. S. K. (2009). Impact of Financial Reforms on Efficiency of State Owned, Private and Foreign H.R. Managers in Pakistan. Applied Economics, 42, 3147- 3160.
  • Elyasiani, E. ve Mansur, I. (1998). Sensitivity of Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rates: A GARCH-M Model. Journalof Banking & Finance, 22, 535-563.
  • Elyasiani, E., ve Mansur, I. (2004). Bank Stock Return Sensitivities to the Long-term and Shortterm Interest Rates: A Multivariate GARCH Approach. Managerial Finance, 30 (9), 32-55.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50(4), July, 987-1007.
  • Gray, S. (2011). Central Bank Balances and Reserve Requirements. International Monetary Fund WP, 11/36.
  • Jaffe, J. F. (1974). Special Information and Insider Trading. The Journal of Business, 47(3), 410-428.
  • Kane, E.J. ve Ünal, H. (1988). Change in Market Assessment of Deposit Institution Riskiness. Journal of Financial Services Research, 2, 201-229.
  • MacKinlay, A. C. (1997). Event Studies in Economics And Finance. Journal Of Economic Literature, 35(1), 13-39.
  • Malede, M. (2014). Determinants of Commercial Banks Lending: Evidence from Ethiopian Commercial Banks. European Journal of Business and Management, 6(20).
  • Mazgit, İ. (2013). Endeks Kapsamında Olmanın Hisse Senedi Getirilerine Etkisi: BIST Temettü 25 Endeksi Üzerine Bir Uygulama. Sosyo Ekonomi Dergisi, 2013/2.
  • Mcgee, R. W. ve Tarangelo, T. (2008). Corporate Governance, The Timeliness of Financial Reporting and The Russian Banking System: An Empirical Study. Florida International University Working Paper, June.
  • McWilliams, A. ve Siegel, D. (1997). Event Studies in Management Research: Theoretical and Empirical Issues. Academy of Management Journal, 40(3), 626-657.
  • Menacer, A., ve Nurein, S. A. (2017). Macroeconomic Variables and Islamic Bank Stock Returns: Panel Data Evidence from GCC Countries. Journal of Islamic Finance (Special Issue), 1-13.
  • Olokoyo, F. (2011). Determinant of Commercial Bank’s Lending Behavior in Nigeria. International Journal of Financial Research, 2(2), 61-72.
  • Olusanya, S., Oyebo A. ve Ohadebere E. (2012). Determinants of Lending Behavior of Commercial Banks. A Cointegration Analysis, 5(5), 71-80.
  • Ozbey, F., ve Paksoy, S. (2020). GARCH Ailesi Modelleri ve ANN Entegrasyonu ile BIST 100 Endeks Getirisinin Volatilite Tahmini. Business and Economics Research Journal, 11(2), 385-396.
  • Park, J. ve Choi, P.B. (2011). Interest Rate Sensitivity of US Property/Liability Insurer Stock Returns. Managerial Finance, 7(3), 134-150.
  • Peterson, P. P. (1989). Event Studies: A Review of Issues and Methodology. Quarterly Journal of Business and Economics, 36-66.
  • Santoni, G. J. (1985). The Monetary Control Act, Reserve Taxes and the Stock Prices of Commercial Banks. Federal Reserve Bank of St. Louis Review, June/July, 12-20.
  • Sharpe, W. F. (1963). A Simplified model for Portfolio Analysis. Management Science, 9(2), 277-293.
  • Shuxia, J. ve Yuchan, C. (2012). Monetary Policy, Bank Capital and Risk-Taking. Journal of Financial Research, 4, 1-15.
  • Skander, J. V. (2011). Banking Conditions and the Effects of Monetary Policy: Evidence from U.S. States. The B.E. Journal of Macroeconomics, 12(2), 1-22.
  • Slovin, M., Sushka, M. ve Bendeck, Y. (1990). The Market Valuation Effects of Reserve Regulation. Journal of Afonetary Economics, January, 25, 3-19.
  • Sorescu, A., Warren, N. L. ve Ertekin, L. (2017). Event Study Methodology in the Marketing Literature: an Overview. Journal of the Academy of Marketing Science, 45, 186-207.
  • Şenel, C. (2022). Mevduat Bankalarının Hisse Senedi Getirilerine Etki Eden Finansal Faktörler. İşletme Araştırmaları Dergisi, 14(3), 1880-1889.
  • Tarkun, S., Işığıçok, E. ve Akdamar, E. (2022). Türkiye’de Covid 19 Döneminde CDS Oynaklığı Üzerinde BIST100 ve VIX Endekslerinin Etkilerinin Simetrik ve Asimetrik Koşullu Değişen Varyans Modelleri ile Belirlenmesi. Uludağ Journal of Economy and Society, 41(2), 203-223.
  • Yıldız, B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BIST Alt Sektör Endeksleri Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, 72, 83-106.
  • Yi, F., Shengmin, Z. ve Xiaowen, X. (2012). An Analysis of Bearing Bank Risks in Monetary Policies: on the Coordination Betweenthe Monetary Policy and the Macro-Prudential Policy. Management World, 11, 9-19.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Bankacılık ve Sigortacılık (Diğer)
Bölüm Research Article
Yazarlar

Şenol Kandemir 0000-0002-7621-4457

Elif Sanlı 0000-0001-8915-2235

Yayımlanma Tarihi 26 Aralık 2023
Gönderilme Tarihi 22 Haziran 2023
Kabul Tarihi 19 Aralık 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 11 Sayı: 2

Kaynak Göster

APA Kandemir, Ş., & Sanlı, E. (2023). ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ. Beykoz Akademi Dergisi, 11(2), 267-284. https://doi.org/10.14514/beykozad.1318477
AMA Kandemir Ş, Sanlı E. ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ. Beykoz Akademi Dergisi. Aralık 2023;11(2):267-284. doi:10.14514/beykozad.1318477
Chicago Kandemir, Şenol, ve Elif Sanlı. “ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ”. Beykoz Akademi Dergisi 11, sy. 2 (Aralık 2023): 267-84. https://doi.org/10.14514/beykozad.1318477.
EndNote Kandemir Ş, Sanlı E (01 Aralık 2023) ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ. Beykoz Akademi Dergisi 11 2 267–284.
IEEE Ş. Kandemir ve E. Sanlı, “ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ”, Beykoz Akademi Dergisi, c. 11, sy. 2, ss. 267–284, 2023, doi: 10.14514/beykozad.1318477.
ISNAD Kandemir, Şenol - Sanlı, Elif. “ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ”. Beykoz Akademi Dergisi 11/2 (Aralık 2023), 267-284. https://doi.org/10.14514/beykozad.1318477.
JAMA Kandemir Ş, Sanlı E. ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ. Beykoz Akademi Dergisi. 2023;11:267–284.
MLA Kandemir, Şenol ve Elif Sanlı. “ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ”. Beykoz Akademi Dergisi, c. 11, sy. 2, 2023, ss. 267-84, doi:10.14514/beykozad.1318477.
Vancouver Kandemir Ş, Sanlı E. ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ. Beykoz Akademi Dergisi. 2023;11(2):267-84.
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