Araştırma Makalesi
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BONO GETİRİLERİ, BIST-100 İLE BANKA KARLILIĞI ARASINDAKİ İLİŞKİ

Yıl 2023, Cilt: 4 Sayı: 1, 1 - 17, 30.06.2023

Fatih Kayhan

https://doi.org/10.57085/ufebud.1239459

Öz

Bono getiri oranı (bono piyasası faiz göstergesi) ve BIST-100 (iktisadi faaliyet düzeyi) getiri endeksinin banka karlılık oranları üzerindeki etkisinin tespit edilmesi bu makalenin hedefidir. Çalışma Türkiye’yi kapsamaktadır. Analizde kullanılan veri, 2011, 2021 yılları arası çeyrek dönemleri kapsamaktadır ve panel veri yapısı kullanılmıştır. DOLS (Panel Dinamik En Küçük Kareler Yöntemi) yöntemi analizde kullanılmıştır. Türkiye’de faaliyet gösteren ticari bankalar, katılım bankaları yanında kalkınma ve yatırım bankalarının ROA (Aktif Karlılık) oranı bağımlı değişken olarak dikkate alınmıştır; diğer yandan, Tüm-Bono Endeks Getirisi (Tahvil ve Bono piyasasını temsil etmek üzere) ve BIST-100 açıklayıcı değişkenler olarak analize dahil edilmiştir. Analiz bulguları göstermektedir ki; bono getiri endeksi (Tüm Bono) ve hisse senedi getiri endeksi (BIST-100), ROA üzerinde anlamlı derecede pozitif etkiye sahiptir.

Anahtar Kelimeler

: BONO PİYASASI HİSSE SENEDİ PİYASASI BANKA KARLILIĞI

Kaynakça

  • Altavilla, C., Boucinha, M., & Peydró, J. L. (2018). Monetary policy and bank profitability in a low interest rate environment. Economic Policy, 33(96), 531-586.
  • Bal, H., and Sönmezer, S. (2022). Determinants of the Profitability of Banking Sector in Turkey. Dogus University Journal, 23(1).
  • Banking Regulatory and Supervisory Board, Main Indicators Report, September 2022.
  • Bikker, J. A., & Vervliet, T. M. (2018). Bank profitability and risk‐taking under low interest rates. International Journal of Finance & Economics, 23(1), 3-18.
  • Borio, C., Gambacorta, L. and Hofmann, B. (2015). The influence of monetary policy on bank profitability. Bank for International Settlements Working Papers No 514.
  • Central Bank of Republic of Turkey, Financial Stability Report, November 2022.
  • Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2), 249-272.
  • Dizgil, E. (2017). Türkiye’deki Mevduat Bankalarının Karlılığını Etkileyen Mikro Düzeyli Faktörler Üzerine Ampirik Bir Araştırma. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 11(2), 31-52.
  • Erdem, E. (2012). Para, Banka ve Finansal Sistem. Detay Publishing. Fourth Edition. Ankara
  • Hancock, D. (1985). Bank profitability, interest rates, and monetary policy. Journal of Money, Credit and Banking, 17(2), 189-202.
  • Im, K. S., Pesaran, M., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53-74.
  • Islamoglu, M., & Çelik, N. (2015). Financial performance determinants of paper and paper products firms listed in Borsa Istanbul. International Journal of Economics and Finance, 7(4), 233-243.
  • Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90(1), 1-44.
  • Levin, A., Lin, C.-F., & Chu, C.-S. (2002). Unit root tests in panel data:Asymptotic and finite-sample properties. Journal of Econometrics,108(1), 1-24.
  • López-Penabad, M. C., Iglesias-Casal, A., & Neto, J. F. S. (2022). Effects of a negative interest rate policy in bank profitability and risk taking: Evidence from European banks. Research in International Business and Finance, 60, 101597.
  • 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, 61, 631-652.
  • Malik, M. F., Khan, S., Khan, M. I., & Khan, F. (2014). Interest rate and its effect on bank’s profitability. J. Appl. Environ. Biol. Sci, 4(8S), 225-229.
  • Minny, M., & Görmüş, Ş. (2017). The impact of interest rate fluctuations on the participation banks profitability: Turkey case. International Journal of Islamic Economics and Finance Studies, 3(2).
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Saldanli, A., & Aydin, M. (2016). Bankacılık Sektöründe Karlılığı Etkileyen Faktörlerin Panel Veri Analizi İle İncelenmesi: Türkiye Örneği. Ekonometri ve İstatistik Dergisi, (24), 1-9.
  • Stock, J.H. and Watson, M.W. (1993) A Simple Estimator of Cointegrating Vectors in Higher Order Integrated System. Economometrica, 61, 783-820.
  • Yaman, S. (2021). Bankalara Özgü Fakgörlerin Banka Karlılığına Etkisi: Türkiye Bankacılık Sektörü Üzerine Panel Veri Analizi. İktisadi ve İdari Yaklaşımlar Dergisi, 3(2), 77-100.
  • Yay, G.G. (2012). Para ve Finans Teori ve Politika. Istanbul Bilgi Universitesi Publishing. Second Edition. Istanbul

THE RELATION BETWEEN BOND RETURNS, BIST-100 RETURNS AND BANK PROFITABILITY

Yıl 2023, Cilt: 4 Sayı: 1, 1 - 17, 30.06.2023

Fatih Kayhan

https://doi.org/10.57085/ufebud.1239459

Öz

The purpose of this study is to analyze the impact of bond return index (proxy for market interest rate) as well as BIST-100 (proxy for economic activity) upon bank profitability. The scope of this paper is Turkey. Data covers quarterly period between 2011 and 2021, data structure is panel data. Panel Dynamic Ordinary Least Squares (DOLS) is used in econometric analysis conducted in this study. ROA ratio of commercial bank, participation banks (non-interest banking industry) and investment & development banks are used as dependent variable; on the other hand, all-bond return index (as a reference for bond market interest rates) and BIST-100 return index are used as explanatory variables. Finding of the analysis indicate that the bond yield index (BOND) and the stock return index (BIST100) have a positive and statistically significant impact on the return on assets (ROA) of banks.

Anahtar Kelimeler

BOND MARKET BIST-100 BANK PROFITABILITY

Kaynakça

  • Altavilla, C., Boucinha, M., & Peydró, J. L. (2018). Monetary policy and bank profitability in a low interest rate environment. Economic Policy, 33(96), 531-586.
  • Bal, H., and Sönmezer, S. (2022). Determinants of the Profitability of Banking Sector in Turkey. Dogus University Journal, 23(1).
  • Banking Regulatory and Supervisory Board, Main Indicators Report, September 2022.
  • Bikker, J. A., & Vervliet, T. M. (2018). Bank profitability and risk‐taking under low interest rates. International Journal of Finance & Economics, 23(1), 3-18.
  • Borio, C., Gambacorta, L. and Hofmann, B. (2015). The influence of monetary policy on bank profitability. Bank for International Settlements Working Papers No 514.
  • Central Bank of Republic of Turkey, Financial Stability Report, November 2022.
  • Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2), 249-272.
  • Dizgil, E. (2017). Türkiye’deki Mevduat Bankalarının Karlılığını Etkileyen Mikro Düzeyli Faktörler Üzerine Ampirik Bir Araştırma. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 11(2), 31-52.
  • Erdem, E. (2012). Para, Banka ve Finansal Sistem. Detay Publishing. Fourth Edition. Ankara
  • Hancock, D. (1985). Bank profitability, interest rates, and monetary policy. Journal of Money, Credit and Banking, 17(2), 189-202.
  • Im, K. S., Pesaran, M., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53-74.
  • Islamoglu, M., & Çelik, N. (2015). Financial performance determinants of paper and paper products firms listed in Borsa Istanbul. International Journal of Economics and Finance, 7(4), 233-243.
  • Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90(1), 1-44.
  • Levin, A., Lin, C.-F., & Chu, C.-S. (2002). Unit root tests in panel data:Asymptotic and finite-sample properties. Journal of Econometrics,108(1), 1-24.
  • López-Penabad, M. C., Iglesias-Casal, A., & Neto, J. F. S. (2022). Effects of a negative interest rate policy in bank profitability and risk taking: Evidence from European banks. Research in International Business and Finance, 60, 101597.
  • 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, 61, 631-652.
  • Malik, M. F., Khan, S., Khan, M. I., & Khan, F. (2014). Interest rate and its effect on bank’s profitability. J. Appl. Environ. Biol. Sci, 4(8S), 225-229.
  • Minny, M., & Görmüş, Ş. (2017). The impact of interest rate fluctuations on the participation banks profitability: Turkey case. International Journal of Islamic Economics and Finance Studies, 3(2).
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Saldanli, A., & Aydin, M. (2016). Bankacılık Sektöründe Karlılığı Etkileyen Faktörlerin Panel Veri Analizi İle İncelenmesi: Türkiye Örneği. Ekonometri ve İstatistik Dergisi, (24), 1-9.
  • Stock, J.H. and Watson, M.W. (1993) A Simple Estimator of Cointegrating Vectors in Higher Order Integrated System. Economometrica, 61, 783-820.
  • Yaman, S. (2021). Bankalara Özgü Fakgörlerin Banka Karlılığına Etkisi: Türkiye Bankacılık Sektörü Üzerine Panel Veri Analizi. İktisadi ve İdari Yaklaşımlar Dergisi, 3(2), 77-100.
  • Yay, G.G. (2012). Para ve Finans Teori ve Politika. Istanbul Bilgi Universitesi Publishing. Second Edition. Istanbul
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Araştırma Makaleleri
Yazarlar

Fatih Kayhan 0000-0001-7844-8663

Yayımlanma Tarihi 30 Haziran 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 4 Sayı: 1

Kaynak Göster

APA Kayhan, F. (2023). THE RELATION BETWEEN BOND RETURNS, BIST-100 RETURNS AND BANK PROFITABILITY. Uluslararası Finansal Ekonomi Ve Bankacılık Uygulamaları Dergisi, 4(1), 1-17. https://doi.org/10.57085/ufebud.1239459
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