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Türk Bankacılık Sektöründe Çeşitlendirme ve Risk: Mevduat Bankaları İçin Dinamik Panel Veri Analizi

Year 2024, Issue: 121, 51 - 69, 16.04.2024

Haşmet Sarıgül

https://doi.org/10.33203/mfy.1241006

Abstract

Bu çalışmada varlık, gelir ve fon kaynaklarının çeşitlendirilmelerinin bir dizi bankaya özgü değişkenle birlikte Türkiye ’de faaliyet gösteren bankalarının risk düzeyleri üzerindeki etkileri araştırılmıştır. Genelleştirilmiş Momentler Yöntemi tahmincileri kullanıldığı çalışmada yirmi mevduat bankasının 2005-2021 dönemi yıllık verilerine başvurulmuştur. Gerçekleştirilen dinamik panel veri analizinin bulguları varlık ve fon kaynakları çeşitlendirmelerinin çalışmada bankaların risk göstergesi olarak kullanılan Z-skorları üzerinde istatistiksel olarak anlamlı pozitif etkisi olduğunu ortaya koymaktadır. Bir diğer ifadeyle varlık ve fon kaynaklarının çeşitlendirilmesi bankaların risk düzeylerini düşürmektedir. Gelir çeşitlendirmesinin ise mevduat bankalarının finansal sıkıntıya düşme olasılıkları üzerinde anlamlı bir etkisi belirlenememiştir.

Keywords

Çeşitlendirme Risk Türk Mevduat Bankaları Panel Veri GMM

References

  • Abbas, F., & Ali, S. (2022). Dynamics of Diversification and Banks' Risk-Taking and Stability: Empirical Analysis of Commercial Banks, Managerial and Decision Economics, 43(4), 1000-1014.
  • Abuzayed, B., Al-Fayoumi, N., & Molyneux, P. (2018). Diversification and Bank Stability in the GCC, Journal of International Financial Markets, Institutions and Money, 57, 17-43.
  • Acharya, V., Haşan, L, & Saunders, A. (2006). Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios, The Journal of Business, 79(3), 1355-1412.
  • Ali, M., & Puah, C. H. (2018). Does Bank Size and Funding Risk Effect Banks’ Stability? A Lesson from Pakistan, Global Business Revievv, 19(5), 1166-1186.
  • Alkan, U., & Şengül, A. (2022). Türk Bankacılık Sisteminde Riskliliğin Temel Belirleyicileri: Gelir Çeşitlendirmesi Önemli Bir Etken Mi? Anadolu Üniversitesi Sosyal Bilimler Dergi¬si, 22(3), 1015-1042.
  • AIKhouri, R., & Arouri, H. (2019). The effect of Diversification on Risk and Retum in Banking Sector: Evidence From The Gulf Cooperation Council Countries, International Journal of Managerial Finance, 15(1), 100-128.
  • Altman, E. I. (1968), “Financial Ratios, Discriminant Analysis and the Predictıon of Corporate Bankruptcy”, The Journal of Finance, 23(4), 589-609.
  • Amidu, M., & Wolfe, S. (2013). Does Bank Competition and Diversification Lead to Greater Stability? Evidence From Emerging Markets, Review of Development Finance, 3(3), 152- 166.
  • Arellano, M., &Bond, D. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, 58(2), 277-297.
  • Arellano, M., & Bover, O. (1995). Another Look at the Instrumental Variable Estimation of Error-Components Models, Journal of Econometrics, 68(1), 29-51.
  • Atik, M. (2019). Türk Bankacılık Sektöründeki Faiz Dışı Gelirlerin Banka Geliri ve Riski Üze¬rindeki Etkisinin Ölçülmesi, Muhasebe ve Finansman Dergisi, 81, 271-292.
  • Baele, L., De Jonghe, O., & Vander, V. R. (2007). Does the Stock Market Value Bank Diversification? Journal of Banking and Finance, 31(7), 1999-2023.
  • Berger, A. N., Demsetz, R. S., & Strahan, P. E. (1999). The Consolidation of the Financial Services Industıy: Causes, Consequences, and Implications for the Future, Journal of Banking and Finance, 23(2-4), 135-194.
  • Blundell, R., & Bond, S. (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics, 87(1), 115-143.
  • Boyd, J. H., & Prescott, E. C. (1986). Financial Intermediary-Coalitions, Journal of Economic Theory, 38(2), 211-232. Chiaramonte, L., Liu, F. H., Poli, F., & Zhou, M. (2016). How Accurately Can Z-score Predict Bank Failure? Financial Markets, Institutions and Instruments, 25(5), 333-360.
  • Çınar, Y., Gürsel, G., & Tuzcu, S. E. (2018). The Impacts of Diversification Strategies of Tur- kish Banks on Their Profıtability and Risk: A Panel Data Analysis, Ankara Üniversitesi SBF Dergisi, 73(4), 1141-1168.
  • Delpachitra, S., & Lester, L. (2013). Non-Interest Income: Are Australian Banks Moving Away from their Traditional Businesses? Economic Papers, 32(2), 190-199.
  • Deng, S(E), Elyasiani, E., & Mao, C. X. (2007). Diversification and the Cost of Debt of Bank Holding Companies, Journal of Banking and Finance, 31(8), 2453-2473.
  • Ece, O. (2019), “Bankalarda Coğrafi Çeşitlenmenin Risk, Likidite ve Finansal Performans Üzerindeki Etkilerinin Değerlendirilmesi: Türkiye’deki Mevduat Bankaları Üzerine Bir Uygulama”, Manas Sosyal Araştırmalar Dergisi, 8(1), 342-366.
  • Edirisuriya, P., Gunasekarage, A. & Dempsey, M. (2015). Bank Diversification, Performance and Stock Market Response: Evidence From Listed Public Banks in Southasian Countries, Journal of Asian Economics, 41, 69-85.
  • Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1993). Risk Management: Coordinating Corporate Investment and Financing Policies, The Journal of Finance, 48(5), 1629-1658.
  • Froot, K. A. & Stein, J. C. (1998). Risk Management, Capital Budgeting, and Capital Structure Policy For Financial Institutions: An frıtegrated Approach, Journal of Financial Economics, 47(1), 55-82.
  • Hafeez, B., Li, X., Kabir, M., Humayun, K., & Tripe, D. (2022). Measuring Bank Risk: For- ward-Looking Z-Score, International Review of Financial Analysis, 80, 102039.
  • Chirok, H., Phillips, P. C. B., & Sul, D. (2014). X-Differencing and Dynamic Panel Model Estimation, Econometric Theory, 30(1), 201-251.
  • Hsieh, M. F., Chen, P. F., Lee, C. C., & Yang, S. J. (2013). How Does Diversification Impact Bank Stability? The Role of Globalization, Regulations, and Governance Environments, Asia-Pacific Journal of Financial Studies, 42(5), 813-844.
  • Horobet, A., Magdalena, R., Lucian, B., & Sandra, M. D. (2021). Determinants of Bank Profitability in CEE Countries: Evidence from GMM Panel Data Estimates, Journal of Risk and Financial Management, 14, 307.

Year 2024, Issue: 121, 51 - 69, 16.04.2024

Haşmet Sarıgül

https://doi.org/10.33203/mfy.1241006

Abstract

References

  • Abbas, F., & Ali, S. (2022). Dynamics of Diversification and Banks' Risk-Taking and Stability: Empirical Analysis of Commercial Banks, Managerial and Decision Economics, 43(4), 1000-1014.
  • Abuzayed, B., Al-Fayoumi, N., & Molyneux, P. (2018). Diversification and Bank Stability in the GCC, Journal of International Financial Markets, Institutions and Money, 57, 17-43.
  • Acharya, V., Haşan, L, & Saunders, A. (2006). Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios, The Journal of Business, 79(3), 1355-1412.
  • Ali, M., & Puah, C. H. (2018). Does Bank Size and Funding Risk Effect Banks’ Stability? A Lesson from Pakistan, Global Business Revievv, 19(5), 1166-1186.
  • Alkan, U., & Şengül, A. (2022). Türk Bankacılık Sisteminde Riskliliğin Temel Belirleyicileri: Gelir Çeşitlendirmesi Önemli Bir Etken Mi? Anadolu Üniversitesi Sosyal Bilimler Dergi¬si, 22(3), 1015-1042.
  • AIKhouri, R., & Arouri, H. (2019). The effect of Diversification on Risk and Retum in Banking Sector: Evidence From The Gulf Cooperation Council Countries, International Journal of Managerial Finance, 15(1), 100-128.
  • Altman, E. I. (1968), “Financial Ratios, Discriminant Analysis and the Predictıon of Corporate Bankruptcy”, The Journal of Finance, 23(4), 589-609.
  • Amidu, M., & Wolfe, S. (2013). Does Bank Competition and Diversification Lead to Greater Stability? Evidence From Emerging Markets, Review of Development Finance, 3(3), 152- 166.
  • Arellano, M., &Bond, D. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, 58(2), 277-297.
  • Arellano, M., & Bover, O. (1995). Another Look at the Instrumental Variable Estimation of Error-Components Models, Journal of Econometrics, 68(1), 29-51.
  • Atik, M. (2019). Türk Bankacılık Sektöründeki Faiz Dışı Gelirlerin Banka Geliri ve Riski Üze¬rindeki Etkisinin Ölçülmesi, Muhasebe ve Finansman Dergisi, 81, 271-292.
  • Baele, L., De Jonghe, O., & Vander, V. R. (2007). Does the Stock Market Value Bank Diversification? Journal of Banking and Finance, 31(7), 1999-2023.
  • Berger, A. N., Demsetz, R. S., & Strahan, P. E. (1999). The Consolidation of the Financial Services Industıy: Causes, Consequences, and Implications for the Future, Journal of Banking and Finance, 23(2-4), 135-194.
  • Blundell, R., & Bond, S. (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics, 87(1), 115-143.
  • Boyd, J. H., & Prescott, E. C. (1986). Financial Intermediary-Coalitions, Journal of Economic Theory, 38(2), 211-232. Chiaramonte, L., Liu, F. H., Poli, F., & Zhou, M. (2016). How Accurately Can Z-score Predict Bank Failure? Financial Markets, Institutions and Instruments, 25(5), 333-360.
  • Çınar, Y., Gürsel, G., & Tuzcu, S. E. (2018). The Impacts of Diversification Strategies of Tur- kish Banks on Their Profıtability and Risk: A Panel Data Analysis, Ankara Üniversitesi SBF Dergisi, 73(4), 1141-1168.
  • Delpachitra, S., & Lester, L. (2013). Non-Interest Income: Are Australian Banks Moving Away from their Traditional Businesses? Economic Papers, 32(2), 190-199.
  • Deng, S(E), Elyasiani, E., & Mao, C. X. (2007). Diversification and the Cost of Debt of Bank Holding Companies, Journal of Banking and Finance, 31(8), 2453-2473.
  • Ece, O. (2019), “Bankalarda Coğrafi Çeşitlenmenin Risk, Likidite ve Finansal Performans Üzerindeki Etkilerinin Değerlendirilmesi: Türkiye’deki Mevduat Bankaları Üzerine Bir Uygulama”, Manas Sosyal Araştırmalar Dergisi, 8(1), 342-366.
  • Edirisuriya, P., Gunasekarage, A. & Dempsey, M. (2015). Bank Diversification, Performance and Stock Market Response: Evidence From Listed Public Banks in Southasian Countries, Journal of Asian Economics, 41, 69-85.
  • Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1993). Risk Management: Coordinating Corporate Investment and Financing Policies, The Journal of Finance, 48(5), 1629-1658.
  • Froot, K. A. & Stein, J. C. (1998). Risk Management, Capital Budgeting, and Capital Structure Policy For Financial Institutions: An frıtegrated Approach, Journal of Financial Economics, 47(1), 55-82.
  • Hafeez, B., Li, X., Kabir, M., Humayun, K., & Tripe, D. (2022). Measuring Bank Risk: For- ward-Looking Z-Score, International Review of Financial Analysis, 80, 102039.
  • Chirok, H., Phillips, P. C. B., & Sul, D. (2014). X-Differencing and Dynamic Panel Model Estimation, Econometric Theory, 30(1), 201-251.
  • Hsieh, M. F., Chen, P. F., Lee, C. C., & Yang, S. J. (2013). How Does Diversification Impact Bank Stability? The Role of Globalization, Regulations, and Governance Environments, Asia-Pacific Journal of Financial Studies, 42(5), 813-844.
  • Horobet, A., Magdalena, R., Lucian, B., & Sandra, M. D. (2021). Determinants of Bank Profitability in CEE Countries: Evidence from GMM Panel Data Estimates, Journal of Risk and Financial Management, 14, 307.
There are 26 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Haşmet Sarıgül 0000-0001-7262-6668

Early Pub Date April 16, 2024
Publication Date April 16, 2024
Submission Date January 23, 2023
Published in Issue Year 2024 Issue: 121

Cite

APA Sarıgül, H. (2024). Türk Bankacılık Sektöründe Çeşitlendirme ve Risk: Mevduat Bankaları İçin Dinamik Panel Veri Analizi. Maliye Ve Finans Yazıları(121), 51-69. https://doi.org/10.33203/mfy.1241006
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