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THE LIQUIDITY FACTORS OF THE CONVENTIONAL AND ISLAMIC BANKS

Yıl 2022, Cilt: 21 Sayı: 3, 1405 - 1424, 31.07.2022
https://doi.org/10.21547/jss.1068394

Öz

In this study, the conventional and Islamic banks’ liquidity factors were investigated with some economy and bank-specific variables. The results demostrated that the conventional banks had been more liquid than the Islamic banks. However, the average liquidity had been decreased both in the conventional and Islamic banks. The POLS test results indicated the different variables impact the banks’ liquidity. RSF, EM, MGT, RWA, and GDPGrowth were the significant variables at 90% significance levels in Islamic bank model. GDPGrowth is the only economy-specific, RSF is the least and MGT is the most effective factor for the Islamic banks. However, the bank liquidity had an inverse relation with RSF and MGT. FLP, M3, CPI, ROA, and FINANCE are the significiant variables at 95% significiance level for the conventional banks. All of those variables had inverse relations with the liquidity, as well.

Kaynakça

  • Adrian, T. & Shin, H. S. (2008). Liquidity, monetary policy, and financial cycles. Current issues in economics and finance, 14(1), 82-92. Retrieved September 13, 2021, from https://papers.ssrn. com/sol3/papers.cfm? abstract_id=1090550.
  • Akay, E.Ç., Genç, E. G., Gülel, F. E., Güriş, B., Güriş, S., Kızılarslan, Ş., Koşan, İ., Saçıldı, İ.S., Şak, N., Şükrüoğlu, D., Tıraşoğlu, M., Ün, T.& Van, M.H. (2018). Uygulamalı Panel Veri Ekonometrisi. (S. Güriş, Ed.). İstanbul: DER Kitapevi Yayınevi ve Dağıtım Paz. Ltd. Şti.
  • Akhtar, M.F., Ali, K. & Sadaqat, S. (2011). Liquidity risk management: A comparative study between conventional and Islamic banks of Pakistan. Interdisciplinary Journal of Research in Business, 1(1), 35-44. Retrieved November 10, 2021, from, http://www.iaif.ir/images/ khareji/articles/bank/81.pdf.
  • Alin, A. (2010). Multicollinearity. Wiley Interdisciplinary Reviews: Computational Statistics, 2(3), 370-374. https://doi.org/10.1002/wics.84
  • Ayaydın, H. & Karaaslan, İ. (2014). Likidite riski yönetimi: Türk bankacılık sektörü üzerine bir araştırma. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 237-256. Retrieved December 1, 2021 from, https://eds.p.ebscohost.com/eds/pdfviewer/pdfviewer?vid=0&sid=6a8f0309-0058-447a-af08-56a488c743e6%40redis Berger, A. N. & Bouwman, C. H. (2009). Bank liquidity creation. The Review of Financial Studies, 22(9), 3779- 3837. Retrieved December 1, 2021 from, https://www.jstor.org/stable/pdf/40247676.pdf
  • Bonner, C., Van Lelyveld, I. & Zymek, R. (2015). Banks’ liquidity buffers and the role of liquidity regulation. Journal of Financial Services Research, 48(3), 215-234. https://doi.org/10.1007/s10693-014-0207-579-3837
  • Breitenlechner, M., Geiger, M. & Scharler, J. (2021). Bank liquidity and the propagation of uncertainty in the US. Finance Research Letters, 102467. https://doi.org/10.1016/j.frl.2021.102467
  • Castagna, A. & Fede, F. (2013). Measuring and managing liquidity risk (1th ed.). Croydon: John Wiley & Sons. https://doi.org/10.1002/9781118818466
  • Correa, R., Goldberg, L.S. & Rice, T. (2015). International banking and liquidity risk transmission: Evidence from the United States. IMF Economic Review, 63(3), 626-643. Retrieved February 17, 2021 from, https://link.springer.com/content/pdf/10.1057/imfer.2015.28.pdf
  • Çanakcı, M. & Tunalı, H. (2018). İslami bankacılık sektöründe likidite riski unsurlarını belirleyen esaslar. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 10(18), 90-119. https://doi.org/ 10.20990/ kilisiibfakademik.428617
  • Çelik, S. & Akarım, Y. D. (2012). Likidite riski yönetimi: Panel veri analizi ile İMKB bankacılık sektörü üzerine ampirik bir uygulama. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1-17. Retrieved September 17, 2021 from, https://dergipark.org.tr/en/download/article-file/113339
  • Dahir, A. M., Mahat, F. B. & Ali, N. A. (2018). Funding liquidity risk and bank risk-taking in BRICS countries: An application of system GMM approach. International Journal of Emerging Markets, 13(1), 231-248. https://doi.org/10.1108/IJoEM-03-2017-0086
  • Daoud, J.I. (2017). Multicollinearity and regression analysis. In Journal of Physics: Conference Series, 949(1), 012009. https://doi.org/10.1088/1742-6596/949/1/012009
  • Doğan, M. (2013). Katılım ve geleneksel bankaların finansal performanslarının karşılaştırılması: Türkiye örneği. Muhasebe ve Finansman Dergisi, (58), 175-188. Retrieved November 11, 2021 from, https://dergipark.org.tr/en/download/article-file/427456
  • Drehmann, M. & Nikolaou, K. (2013). Funding liquidity risk: definition and measurement. Journal of Banking & Finance, 37(7), 2173-2182. Retrieved November 11, 2021 from, https://www.banqueducanada.ca/wpcontent/uploads/2010/09/ecbwp1024.pdf
  • Drukker, D. M. (2003), Testing for serial correlation in linear panel-data models. The Stata Journal, 3(2), 168-177. Retrieved November 11, 2021 from, https:// journals.sagepub.com/doi/pdf/10.1177/1536867X0300300206
  • Ersoy, E. & Aydın, Y. (2018). Bankaların likiditesini etkileyen makroekonomik ve bankaya özgü faktörlerin ampirik analizi: Türkiye örneği. Global Journal of Economics and Business Studies, 7(14), 158-169. Retrieved November 11, 2021 from, https ://dergipark.org.tr/en/download/article-file/619602
  • International Money Funds. (2010). Global financial stability report: Sovereigns, funding, systemic liquidity. Retrieved January 2, 2022 from, https://www.imf.org/en/Publications/GFSR/Issues/ 2016/12/31/Global-Financial-Stability-Report-October-2010-Sovereigns-Funding-and-Systemic-Liquidity-23543
  • Iqbal, A. (2012). Liquidity risk management: A comparative study between conventional and Islamic banks of Pakistan. Global Journal of Management and Business Research, 12(5), 1-11. Retrieved January 2, 2022 from, https://globaljournals.org/GJMBR_Volume12/6-Liquidity-Risk-Management.pdf
  • Işıl, G. & Özkan, N.(2015). Liquidity risk management in Islamic banking: An empirical analysis on the Turkish participation banking. International Journal of Islamic Economics and Finance Studies, 1(2), 23-37. Retrieved January 2, 2022 from, https://dergipark. org.tr/en/download /article-file/303987
  • Jiang, L., Levine, R. & Lin, C. (2019). Competition and bank liquidity creation. Journal of Financial and Quantitative Analysis, 54(2), 513-538. Retrieved April 30, 2021 from, https ://www.nber.org/system/files/working_papers/w22195/w22195.pdf
  • Loutskina, E. (2011). The role of securitization in bank liquidity and funding management. Journal of Financial Economics, 100(3), 663-684. Retrieved January 5, 2022 from, https: //papers.ssrn.com/sol3/papers.cfm?abstract_id=677001
  • Özcan, I. & Belke, M. (2017). Likidite riskinin belirleyicileri: Borsa İstanbul’a kote mevduat bankalarından kanıtlar. Ekonomi Politika ve Finans Araştırmaları Dergisi, 2(2), 113-126. https://doi.org/10.30784/epfad.354458
  • Pedace, R. (2013), Econometrics for Dummies, Canada: John Wiley & Sons, Inc.
  • Sahyouni, A., Zaid, M. A. & Adib, M. (2021). Bank soundness and liquidity creation. EuroMed Journal of Business, 16(1), 86-107. https://doi.org/10.1108/EMJB-04-2019-0061
  • Segalla, E. (2015). International Banking and Liquidity Risk Transmission: Evidence from Austria. IMF Economic Review, 63(3), 426-454. https://doi.org/10.1057/imfer.2015.20
  • Tatoğlu, F.Y. (2018a). Panel Veri Ekonometrisi, İstanbul: Beta Yayınevi.
  • Tatoğlu, F.Y. (2018b). İleri Panel Veri Analizi. İstanbul: Beta Yayınevi.
  • Uzun, U. & Berberoğlu, M. (2018). Bankaların sermaye yeterlilik düzeyleri ile hisse değeri arasındaki ilişki üzerine bir inceleme: Türkiye bankacılık sektörü örneği. Current Debates in Finance& Econometrics: Current Debates in Social Sciences Series (19). London: IJOPEC Publication Limited. Retrieved December 4, 2021 from, https://www.econstor.eu/bitstream/10419/180047/1/9781912503315.pdf#page=35 (An investigation on the relationship between banks’ capital adequacy levels and stock value: the case of turkish banking sector)
  • Valla, N., Saes-Escorbiac, B. & Tiesset, M. (2006). Bank liquidity and financial stability. Banque de France Financial Stability Review, 9(1), 89-104. Retrieved December 4, 2021 from, https://particuliers. banque-france.fr/sites/default/files/medias/documents/ financial-stability-review-09_2006-12.pdf#page=89
  • Waemustafa, W. & Sukri, S. (2016). Systematic and unsystematic risk determinants of liquidity risk between Islamic and conventional banks. International Journal of Economics and Financial Issues, 6(4), 1321-1327. Retrieved November 4, 2021 from, http://repo.uum.edu.my/id/eprint/19665/1/2609-8265-1-PB.pdf
  • Watanabe, A. & Watanabe, M. ( 2008). Time-varying liquidity risk and the cross section of stock returns. The Review of Financial Studies, 21(6), 2449-2486. Retrieved November 4, 2021 from, https://www.jstor.org/stable/pdf/40056890.pdf
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica: journal of the Econometric Society, 817-838. Retrieved November 24, 2021 from, https://www.jstor.org/stable/1912934
  • Wooldridge, J. M. (2002). Econometric analysis of cross section and panel data. Cambridge, MA: MIT press (108). Retrieved December 24, 2021 from, https://doc1.bibliothek.li/aca/FLMF024129.pdf
  • Zengin, S. & Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk bankacılık sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95. Retrieved December 24, 2021 from, https:// app.trdizin.gov.tr/ publication/paper/detail/TWpVd056YzFOUT09

Mevduat ve Katılım Bankalarının Likidite Faktörleri

Yıl 2022, Cilt: 21 Sayı: 3, 1405 - 1424, 31.07.2022
https://doi.org/10.21547/jss.1068394

Öz

Bu çalışmada bazı ekonomi-spesifik ve banka-spesifik değişkenler kullanılarak mevduat ve katılım bankalarının likidite faktörleri incelenmiştir. Sonuçlar mevduat bankalarıın katılım bankalarından daha likit olduğunu göstermiştir. Ancak, ortalama likiditenin her iki banka için de düştüğü görülmüştür. POLS test sonuçları bankaların likiditesinin farklı değişkenlerden etkilendiğini belirtmiştir. Katılım bankaları için RSF, EM, MGT, RWA ve GDPGrowth değişkenleri %90 anlamlılık derecesinde anlamlıdır. GDPGrowth tek ekonomi-spesifik değişkendir. Katılım bankaları için RSF en az MGT ise en etkili faktör olarak belirlenmiştir. Diğer yandan, RSF ve MGT banka likiditesi ise ters yölü bir ilişki göstermektedir. Mevduat bankalarında FLP, M3, CPI, ROA, ve FINANCE %95 anlamlılık düzeyinde anlamlı bulunmuşlardır. Ancak, tüm bu değişkenler mevduat bankaları likiditesi ile ters yönlü bir ilişkiye sahiptirler.

Kaynakça

  • Adrian, T. & Shin, H. S. (2008). Liquidity, monetary policy, and financial cycles. Current issues in economics and finance, 14(1), 82-92. Retrieved September 13, 2021, from https://papers.ssrn. com/sol3/papers.cfm? abstract_id=1090550.
  • Akay, E.Ç., Genç, E. G., Gülel, F. E., Güriş, B., Güriş, S., Kızılarslan, Ş., Koşan, İ., Saçıldı, İ.S., Şak, N., Şükrüoğlu, D., Tıraşoğlu, M., Ün, T.& Van, M.H. (2018). Uygulamalı Panel Veri Ekonometrisi. (S. Güriş, Ed.). İstanbul: DER Kitapevi Yayınevi ve Dağıtım Paz. Ltd. Şti.
  • Akhtar, M.F., Ali, K. & Sadaqat, S. (2011). Liquidity risk management: A comparative study between conventional and Islamic banks of Pakistan. Interdisciplinary Journal of Research in Business, 1(1), 35-44. Retrieved November 10, 2021, from, http://www.iaif.ir/images/ khareji/articles/bank/81.pdf.
  • Alin, A. (2010). Multicollinearity. Wiley Interdisciplinary Reviews: Computational Statistics, 2(3), 370-374. https://doi.org/10.1002/wics.84
  • Ayaydın, H. & Karaaslan, İ. (2014). Likidite riski yönetimi: Türk bankacılık sektörü üzerine bir araştırma. Gümüşhane Üniversitesi Sosyal Bilimler Elektronik Dergisi, 237-256. Retrieved December 1, 2021 from, https://eds.p.ebscohost.com/eds/pdfviewer/pdfviewer?vid=0&sid=6a8f0309-0058-447a-af08-56a488c743e6%40redis Berger, A. N. & Bouwman, C. H. (2009). Bank liquidity creation. The Review of Financial Studies, 22(9), 3779- 3837. Retrieved December 1, 2021 from, https://www.jstor.org/stable/pdf/40247676.pdf
  • Bonner, C., Van Lelyveld, I. & Zymek, R. (2015). Banks’ liquidity buffers and the role of liquidity regulation. Journal of Financial Services Research, 48(3), 215-234. https://doi.org/10.1007/s10693-014-0207-579-3837
  • Breitenlechner, M., Geiger, M. & Scharler, J. (2021). Bank liquidity and the propagation of uncertainty in the US. Finance Research Letters, 102467. https://doi.org/10.1016/j.frl.2021.102467
  • Castagna, A. & Fede, F. (2013). Measuring and managing liquidity risk (1th ed.). Croydon: John Wiley & Sons. https://doi.org/10.1002/9781118818466
  • Correa, R., Goldberg, L.S. & Rice, T. (2015). International banking and liquidity risk transmission: Evidence from the United States. IMF Economic Review, 63(3), 626-643. Retrieved February 17, 2021 from, https://link.springer.com/content/pdf/10.1057/imfer.2015.28.pdf
  • Çanakcı, M. & Tunalı, H. (2018). İslami bankacılık sektöründe likidite riski unsurlarını belirleyen esaslar. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 10(18), 90-119. https://doi.org/ 10.20990/ kilisiibfakademik.428617
  • Çelik, S. & Akarım, Y. D. (2012). Likidite riski yönetimi: Panel veri analizi ile İMKB bankacılık sektörü üzerine ampirik bir uygulama. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 13(1), 1-17. Retrieved September 17, 2021 from, https://dergipark.org.tr/en/download/article-file/113339
  • Dahir, A. M., Mahat, F. B. & Ali, N. A. (2018). Funding liquidity risk and bank risk-taking in BRICS countries: An application of system GMM approach. International Journal of Emerging Markets, 13(1), 231-248. https://doi.org/10.1108/IJoEM-03-2017-0086
  • Daoud, J.I. (2017). Multicollinearity and regression analysis. In Journal of Physics: Conference Series, 949(1), 012009. https://doi.org/10.1088/1742-6596/949/1/012009
  • Doğan, M. (2013). Katılım ve geleneksel bankaların finansal performanslarının karşılaştırılması: Türkiye örneği. Muhasebe ve Finansman Dergisi, (58), 175-188. Retrieved November 11, 2021 from, https://dergipark.org.tr/en/download/article-file/427456
  • Drehmann, M. & Nikolaou, K. (2013). Funding liquidity risk: definition and measurement. Journal of Banking & Finance, 37(7), 2173-2182. Retrieved November 11, 2021 from, https://www.banqueducanada.ca/wpcontent/uploads/2010/09/ecbwp1024.pdf
  • Drukker, D. M. (2003), Testing for serial correlation in linear panel-data models. The Stata Journal, 3(2), 168-177. Retrieved November 11, 2021 from, https:// journals.sagepub.com/doi/pdf/10.1177/1536867X0300300206
  • Ersoy, E. & Aydın, Y. (2018). Bankaların likiditesini etkileyen makroekonomik ve bankaya özgü faktörlerin ampirik analizi: Türkiye örneği. Global Journal of Economics and Business Studies, 7(14), 158-169. Retrieved November 11, 2021 from, https ://dergipark.org.tr/en/download/article-file/619602
  • International Money Funds. (2010). Global financial stability report: Sovereigns, funding, systemic liquidity. Retrieved January 2, 2022 from, https://www.imf.org/en/Publications/GFSR/Issues/ 2016/12/31/Global-Financial-Stability-Report-October-2010-Sovereigns-Funding-and-Systemic-Liquidity-23543
  • Iqbal, A. (2012). Liquidity risk management: A comparative study between conventional and Islamic banks of Pakistan. Global Journal of Management and Business Research, 12(5), 1-11. Retrieved January 2, 2022 from, https://globaljournals.org/GJMBR_Volume12/6-Liquidity-Risk-Management.pdf
  • Işıl, G. & Özkan, N.(2015). Liquidity risk management in Islamic banking: An empirical analysis on the Turkish participation banking. International Journal of Islamic Economics and Finance Studies, 1(2), 23-37. Retrieved January 2, 2022 from, https://dergipark. org.tr/en/download /article-file/303987
  • Jiang, L., Levine, R. & Lin, C. (2019). Competition and bank liquidity creation. Journal of Financial and Quantitative Analysis, 54(2), 513-538. Retrieved April 30, 2021 from, https ://www.nber.org/system/files/working_papers/w22195/w22195.pdf
  • Loutskina, E. (2011). The role of securitization in bank liquidity and funding management. Journal of Financial Economics, 100(3), 663-684. Retrieved January 5, 2022 from, https: //papers.ssrn.com/sol3/papers.cfm?abstract_id=677001
  • Özcan, I. & Belke, M. (2017). Likidite riskinin belirleyicileri: Borsa İstanbul’a kote mevduat bankalarından kanıtlar. Ekonomi Politika ve Finans Araştırmaları Dergisi, 2(2), 113-126. https://doi.org/10.30784/epfad.354458
  • Pedace, R. (2013), Econometrics for Dummies, Canada: John Wiley & Sons, Inc.
  • Sahyouni, A., Zaid, M. A. & Adib, M. (2021). Bank soundness and liquidity creation. EuroMed Journal of Business, 16(1), 86-107. https://doi.org/10.1108/EMJB-04-2019-0061
  • Segalla, E. (2015). International Banking and Liquidity Risk Transmission: Evidence from Austria. IMF Economic Review, 63(3), 426-454. https://doi.org/10.1057/imfer.2015.20
  • Tatoğlu, F.Y. (2018a). Panel Veri Ekonometrisi, İstanbul: Beta Yayınevi.
  • Tatoğlu, F.Y. (2018b). İleri Panel Veri Analizi. İstanbul: Beta Yayınevi.
  • Uzun, U. & Berberoğlu, M. (2018). Bankaların sermaye yeterlilik düzeyleri ile hisse değeri arasındaki ilişki üzerine bir inceleme: Türkiye bankacılık sektörü örneği. Current Debates in Finance& Econometrics: Current Debates in Social Sciences Series (19). London: IJOPEC Publication Limited. Retrieved December 4, 2021 from, https://www.econstor.eu/bitstream/10419/180047/1/9781912503315.pdf#page=35 (An investigation on the relationship between banks’ capital adequacy levels and stock value: the case of turkish banking sector)
  • Valla, N., Saes-Escorbiac, B. & Tiesset, M. (2006). Bank liquidity and financial stability. Banque de France Financial Stability Review, 9(1), 89-104. Retrieved December 4, 2021 from, https://particuliers. banque-france.fr/sites/default/files/medias/documents/ financial-stability-review-09_2006-12.pdf#page=89
  • Waemustafa, W. & Sukri, S. (2016). Systematic and unsystematic risk determinants of liquidity risk between Islamic and conventional banks. International Journal of Economics and Financial Issues, 6(4), 1321-1327. Retrieved November 4, 2021 from, http://repo.uum.edu.my/id/eprint/19665/1/2609-8265-1-PB.pdf
  • Watanabe, A. & Watanabe, M. ( 2008). Time-varying liquidity risk and the cross section of stock returns. The Review of Financial Studies, 21(6), 2449-2486. Retrieved November 4, 2021 from, https://www.jstor.org/stable/pdf/40056890.pdf
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica: journal of the Econometric Society, 817-838. Retrieved November 24, 2021 from, https://www.jstor.org/stable/1912934
  • Wooldridge, J. M. (2002). Econometric analysis of cross section and panel data. Cambridge, MA: MIT press (108). Retrieved December 24, 2021 from, https://doc1.bibliothek.li/aca/FLMF024129.pdf
  • Zengin, S. & Yüksel, S. (2016). Likidite riskini etkileyen faktörler: Türk bankacılık sektörü üzerine bir inceleme. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 15(29), 77-95. Retrieved December 24, 2021 from, https:// app.trdizin.gov.tr/ publication/paper/detail/TWpVd056YzFOUT09
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm İşletme Finans
Yazarlar

Gönül Çifçi 0000-0002-5788-7461

Yayımlanma Tarihi 31 Temmuz 2022
Gönderilme Tarihi 4 Şubat 2022
Kabul Tarihi 11 Mayıs 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 21 Sayı: 3

Kaynak Göster

APA Çifçi, G. (2022). THE LIQUIDITY FACTORS OF THE CONVENTIONAL AND ISLAMIC BANKS. Gaziantep University Journal of Social Sciences, 21(3), 1405-1424. https://doi.org/10.21547/jss.1068394