Türk bankacılık sektöründe sistematik risk hesaplamaları
Loading...
Date
2020
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Namık Kemal Üniversitesi
Access Rights
info:eu-repo/semantics/openAccess
Abstract
Sistematik risk, ekonomide yer alan şirketlerin tamamını etkileyen ekonomik durgunluk, politik nedenler, yüksek faiz, savaş gibi çevresel faktörlerden oluşabilen risk kaynağıdır. Enflasyon riski, faiz oranı riski, politik risk ve piyasa riski sistematik riskin alt başlıklarını oluşturmaktadır. Çalışma Türk bankacılık sektöründe sistematik risk hesaplamalarını konu olarak ele almaktadır. Finansal hizmet bağlamında en önemli kuruluşlar fon talep edenler ile fon sahiplerini bir araya getiren bankalardır. Bu nedenle bankacılık sektöründe sistematik risk hesaplamaları önemlidir. Çalışma Borsa İstanbul’da işlem gören 11 bankanın sistematik risk düzeylerini ortaya koymayı amaçlamaktadır. Ekonometrik yöntem olarak Sermaye Varlıklarını Fiyatlandırma Modeli (SVFM) kullanılmaktadır. Çalışmada 29.06.2007- 31.12.2019 tarihleri arasındaki günlük kapanış fiyatları zaman serisi olarak yer almaktadır. Regresyon analizinde beta katsayısı tahmin edilirken betanın zamana göre değişken yapısını dikkate alabilmek için Kayan Pencereli Regresyon analizi gerçekleştirilmiştir. Analiz sonuçları ekonomik kriz, siyasi belirsizlik, yüksek döviz kuru gibi çevresel faktörlerin görüldüğü dönemlerde Türk bankacılık sektöründe sistematik risk düzeyinin arttığını ortaya koymaktadır. Ayrıca çalışmanın teorik ve ampirik kısmı bir bütün olarak ele alındığında başarılı bir portföy ve risk yönetimi için SVFM ile sistematik risk hesaplamalarının önemli olduğu görülmektedir.
Systematic risk is the source of risk, which may be caused by environmental factors such as economic stagnation, political reasons, high interest, war, affecting all companies in the economy. Inflation risk, interest rate risk, political risk and market risk are sub-headings of systematic risk. This study explains systematic risk calculations in the Turkish banking sector. In the context of financial services, the most important institutions are the banks that bring together funders and fund holders. For this reason, systematic risk calculations are important in the banking sector. The study aims to show the systematic risk levels of 11 banks traded on Istanbul Stock Exchange. The Capital Asset Pricing Model (CAPM) is used as the econometric method. Daily closing prices between 29.06.2007 and 31.12.2019 are included in the study as a time series. In the regression analysis, the beta coefficient is estimated. Rolling window regression analysis was used to take into account the variable structure of the beta over time. The results of the analysis reveal that the systematic risk level has increased in the Turkish banking sector in times of environmental factors such as economic crisis, political uncertainty and high exchange rate. In addition, when the theoretical and empirical part of the study is considered as a whole, it is seen that systematic risk calculations are important together with the Capital Asset Pricing Model for successful portfolio and risk management.
Systematic risk is the source of risk, which may be caused by environmental factors such as economic stagnation, political reasons, high interest, war, affecting all companies in the economy. Inflation risk, interest rate risk, political risk and market risk are sub-headings of systematic risk. This study explains systematic risk calculations in the Turkish banking sector. In the context of financial services, the most important institutions are the banks that bring together funders and fund holders. For this reason, systematic risk calculations are important in the banking sector. The study aims to show the systematic risk levels of 11 banks traded on Istanbul Stock Exchange. The Capital Asset Pricing Model (CAPM) is used as the econometric method. Daily closing prices between 29.06.2007 and 31.12.2019 are included in the study as a time series. In the regression analysis, the beta coefficient is estimated. Rolling window regression analysis was used to take into account the variable structure of the beta over time. The results of the analysis reveal that the systematic risk level has increased in the Turkish banking sector in times of environmental factors such as economic crisis, political uncertainty and high exchange rate. In addition, when the theoretical and empirical part of the study is considered as a whole, it is seen that systematic risk calculations are important together with the Capital Asset Pricing Model for successful portfolio and risk management.
Description
Keywords
Bankacılık, Sistematik Risk, SVFM, Portföy, Risk, Banking, CAPM, Systematic Risk, Portfolio
