What determines return risks for bank equities in Turkey?

Emre Ozsoz, Erick W. Rengifo and Mustapha A. Akinkunmi

Borsa Istanbul Review, 2014, vol. 14, issue 1, 23-31

Abstract: By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for banks’ equities in the case of an emerging market economy, Turkey. The analysis reveals that maturity composition of banks’ loans, share of trading income in banks’ overall revenue stream and its foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of banks’ overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk. Copyright 2013, Borsa _Istanbul Anonim S‚ irketi. Production and hosting by Elsevier B.V. All rights reserved.

Keywords: Commercial banks; Turkish banks; Equity risk (search for similar items in EconPapers)
JEL-codes: G10 G21 G28 (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: What determines return risks for bank equities in Turkey? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:14:y:2014:i:1:p:23-31

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