The Effect of Derivative Product Use on Market Value: An Application in the Banking Sector

Lokman Kantar and Murat Duzer

Journal of BRSA Banking and Financial Markets, 2022, vol. 16, issue 2, 189-215

Abstract: The causality relationship between the market value of eight deposit banks (domestic and foreign) traded in Borsa Istanbul and the use of derivative products between 2007Q1-2021Q4 and the factors affecting the market value was examined by panel causality method and panel data analysis methods. According to the findings of the study, while there is a two-way causality relationship between market value and the use of derivatives for trading purposes, there is no causal relationship between market value and the use of derivatives for risk management purposes. Among the factors affecting the market value, the use of derivatives for trading and the non-performing loans/total loans ratio affected the market value negatively, while the variables of asset size and capital adequacy ratio positively affected the market value.

Keywords: Market Value; Derivatives; Panel Casuality. (search for similar items in EconPapers)
JEL-codes: C33 G21 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:16:y:2022:i:2:p:189-215

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