Comparison of Participating And Traditional Banks in Terms of Risk Management in Turkey: Quantile Var Approach

Hilal Güloğlu (), Ercan Sarıdoğan () and Bülent Güloğlu ()
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Hilal Güloğlu: Istanbul University
Ercan Sarıdoğan: ercan.saridogan@istanbul.edu.tr
Bülent Güloğlu: Istanbul Technical University

Eurasian Business & Economics Journal, 2017, vol. 11, issue 11, 55-70

Abstract: This study aims to compare what is named as participating banks, Islamic banks or banks without interest with the traditional banks in terms of risk management. This comparison is based on an econometric analysis which analyzes sensitivity of the two systems to financial shocks. For this purpose the quantile VAR approach which has been recently developed by White et al.(2016) has been employed. First tail codependende hypothesis between national and international financial markets and Akbank, Garanti Bankası, İş Bank, Yapı ve Kredi Bankası and Albarakatürk, which is the sole participating bank listed in Borsa Istanbul 100 index, has been tested. Then dynamic value at risks are estimated for those banks. Finally the impact of a financial shock in Islamic, national and international financial markets on those banks? long run risk are separately analyzed using impulse response functions obtained from quantile VAR. In this study the national stock market is represented by BIST100 index, the international financial market is represented by S&P500 index and the Islamic financial market is represented by S&P500 index. The result show that Islamic banks are less affected by financial shocks than traditional financial markets.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eas:buseco:v:11:y:2017:i:11:p:55-70

DOI: 10.17740/eas.econ.2017-V11-04

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