What determines return risks for bank equities in Turkey?

Emre Ozsoz

MPRA Paper from University Library of Munich, Germany

Abstract: By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity composition of a bank’s loans, the share of trading income in a banks’ overall revenue stream and 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 bank’s overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.

Keywords: Commercial banks; risk; Turkish Banks (search for similar items in EconPapers)
JEL-codes: G10 G21 G28 (search for similar items in EconPapers)
Date: 2011-10-04
New Economics Papers: this item is included in nep-ara, nep-ban and nep-cwa
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/35291/1/MPRA_paper_35291.pdf original version (application/pdf)

Related works:
Journal Article: What determines return risks for bank equities in Turkey? (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:35291

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().