Stock Return Comovement and Systemic Risk in the Turkish Banking System
Mahir Binici,
Bülent Köksal and
Cuneyt Orman (cuneytorman@gmail.com)
Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey
Abstract:
This paper investigates the evolution of systemic risk in the Turkish banking sector over the past two decades using comovement of banks� stock returns as a systemic risk indicator. In addition, we explore possible determinants of systemic risk, the knowledge of which can be a useful input into effective macroprudential policymaking. Results show that the correlations between bank stock returns almost doubled in 2000s in comparison to 1990s. The correlations decreased somewhat after 2002 and increased again after the 2007-2009 financial crisis. Main determinants of systemic risk appear to be the market share of bank pairs, the amount of nonperforming loans, herding behavior of banks, and volatilities of macro variables including the exchange rate, U.S. T-bills, EMBI+, VIX, and MSCI emerging markets index.
Keywords: Stock Returns; Comovement; Systemic Risk; Turkish Banking System (search for similar items in EconPapers)
JEL-codes: C22 C58 G21 G32 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ara, nep-ban and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2013/13-02 (application/pdf)
Related works:
Journal Article: Stock Return Co-movement and Systemic Risk in the Turkish Banking System (2013)
Working Paper: Stock return comovement and systemic risk in the Turkish banking system (2012)
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:tcb:wpaper:1302
Access Statistics for this paper
More papers in Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by Sermet Pekin (appgm@tcmb.gov.tr) and Ilker Cakar (sermet.pekin@tcmb.gov.tr) and (ilker.cakar@tcmb.gov.tr).