What Determines Return Risks for Bank Equities in Turkey?

Fordham University Economics Department Discussion Paper Series, 2013

12 Pages Posted: 6 Sep 2013

See all articles by Emre Ozsoz

Emre Ozsoz

Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Erick W. Rengifo

Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Mustapha A. Akinkunmi

Brickfield Road Associates Limited

Date Written: September 5, 2013

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 bank’s 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 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, Turkish Banks, equity risk

JEL Classification: G10, G21, G28

Suggested Citation

Ozsoz, Emre and Rengifo, Erick W. and Akinkunmi, Mustapha A., What Determines Return Risks for Bank Equities in Turkey? (September 5, 2013). Fordham University Economics Department Discussion Paper Series, 2013. Available at SSRN: https://ssrn.com/abstract=2321292 or http://dx.doi.org/10.2139/ssrn.2321292

Emre Ozsoz (Contact Author)

Fordham University - Department of Economics - Center for International Policy Studies (CIPS) ( email )

Dealy Hall 5th Floor
441 East Fordham Rd
New York, NY 10458
United States

HOME PAGE: http://www.fordham.edu/academics/office_of_research/research_centers__in/cips/

Erick W. Rengifo

Fordham University - Department of Economics - Center for International Policy Studies (CIPS) ( email )

United States
0017188174061 (Phone)
0017188173518 (Fax)

Mustapha A. Akinkunmi

Brickfield Road Associates Limited ( email )

Isheri
Ogun State
Nigeria

HOME PAGE: http://www.bra-limited.com

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