Publication: Faiz oranlarındaki ve döviz kurlarındaki asimeyrik oynaklığın bankaların hisse senedi getirisine etkileri
Abstract
FAİZ ORANLARINDAKİ VE DÖVİZ KURLARINDAKİ ASİMETRİK OYNAKLIĞIN BANKALARIN HİSSE SENEDİ GETİRİSİNE ETKİLERİ Alper Özün zeti Globalleşen sermaye hareketleri nedeniyle bankalar, farklı ülkelerin para birimleri üzerinden değerlendirilen aktif ve pasif kalemlerini bilançolarına yansıtmakta, kur riskine bağlı olarak gelişen performans ise bankaların hisselerin fiyatlarını etkilemektedir. Diğer taraftan, faiz oranlarındaki oynaklığa bağlı olarak, bankaların bilançolarının aktif ve pasif yapısında oluşan kazanç değişimi ise faiz riskini oluşturmaktadır. Banka bilançolarında, faize hassa pasiflerin toplamının faize hassas aktiflerin toplamından genellikle daha yüksek olması nedeniyle, faiz oranlarındaki değişimler bankaların net faiz marjını ve dolayısıyla bilanço rakamlarını etkilemektedir. Finansal türev piyasaları yeterli seviyede gelişme ve derinlik kaydetmemiş ülkelerde uygulanan kur rejimlerinin ve piyasa faiz oranlarının, bankaların gerek aktif ve pasif, gerekse bilanço dışı varlıklarının maliyet ve getirilerini doğrudan etkilemesi beklenmektedir. Bu teorik çerçevede, İMKB Bankacılık Sektör Endeksi, döviz sepeti endeksi ve en aktif hazine bonosu beklenen reel bileşik faiz oranı endeksi günlük getirileri kullanılarak uygulanan doğrusal regresyon modeli, GARCH-M modeli ve TGARCH-M modeli testleri sonucunda, faiz oranları, döviz kurları ve faiz oranlarındaki asimetrik oynaklığın, İMKB-Bankacılık Sektör Endeksinin getirisini açıklama gücüne sahip olup olmadığı incelenmiştir. Dalgalı kur rejiminin piyasadaki kur riskini yansıtabilme özelliği taşıdığı ve faiz oranları ile faiz oranlarındaki oynaklıkla birlikte İMKB Bankacılık Endeksi'nin sistematik riskinin %25'ini açıklamada etkin ve durağan bir rol oynadığı sonucuna ulaşılmıştır. Faiz oranlarındaki 0.23 birim, döviz kurlarındaki 0.59 birim ve faiz oranlarının oynaklığındaki 1.54 birim değişim, bankaların hisse senedi fiyatlarında 1 birimlik değişime neden olmaktadır. Olumsuz haberlere daha sert tepkiler veren piyasanın yeterli derinliğe sahip olmamasının da etkisiyle, düşüş trendlerindeki oynaklık daha yüksek seviyelerde gerçekleşmektedir. Ayrıca, alışılagelmiş regresyon yöntemleri yerine, gelişmekte olan piyasalardaki yüksek oynaklık ve asimetrik haber akışı nedeniyle TGARCH-M modeli gibi kompleks modellerin kullanılması, ekonometrik testlerin anlam düzeyini artırmaktadır. THE EFFECTS OF ASYMMETRIC VOLATILITY IN INTEREST RATES AND EXCHANGE RATES ON STOCK RETURNS OF BANKS
of PhD Thesis, Alper Özün Due to globalizing capital movements, the banks show assets and liabilities items calculated over different currencies in their balance sheets and the performance, which develops depending on currency rate risks, have a effect on the share prices of banks. On the other hand, due to the volatility in interest rates, earning changes that occurs in the assets and liabilities structures of the balance sheets of the banks create interest risk. Changes in the interest rates have an effect on net interest margins, consequently on the balance sheet figures of the banks, as total amount of liabilities sensitive to interest is generally more than the assets sensitive to interest. It is expected that currency rate regimes and market interest rates will directly influence either assets and liabilities or costs and returns of off balance sheet assets of the banks in the countries of which its financial derivative markets are not sufficiently developed and have depth. According to this theoretical frame, it is studied that whether asymmetric volatility in the interest rates, foreign exchange rates, and interest rates have an explanation capacity on the return of the Banking Industry Index of ISE (Istanbul Stock Exchange) in the result of the linear regression model, GARCH-M model, and TGARCH-M model tests that are applied by using daily returns of the Banking Industry Index of ISE, foreign currency basket index, and real compound interest rate index expectancy for the most active treasury bonds. It is reached to a conclusion that floating exchange rate regime is able to reflect exchange rate risk in the market, and takes an active and static role for explaining 25% of the systematic risk of the Banking Industry Index of ISE together with interest rates and volatility in the interest rates. 0.23 unit change in the interest rates, a 0.59 unit change in the exchange rates, and 1.54 unit change in the volatility in interest rates result in a 1 unit change in the share certificate prices of the banks. Volatility in declining trends occurs in higher levels, also with the effect of insufficient depth of market creating sharper reactions to negative news. Furthermore, application of complex models like TGARCH-M model instead of customary regression model increases significance level of econometric tests, especially because of higher volatility and asymmetric flow of news.
of PhD Thesis, Alper Özün Due to globalizing capital movements, the banks show assets and liabilities items calculated over different currencies in their balance sheets and the performance, which develops depending on currency rate risks, have a effect on the share prices of banks. On the other hand, due to the volatility in interest rates, earning changes that occurs in the assets and liabilities structures of the balance sheets of the banks create interest risk. Changes in the interest rates have an effect on net interest margins, consequently on the balance sheet figures of the banks, as total amount of liabilities sensitive to interest is generally more than the assets sensitive to interest. It is expected that currency rate regimes and market interest rates will directly influence either assets and liabilities or costs and returns of off balance sheet assets of the banks in the countries of which its financial derivative markets are not sufficiently developed and have depth. According to this theoretical frame, it is studied that whether asymmetric volatility in the interest rates, foreign exchange rates, and interest rates have an explanation capacity on the return of the Banking Industry Index of ISE (Istanbul Stock Exchange) in the result of the linear regression model, GARCH-M model, and TGARCH-M model tests that are applied by using daily returns of the Banking Industry Index of ISE, foreign currency basket index, and real compound interest rate index expectancy for the most active treasury bonds. It is reached to a conclusion that floating exchange rate regime is able to reflect exchange rate risk in the market, and takes an active and static role for explaining 25% of the systematic risk of the Banking Industry Index of ISE together with interest rates and volatility in the interest rates. 0.23 unit change in the interest rates, a 0.59 unit change in the exchange rates, and 1.54 unit change in the volatility in interest rates result in a 1 unit change in the share certificate prices of the banks. Volatility in declining trends occurs in higher levels, also with the effect of insufficient depth of market creating sharper reactions to negative news. Furthermore, application of complex models like TGARCH-M model instead of customary regression model increases significance level of econometric tests, especially because of higher volatility and asymmetric flow of news.