Efficiency, Productivity and Stock Performance: Evidence from the Turkish Banking Sector

This paper investigates the link between stock performance of the listed commercial banks in the Turkish stock exchange and three measures of bank performance, such as technical efficiency, scale efficiency and productivity for the period 1998-2008. The relationship between efficiency and stock returns is investigated by running a regression of stock returns on measures of performance and some bank specific variables. The results indicate that the changes in three measures of performance have positive and significant effect on stock returns, suggesting that stocks of technical efficient, scale efficient and productive banks tend to outperform their inefficient and unproductive rivals.Stock returns, Technical efficiency, Productivity, Scale efficiency, Turkish banking

Efficiency and Foreign Ownership in Banking: An International Comparison

This paper estimates cost and profit efficiency for Latin American and the Caribbean banking sectors. This study also conducts a comparative analysis of the performance of foreign and domestic banks operating in these counties. Using a model proposed by Battese and Coelli (1995), a common cost and profit frontiers with country-specific environmental variables have been estimated for a panel of 427 banking firms from sixteen countries. The empirical analysis reveals the importance of the environmental variables in explaining the efficiency differences among countries. The results show that profit efficiency levels are well below those corresponding to cost efficiency, implying that the most important inefficiency is on the revenue side. The results further indicate that on average foreign banks are more efficient than domestic banks.Banking, efficiency, foreign ownership

Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey

After the collapse of fixed exchange rate regime in 1980, alternative regimes were adopted in Turkey. The “crawling peg” regime (1980-81) is followed by “managed float” (1981-99), “crawling peg” (1999-2001) and “free floating” (2001-) in “de jure” classification. This paper examines the behavior of the macroeconomic variables in terms of volatility across exchange rate regimes in “de jure “ and “de facto” classifications, using monthly data over the period 1980-2006. We find a strong GARCH effect for the real exchange rate, inflation and foreign exchange reserves. The findings of the t-test indicate that the variations in the mean of most of the macroeconomic variables are not statistically different from each other under “de facto” regimes The results of this study suggest the existence of “de facto” regime neutrality.Exchange Rate Regimes, Macroeconomic Variables, Exchange Rate Volatility, Conditional Heteroscedasticity Models

Total factor productivity and convergence: evidence from old and new EU member countries’ banking sectors

This paper examines whether there has been convergence of total factor productivity levels across twenty-two EU member and three candidate countries following the process of legislative harmonization. The results indicate evidence of β-convergence and σ-convergence in productivity across sampled countries. The results further indicate that all sampled banking sectors seem to have experienced a significant productivity growth over the sample period. The productivity growth levels range from 3.1% to 15.6% and 6.8% to 19.5% in the old member and new member states, respectively. The geometric means considering all banking firms in the new member and candidate countries together reveal that banking sectors in these countries were more productive than those of in the old EU member countries. Overall, the evidence indicates that promoting merger and acquisition activities in the banking system (and hence supporting market driven consolidation of smaller banks) and enhancing the presence of foreign banks could increase competition and productivity in these banking systems

Exchange Rate Uncertainty in Turkey and its Impact on Export Volume

This paper investigates the impact of real exchange rate volatility on Turkey’s exports to its most important trading partners using quarterly data for the period 1982 to 2001. Cointegration and error correction modeling approaches are applied, and estimates of the cointegrating relations are obtained using Johansen’s multivariate procedure. Estimates of the short-run dynamics are obtained through the error correction technique. Our results indicate that exchange rate volatility has a significant positive effect on export volume in the long run. This result may indicate that firms operating in a small economy, like Turkey, have little option for dealing with increased exchange rate risk.Publisher's Versio

The impact of futures trading on volatility of the underlying asset in the Turkish stock market

This paper examines the impact of the introduction of stock index futures on the volatility of the Istanbul Stock Exchange (ISE), using asymmetric GARCH model, for the period July 2002-October 2007. The results from EGARCH model indicate that the introduction of futures trading reduced the conditional volatility of ISE-30 index. Results further indicate that there is a long-run relationship between spot and future prices. The results also suggest that the direction of both long- and short-run causality is from spot prices to future prices. These findings are consistent with those theories stating that futures markets enhance the efficiency of the corresponding spot markets. (C) 2008 Elsevier B.V. All rights reserved

Efficiency, productivity and stock performance: Evidence from the Turkish banking sector

This paper investigates the link between stock performance of the listed commercial banks in the Turkish stock exchange and three measures of bank performance, such as technical efficiency, scale efficiency and productivity for the period 1998-2008. The relationship between efficiency and stock returns is investigated by running a regression of stock returns on measures of performance and some bank specific variables. The results indicate that the changes in three measures of performance have positive and significant effect on stock returns, suggesting that stocks of technical efficient, scale efficient and productive banks tend to outperform their inefficient and unproductive rivals

Convergence in obesity and overweight rates across OECD countries: evidence from the stochastic and club convergence tests

Obesity has become a serious public health problem in the last two decades and affects not only developed countries but also the developing world. To date, despite all attempts to stop its increase, obesity remains a serious social problem, and obesity-related diseases have a significant cost on the health system. In this paper, we investigate the convergence of obesity rates, overweight rates, and body mass index (BMI) across 35 OECD countries over the period 1975-2006. The empirical findings of the paper are expected to have important policy implications to better inform policymakers. In addition to the traditional convergence tests, this paper uses a newly developed LM based panel unit root test with endogenously determined structural breaks to test for the stochastic convergence. Given the shortcomings of traditional and stochastic convergence tests in light of the possibility of multiple equilibria associated with groups of countries following different convergence paths, the club convergence algorithm is also employed. Traditional cross-sectional tests show that both beta- and sigma-convergence of the variables of interest exist across sampled countries. Moreover, the univariate LM unit root test results provide support for convergence in the relative BMIs, obesity rates, and overweight rates for a majority of the OECD countries. The club convergence test results, however, suggest the rejection of full panel club convergence only in BMI variables and overweight rates for females and the presence of a certain number of clubs for these variables

Bank size, competition and risk in the Turkish banking industry

This paper investigates the impact of bank size and competition on earnings volatility and insolvency risk using quarterly data for commercial banks operating in the Turkish banking industry for the period 2002Q1-2012Q2. The main result of the paper indicates that bank size and earnings volatility are negatively related, suggesting that larger banks are less risky. The results also indicate that competition measured by the Boone indicator increases earnings volatility. The results further suggest that higher capitalized banks, banks with a higher share of non-interest income in total income and efficient banks face lower earnings volatility. Finally, insolvency risk measured by Z-score and bank size are positively related, suggesting that larger banks are more stable