Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach

Kale, S , Eken, M , Kaya, İ . (2020). Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 15 (3) , 1001-1018 . Retrieved from https://dergipark.org.tr/tr/pub/oguiibf/issue/56280/471816

Posted: 20 Nov 2020

See all articles by Süleyman Kale

Süleyman Kale

Kırklareli University

Mehmet Hasan Eken

TEMAR

Gokce Kaya

affiliation not provided to SSRN

Date Written: August 15, 2020

Abstract

This study researches the effects of bank efficiency changes of returns in Turkish stock markets using a two-stage model for the period of 2002-2017. First, Malmquist Productive Index is employed to measure the different dimensions of efficiency; then, static and dynamic panel data models are used to investigate the effects of efficiency changes. First stage indicates that efficiency increased until 2010, and then a considerable decrease was observed. Second stage proves that together with market itself efficiency change has explanatory power on stock return. Effect of increase in profitability efficiency is positive in the long run while effect of inter-mediation is positive in the short but negative in the long run. This may be explained with the side effects of increasing inter-mediation in the short run as the increasing non-performing loans and decreasing profitability in the long run.

Keywords: Data Envelopment Aanalysis; Malmquist Productivity Index; Panel ARDL; PMG; Bank Efficiency and Stock Returns

JEL Classification: G21

Suggested Citation

Kale, Süleyman and Eken, Mehmet Hasan and Kaya, Gokce, Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach (August 15, 2020). Kale, S , Eken, M , Kaya, İ . (2020). Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 15 (3) , 1001-1018 . Retrieved from https://dergipark.org.tr/tr/pub/oguiibf/issue/56280/471816, Available at SSRN: https://ssrn.com/abstract=3674518

Süleyman Kale (Contact Author)

Kırklareli University ( email )

Kepirtepe Mevkii
Lüleburgaz
Kırklareli, 39750
Turkey

HOME PAGE: http://personel.klu.edu.tr/suleymankale

Mehmet Hasan Eken

TEMAR ( email )

Kosuyolu Mahallesi, Ismailpasa sokak, Kadikoy
Istanbul, 111111
Turkey

Gokce Kaya

affiliation not provided to SSRN

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