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The Effect of Derivative Product Use on Market Value: An Application in the Banking Sector

Author

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  • Lokman KANTAR
  • Murat DUZER

Abstract

The causality relationship between the market value of eight deposit banks (domestic and foreign) traded in Borsa Istanbul and the use of derivative products between 2007Q1-2021Q4 and the factors affecting the market value was examined by panel causality method and panel data analysis methods. According to the findings of the study, while there is a two-way causality relationship between market value and the use of derivatives for trading purposes, there is no causal relationship between market value and the use of derivatives for risk management purposes. Among the factors affecting the market value, the use of derivatives for trading and the non-performing loans/total loans ratio affected the market value negatively, while the variables of asset size and capital adequacy ratio positively affected the market value.

Suggested Citation

  • Lokman KANTAR & Murat DUZER, 2022. "The Effect of Derivative Product Use on Market Value: An Application in the Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 16(2), pages 189-215.
    • Handle: RePEc:bdd:journl:v:16:y:2022:i:2:p:189-215
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    File URL: https://www.bddk.org.tr/Content/docs/bddkDergiTr/dergi_0032_05.pdf
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    Cited by:

    1. Radulescu Carmen-Valentina & Dima Cristina & Gaf-Deac Ioan & Gombos Carol Cristina, 2024. "Management of Derivative Financial Products within the Banking Activity," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 18(1), pages 945-954.

    More about this item

    Keywords

    Market Value; Derivatives; Panel Casuality.;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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