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Investigating the Relationship Between the Banking Sector and Capital Market Variables in Turkiye Using Toda-Yamamoto Causality Analysis

Author

Listed:
  • Murat KARAKAYA
  • Sadiye OKTAY

Abstract

The banking sector and the capital market are among the fundamental components of the financial system. This study aims to investigate whether there is a relationship between the banking sector and the capital market in Turkiye. Data representing the banking sector, including assets, loans, deposits, branches, personnel and profits, as well as data representing the capital market, including BIST total market value, BIST 100 Index and total trading volume, were compiled for the period from January 2002 to April 2023, and a Toda-Yamamoto causality analysis was performed. The research findings indicate a two-way causal relationship between the banking sector and the capital market. This result contributes to understanding how the interconnected structure of the financial system and its components influence each other.

Suggested Citation

  • Murat KARAKAYA & Sadiye OKTAY, 2024. "Investigating the Relationship Between the Banking Sector and Capital Market Variables in Turkiye Using Toda-Yamamoto Causality Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(1), pages 19-36.
    • Handle: RePEc:bdd:journl:v:18:y:2024:i:1:p:19-36
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    More about this item

    Keywords

    Banking Sector; Capital Market; Borsa Istanbul; Toda-Yamamoto Causality Test;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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