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Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach
(ESKISEHIR OSMANGAZI UNIV, FAC EDUCATION, ESKISEHIR OSMANGAZI UNIV, FAC EDUCATION, ESKISEHIR, 26480, TURKEY, 2020) Kale, Süleyman; Eken, Mehmet Hasan; Kaya, İ. Gökçe
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 intermediation is positive in the short but negative in the long run. This may be explained with the side effects of increasing intermediation in the short run as the increasing non-performing loans and decreasing profitability in the long run.