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The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018. In the study, Independent Component Analysis is applied for extracting driving factors of the asset returns of Turkish banks by decomposing the returns into its components. After examining the relationship between the independent components and the macroeconomic variables, the results conclude that one component shows strong similarities with the well-known stock market index of Turkey, namely the BIST100. Besides, the BIST100 is observed as the most important macroeconomic indicator affecting the movements of the asset returns. From systemic risk perspective, the BIST100 and the exchange rate from US dollar to Turkish lira are interpreted as two macro factors that contribute to the systemic risk of Turkish banks. When it is reviewed the regression results of the estimated independent components with the macroeconomic variables, it is found that while the BIST100 affects the asset returns of Turkish banks on its own, three macroeconomic factors (the credit default swap spreads of Turkey, the exchange rate and volatility) jointly affect the banks by creating a chain effect. [ABSTRACT FROM AUTHOR]

In recent years, as a result of the financial liberalization policies implemented it is observed that the relationship between stock prices and exchange rates has increased. With these developments, the importance of studies examining the relationship between stock market and exchange rate has increased. In this study, using historical data for daily basis from 2009: 01-2020: 06 period was to investigate the relationship between the exchange rate and the stock market in Turkey help of the Asymmetric Causality Analysis and Markov Regime Switching Model. In the study, in which the BIST100 Index and the USD/TRY exchange rate were used as variables, there were examined the validity of the "Good Market" and "Portfolio Balance" theories. Markov Regime Switching Model findings showed that a significant relationship between exchange rate and stock prices in both periods of expansion and contraction in Turkey's economy. Hatemi-J (2012) asymmetric causality test findings, there is a causality from positive and negative shock in the BIST100 to positive and negative shock in the exchange rate, and there was a found that the Portfolio Balance theory validity in Turkey. In addition, the existence of causality from from positive shocks in the exchange rate to positive shocks in the BIST100 index demonstrates the validity of the Goods Market theory, and there is no causality relationship between negative shocks. [ABSTRACT FROM AUTHOR]

The effects of top management teams’ characteristics on company performance has become very popular with the upper echelon’s theory, created in 1984. This has led to various academic studies on that topic however there is no detailed study conducted in Turkey. In the study, the effects of CEO characteristics on company performance is analyzed by using data of large-scale Turkish firms which are members of the BIST100 index over 2015 and 2019. According to the results obtained from the research, the age of the CEO, the CEO duality, and the CEO’s experience in the current company have no statistically significant effect on the stock performance. CEO’s experience in the current position and past experience working as a CEO have positive impact on the performance of the company. As the important findings in the research, (1) 84% of the companies in BIST100 are appointed insiders to the CEO position, (2) the insider CEOs stay three times more than the outsiders, and (3) there is a positive relation between CEO’s experience working as a CEO and company performance. [ABSTRACT FROM AUTHOR]

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The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the conditional variance. Volatility is in a relatively narrow band under a non-crisis economic conjuncture. On the other hand, it is expected that the global risk will be higher during crisis periods. Therefore, the differentiation in the volatility spillover behavior among the markets while under different economic conditions is a rational expectation. In this regard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, it has been observed that the volatility spillover effect on the BIST 100 index is relatively low in the regimes where the global risk is low, whereas the effect is relatively higher in the regime where the global risk is high. Furthermore, results of analysis also indicate that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes. [ABSTRACT FROM AUTHOR]

Non-performing loans are one of the most important data which is used to determine efficiency of the banks as well as the health of the banking sector and the financial crisis effects. In this study, the relationship between the non-performing loans in Turkish banking sector and the macro economic variables which point out the general economic condition as stock exchange index over biggest 100 companies (BIST100), currency values as EUR and USD and the industry production index (SUE) over the years between 2005 and 2015 is analysed. It was seen that there is causal relationships between those variables with non-performing loans which is measured as non-performing loans / total loans. [ABSTRACT FROM AUTHOR]