Systematic risk calculations in Turkish banking sector

Systematic risk is the source of risk, which may be caused by environmental factors such as economic stagnation, political reasons, high interest, war, affecting all companies in the economy. Inflation risk, interest rate risk, political risk and market risk are sub-headings of systematic risk. This study explains systematic risk calculations in the Turkish banking sector. In the context of financial services, the most important institutions are the banks that bring together funders and fund holders. For this reason, systematic risk calculations are important in the banking sector. The study aims to show the systematic risk levels of 11 banks traded on Istanbul Stock Exchange. The Capital Asset Pricing Model (CAPM) is used as the econometric method. Daily closing prices between 29.06.2007 and 31.12.2019 are included in the study as a time series. In the regression analysis, the beta coefficient is estimated. Rolling window regression analysis was used to take into account the variable structure of the beta over time. The results of the analysis reveal that the systematic risk level has increased in the Turkish banking sector in times of environmental factors such as economic crisis, political uncertainty and high exchange rate. In addition, when the theoretical and empirical part of the study is considered as a whole, it is seen that systematic risk calculations are important together with the Capital Asset Pricing Model for successful portfolio and risk management.