The impact of asset ratio policy on Turkish Banking Market Index

This study focuses on the effect of asset ratio policy on the return of Turkish banking market index (XBANK), which is value-weighted banking stock index in Borsa Istanbul. Initially, we employ parametric t-test and then event study regression analysis including event shock dummies with three different models, which are simple market, capital asset pricing and Fama French three factor models. According to parametric t-test and regression results, we do not observe any significant effect of asset ratio policy on the daily return of XBANK. In addition, we realize that daily trading volume of XBANK was not significantly reacted to policy revisions. Also, we do not capture any meaningful response in the performance of Turkish banking index after the repeal of asset ratio policy, according to the post-event analysis.