The effect of the central bank's interest rate changes on the returns of the banks in the 2003-2008 period

Understanding the linkage between interest rates and stock prices is a critical issue to many areas of finance, including asset allocation, portfolio management, risk management, asset pricing and monetary policy transmission, and it may be, therefore, of special interest to investors, portfolio managers, corporate managers and policy makers. Especially among financial institutions, banks are affected by the most interest rate changes. In this context, the aim of this study is to examine the effects of the TCMB's interest rate change decisions on the returns of banks which are considered to be the primary effector of these decisions. In this study, a total of 80 events (81 data) belonging to the period of 2003-2018 were analyzed one by one using the event study method. The data used in our study were obtained from the TCMB Electronic Data Distribution System for the years 2003-2018. Interest rates received are Late Liquidity Window interest rates. Interest rates as the day of the incident has been recognized as the day of the announcement of the change. Considering the possibility of infiltration or estimation before the event day, the information was considered 10 days before the announcement date. Results; AAR-CAAR results generated by interest rate increases and decreases, AAR-CAAR results generated by high-rate changes, and AR-CAR results of events on a yearly basis are analyzed, interpreted and reported in tables.