Operational Risk and Stock Market Returns: Evidence from Turkey


SOLAKOĞLU M. N. , Kose K. A.

OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION, ss.115-128, 2009 (SSCI İndekslerine Giren Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası:
  • Basım Tarihi: 2009
  • Dergi Adı: OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION
  • Sayfa Sayıları: ss.115-128

Özet

Following several high-severity, low-frequency events in the financial sector, operational risk has gained importance both for regulators and managers of financial sector firms during the last decade. The banking sector in Turkey also experienced a severe crisis, due not only to economic conditions but also to events directly related to operational risk. However, it was only by mid-2007 that banks in Turkey were required to have necessary capital for operational risk. This study investigates the banking sector in Turkey in relation to operational risk. In addition, the study analyzes the reaction of stock market return to operational risk events between 1998 and 2007 using event study analysis. We find that returns show a negative reaction starting right before the event date. Moreover, this negative reaction appears