Bayram, Berat
[VerfasserIn];
Çelik, Mustafa
[VerfasserIn];
Kazdal, Abdullah
[VerfasserIn];
Kılıç, Yavuz
[VerfasserIn];
Özcan, Faruk Yücel
[VerfasserIn];
Yilmaz, Muhammed Hasan
[VerfasserIn]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 16, 2022 erstellt
Beschreibung:
This study investigates the link between capital market discipline and bank-level credit risk with a special emphasis on the role of bank ownership structure. Focusing on a large emerging market, Turkey, characterized by prominent state bank presence, our baseline regression results indicate that banks’ stock price volatility elevates in response to the increases in non-performing loan ratio for the period 2008-2021. More importantly, the extent of capital market discipline on credit risk is amplified for state-owned banks. This finding remains similar against a myriad of robustness checks. To analyze the implications on alternative financial markets, we further extract high-frequency implied volatility measures from options contracts recently traded on individual bank stocks. By utilizing the Covid-19 outbreak as an exogenous shock to local banks’ loan portfolio quality, we perform difference-in-differences estimations for the interval October 2019-June 2020. Our findings show that the implied volatility for non-private banks increases more in the post-shock phase compared to other bank ownership types