ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY

Remzi GÖK (Dicle Üniversitesi, İktisadî ve İdarî Bilimler Fakültesi, İşletme Bölümü, Diyarbakır, Türkiye)
Doğuş Üniversitesi Dergisi
0 0
Yıl: 2021 Cilt: 22 Sayı: 1 Sayfa Aralığı: 21 - 37 Metin Dili: İngilizce İndeks Tarihi: 10-06-2021

ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY

Öz:
This paper empirically investigates whether profit-sharing rates in Islamicbanks follow rates of the conventional banks in Turkey over the sample periodMarch 2001 to June 2019 through employing both standard econometric andwavelet approaches. We identify both unidirectional and bidirectional causalitybetween the monthly observations at different time scales. Moreover, the directionof the relationship considerably varies and displays coefficient sign reversal overwavelet scales. Overall, our findings suggest that the rates of return in both bankingsectors are not independent of each other and, therefore, have important implicationsregarding financial stability and risk management.
Anahtar Kelime:

TÜRKİYE’DE MEVDUAT BANKASI FAİZLERİ VE KATILIM BANKASI KÂR PAYLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Öz:
Bu çalışmada, 2001 Mart ve 2019 Haziran dönemine ait verileri kullanarak Türkiye’deki kâr payı oranlarının mevduat faiz oranlarını takip edip etmedikleri, standart ekonometrik ve dalgacıklar analizi aracılığıyla, araştırılmıştır. Aylık gözlemlerin kullanıldığı bu çalışmada, değişkenler arasında faklı zaman ölçeklerinde geçerli hem tek hem de çift yönlü nedensellik ilişkisi bulgusuna rastlanmıştır. Ayrıca, değişkenler arasındaki korelasyon ilişki derecesinin ve yönünün dalgacık ölçeklerine göre önemli derecede değiştiği sonucuna ulaşılmıştır. Bu sonuçlar, her iki bankacılık sektörü getiri oranlarının birbirinden bağımsız olmadığını ve dolayısıyla finansal istikrarı ve risk yönetimine yönelik alınacak kararlar açısından dikkate alınması gerektiğini göstermektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Achard, S. (2012). R-Package Brainwaver: Basic wavelet analysis of multivariate time series with a visualisation and parametrisation using graph theory. R Package Version, 1.6.
  • Adewuyi, A., & Naim, M. (2016). The nexus between rates of return on deposits of Islamic banks and interest rates on deposits of conventional banks in a dual banking system: a cross country study. International Journal of Economics and Financial Issues, 6(4S).
  • Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets, Institutions and Money, 28, 213-227.
  • Andrieş, A. M., Ihnatov, I. and Tiwari, A. K. (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238.
  • Ata, H. A., Buğan, M. F., & Çiğdem, Ş. (2016). Kar payı oranları ile mevduat faiz oranları arasındaki nedensellik ilişkisi. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(1), 17-28.
  • Çetin, H. (2014). Econometric modeling of Turkish participatory banks deposits. International Journal of Trade, Economics and Finance, 5(4), 322.
  • Cevik, S., & Charap, J. (2015). The behavior of conventional and Islamic bank deposit returns in Malaysia and Turkey. International Journal of Economics and Financial Issues, 5(1), 111-124.
  • Chong, B. S., & Liu, M. H. (2009). Islamic banking: interest-free or interestbased?. Pacific-Basin finance journal, 17(1), 125-144.
  • Dusuki, A. W. (2008). Understanding the objectives of Islamic banking: a survey of stakeholders' perspectives. International Journal of Islamic and Middle Eastern Finance and Management, 1(2), 132.
  • Echchabi, A., & Olaniyi, O. N. (2012). Malaysian consumers' preferences for Islamic banking attributes. International journal of social economics, 39(11), 859-874.
  • Ergec, E.H., & Kaytanci, B.G. (2014). The causality between returns of interestbased banks and Islamic banks: the case of Turkey. International Journal of Islamic and Middle Eastern Finance and Management, 7(4), 443-456.
  • Erturk, M., & Yuksel, S. (2013). Causal link between Islamic and conventional banking: evidence from Turkish banking sector. Research Department of Borsa Istanbul Working Paper Series, No, 6, 1-20.
  • Ferrer, R., Bolós, V. J., & Benítez, R. (2016). Interest rate changes and stock returns: A European multi-country study with wavelets. International Review of Economics & Finance, 44, 1-12.
  • Gencay, R., Selçuk, F., & Whitcher, B. J. (2002). An introduction to wavelets and other filtering methods in finance and economics (1st ed.). New York: Academic Press. Gerrard, P., & Cunningham, J. B. (1997). Islamic banking: a study in Singapore. International Journal of Bank Marketing, 15(6), 204-216.
  • Gök, R. (2019). Dynamic wavelet-based causal relationship between equity returns and aggregate economic activity in G7 and E7 countries. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 19(1), 109-136.
  • Hafner, C. M., & Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics letters, 93(1), 137-141.
  • Haron, S., & Ahmad, N. (2000). The effects of conventional interest rates and rate of profit on funds deposited with Islamic banking system in Malaysia. International Journal of Islamic Financial Services, 1(4), 1-7.
  • Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (2013). Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics. Journal of Econometrics, 177(2), 265-284.
  • Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505.
  • Hoq, M. Z., Sultana, N., & Amin, M. (2010). The effect of trust, customer satisfaction and image on customers' loyalty in Islamic banking sector. South Asian Journal of Management, 17(1), 70.
  • Ito, T. (2013). Islamic rates of return and conventional interest rates in the Malaysian deposit market. International Journal of Islamic and Middle Eastern Finance and Management, 6(4), 290-303.
  • Kaleem, A., & Isa, M. M. (2003). Causal relationship between Islamic and conventional banking instruments in Malaysia. International Journal of Islamic Financial Services, 4(4), 1-8.
  • Khediri, K. B., Charfeddine, L., & Youssef, S. B. (2015). Islamic versus conventional banks in the GCC countries: A comparative study using classification techniques. Research in International Business and Finance, 33, 75-98.
  • Kim, S., & In, F. (2007). On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis. Journal of International Financial Markets, Institutions and Money, 17(2), 167-179.
  • Korkut, C., & Ozgur, Ö. (2017). Is there a link between profit share rate of participation banks and interest rate? the case of Turkey. Journal of Economic Cooperation and Development, 38(2), 135-157.
  • Marimuthu, M.J., Chan, W., Gie, L.P., Mun, L.P. & Ping, T.Y. (2010). Islamic banking: selection criteria and implications. Global Journal of Human Social Science, 10(4), 52-62.
  • Meslier, C., Risfandy, T., & Tarazi, A. (2017). Dual market competition and deposit rate setting in Islamic and conventional banks. Economic Modelling, 63, 318- 333.
  • Metawa, S. A., & Almossawi, M. (1998). Banking behavior of Islamic bank customers: perspectives and implications. International Journal of Bank Marketing, 16(7), 299-313.
  • Okumus, H. (2005). Interest-free banking in Turkey: a study of customer satisfaction and bank selection criteria. Journal of Economic Cooperation, 26(4), 51-86.
  • Percival, D. P., & Walden, A. T. (2000). Wavelet methods for time series analysis (4th ed.). Cambridge: Cambridge University Press.
  • Ramsey, J. B. (2014). Functional representation, approximation, bases and wavelets. M. Gallegati, W. Semmler (Ed.), Wavelet Applications in Economics and Finance. New York: Springer International Publishing.
  • Saiti, B., Bacha, O. I., & Masih, M. (2016). Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis. Emerging Markets Finance and Trade, 52(8), 1832-1849.
  • Samad, A. (2018). Is there any causality between Islamic banks’ return on depositors and conventional banks’ deposit interest: Evidence of causality from Bahrain’s financial market. Business and Economic Horizons, 14(4), 894-912.
  • Saraç, M., & Zeren, F. (2015). The dependency of Islamic bank rates on conventional bank interest rates: further evidence from Turkey. Applied Economics, 47(7), 669-679.
  • Sukmana, R., & Ibrahim, M. H. (2017). How Islamic are Islamic banks? A nonlinear assessment of Islamic rate–conventional rate relations. Economic Modelling, 64, 443-448.
  • Tekin, H., Atasoy, B., & Ertugrul, H. M. (2017). The relationship between conventional deposit and Islamic profit share rates: An analysis of the Turkish banking sector. Journal of King Abdulaziz University: Islamic Economics, 30.
  • The Participation Banks Association of Turkey, TKBB. (2019). http://www.tkbb.org.tr/en, (accessed 31 November 2019).
  • Thomson Reuters. (2019). An Inclusive Ethical Economy, State of Global Islamic Economy, Report 2018/19. Available at https://www.salaamgateway.com/reports/report-state-of-the-global-islamiceconomy- 201819, (accessed 30 November 2019).
  • Whitcher, B. J. (2005). Waveslim: Basic wavelet routines for one-, two-and threedimensional signal processing. R Package Version, 1(3).
  • Yap, K. L., & Kader, R. A. (2008). Impact of interest rate changes on performance of Islamic and conventional banks. Malaysian Journal of Economic Studies, 45(2), 113.
  • Yazdan, G. F., Hossein, M., & Seyed, S. (2012). Analysis of Islamic bank's financing and economic growth: case study Iran and Indonesia. Journal of Economic Cooperation & Development, 33(4), 1-24.
  • Yuksel, S., Canöz, İ., & Özsarı, M. (2017). Causality relationship between interest rate of deposit banks and profit share rate of Islamic banks in Turkey. Ikonomika, 2(2), 131-148.
  • Yusof, R. M., Bahlous, M., & Tursunov, H. (2015). Are profit sharing rates of mudharabah account linked to interest rates? An investigation on Islamic banks in GCC countries. Jurnal Ekonomi Malaysia, 49(2), 77-86.
  • Zainol, Z., & Kassim, S. H. (2010). An analysis of Islamic banks’ exposure to rate of return risk. Journal of Economic Cooperation and Development, 31(1), 59-84.
  • Zarrouk, H., Ben Jedidia, K., & Moualhi, M. (2016). Is Islamic bank profitability driven by same forces as conventional banks?. International Journal of Islamic and Middle Eastern Finance and Management, 9(1), 46-66.
APA Gök R (2021). ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. , 21 - 37.
Chicago Gök Remzi ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. (2021): 21 - 37.
MLA Gök Remzi ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. , 2021, ss.21 - 37.
AMA Gök R ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. . 2021; 21 - 37.
Vancouver Gök R ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. . 2021; 21 - 37.
IEEE Gök R "ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY." , ss.21 - 37, 2021.
ISNAD Gök, Remzi. "ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY". (2021), 21-37.
APA Gök R (2021). ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. Doğuş Üniversitesi Dergisi, 22(1), 21 - 37.
Chicago Gök Remzi ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. Doğuş Üniversitesi Dergisi 22, no.1 (2021): 21 - 37.
MLA Gök Remzi ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. Doğuş Üniversitesi Dergisi, vol.22, no.1, 2021, ss.21 - 37.
AMA Gök R ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. Doğuş Üniversitesi Dergisi. 2021; 22(1): 21 - 37.
Vancouver Gök R ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY. Doğuş Üniversitesi Dergisi. 2021; 22(1): 21 - 37.
IEEE Gök R "ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY." Doğuş Üniversitesi Dergisi, 22, ss.21 - 37, 2021.
ISNAD Gök, Remzi. "ON THE CAUSAL RELATIONSHIP BETWEEN DEPOSIT RATES IN CONVENTIONAL BANKS AND PROFITSHARING RATES IN ISLAMIC BANKS IN TURKEY". Doğuş Üniversitesi Dergisi 22/1 (2021), 21-37.
Sayfa Oluşturulma Tarihi
23-04-2024 18:13

İLETİŞİM

TÜBİTAK ULAKBİM TR Dizin

Yüzüncüyıl, İşçi Blokları Mahallesi

Muhsin Yazıcıoğlu Caddesi No:51/C

06530 Çankaya / ANKARA +90 (312) 298 92 00

trdizin@tubitak.gov.tr

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © Tüm Hakları Saklıdır. Gizlilik Politikası Kullanım Şartları