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Abstract


DIVIDING TIME-VARYING TOTAL RISK OF BANK STOCKS INTO SYSTEMATIC AND UNSYSTEMATIC RISK: EVIDENCE FROM AR(p)- DCC-GARCH (p,q) MODEL

In this study, the time-varying total risk of two Turkish large-scale deposit banks is divided into time-varying systematic and unsystematic risk by using the AR(p)- DCC-GARCH(p,q) model under multivariate student t distribution assumption. The Bai and Perron (1998; 2003) structural break test is applied to determine whether the relevant types of risks are time-varying or not. Additionally, since the sample period covers the November 2000 and February 2001 financial crises in Turkey, as well as the 2007-2008 global financial crisis, the effects of these crises on the level of time-varying total, systematic, and unsystematic risks are also examined. The results show that the relevant types of risks are time-varying, and a significant portion of total risk (73-76%) is due to the systematic risk component. Additionally, the findings indicate that the November 2000 and February 2001 financial crises had the most significant impact on the level of relevant time-varying types of risks, followed by the US-centred 2007-2008 global financial crisis. The Europe-centred global financial crisis of 2007-2008, however, had no significant impact.



Keywords
Total risk, systematic risk, unsystematic risk, DCC-GARCH model


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