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Research article

Use of derivatives, financial stability and performance in Turkish banking sector

  • Received: 03 March 2020 Accepted: 03 April 2020 Published: 13 April 2020
  • JEL Codes: G30, G32, M41

  • Recent financial turmoil raised suspicions about the impact of derivatives usage on banking stability. Considering the period between 2007 and 2017, this paper analyzes the impact of derivatives on the financial stability and performance of the Turkish banking system. The stability of the banking is measured by considering the Z-index, which shows the probability of and calculated for each bank. The second aim of this paper is to determine the impact of bank specific characteristics on the derivatives usage of banks. Panel regression models and factorial ANOVA analysis is adopted to perform the analysis. The results show that derivatives usage of banks decrease the profitability of banking system and increase the bank risk. The determinants of derivative usage also suggest that banks do not use derivatives to hedge their risks.

    Citation: Dilvin Taşkın, Görkem Sarıyer. Use of derivatives, financial stability and performance in Turkish banking sector[J]. Quantitative Finance and Economics, 2020, 4(2): 252-273. doi: 10.3934/QFE.2020012

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  • Recent financial turmoil raised suspicions about the impact of derivatives usage on banking stability. Considering the period between 2007 and 2017, this paper analyzes the impact of derivatives on the financial stability and performance of the Turkish banking system. The stability of the banking is measured by considering the Z-index, which shows the probability of and calculated for each bank. The second aim of this paper is to determine the impact of bank specific characteristics on the derivatives usage of banks. Panel regression models and factorial ANOVA analysis is adopted to perform the analysis. The results show that derivatives usage of banks decrease the profitability of banking system and increase the bank risk. The determinants of derivative usage also suggest that banks do not use derivatives to hedge their risks.


    Let us consider the following second-order linear homogeneous differential equation

    z2w(z)+zw(z)+(z2u2)w(z)=0      (uC). (1.1)

    The differential equation in (1.1) is famous Bessel's differential equation. Its solution is denoted by Ju(z) and known as Bessel function. The familiar representation of Ju(z) is given by (1.2) and is defined by particular solution of (1.1) as follows:

    Ju(z)=n=0(1)nn!Γ(u+n+1)(z2)2n+u       (zC), (1.2)

    where Γ is the familiar Euler Gamma function. For a comprehensive study of Bessel function of first kind, see [9,30].

    Let A represents the class of all those functions which are analytic in the open unit disk

    E={z:zC   and    |z|<1}

    and having the series expansion of the form

    f(z)=z+n=2anzn        (zE). (1.3)

    Let S be the subclass of A consisting the functions that is univalent in E and satisfy the normalized conditions

    f(0)=0     and    f(0)=1.

    Let two functions f and g are analytic in E, then f is subordinate to g, (written as fg), if there exists a Schwarz function h(z), which is analytic in E with

    h(0)=0       and     |h(z)|<1,

    such that

    f(z)=g(h(z)).

    If g is univalent in E, then

    f(z)g(z) f(0)=0=g(0) and f(E)g(E).

    For fA, given by (1.3) and another function g, given by

    g(z)=z+n=2bnzn,

    then the Hadamard product (or convolution) of f(z) and g(z) is given by

    (fg)(z)=z+n=2anbnzn=(gf)(z).

    In [34], Robertson introduced the class of starlike (S) and class of convex (C) functions and be defined as:

    S=fA:(zf(z)f(z))>0 and C= fA:(1+zf(z)f(z))>0.

    It can easily seen that

    fC   zfS.

    After that Srivastava and Owa investigated these subclasses in [43].

    Let fA and gS, is said to be close to convex (K) functions if and only if

    (zf(z)g(z))>0.

    Furthermore, Kanas and Wisniowska in [12] introduced subclasses of k -uniformly convex (kUCV) and (kST) and be defined as:

    kUCV={fA: (1+zf(z)f(z))>k|zf(z)f(z)|, zE, k0}

    and

    kST={fA: (zf(z)f(z))>k|zf(z)f(z)1|, zE, k0}.

    Note that

    fkUCV    zfkST.

    For the further developments Kanas and Srivastava studied these subclasses (kUCV) and (kST) of analytic functions in [11]. For particular value of k=1, then kUCV= UCV and kST=S

    Kanas and Wisniowska [13,14] (see also [11] and [15]) defined these subclasses of analytic functions subject to the conic domain Ωk, where

    Ωk=a+ib:a2>k2{(a1)2+b2}, a>0, k0.

    For k=0, the domain Ωk presents the right half plane, for 0<k<1, the domain Ωk presents hyperbola, for k=1 its presents parabola and an ellipse for k>1.

    For this conic domain, the following functions play the role of extremal functions.

    pk(z)={ϕ1(z)for  k=0,ϕ2(z)for  k=1,ϕ3(z)for  0<k<1,ϕ4(z)for   k>1, (1.4)

    where

    ϕ1(z))=1+z1z,
    ϕ2(z)=1+2π2(log1+z1z)2,
    ϕ3(z)=1+21k2sinh2{(2πarccosk)arctanhz},
    ϕ4(z)=1+1k21sin(π2R(t)y(z)t0dx1x21t2x2)+1k21

    and

    y(z)=zt1tz        {t(0,1)}

    is chosen such that

    k=cosh(πR(t)/(4R(t))).

    Here R(t) is Legender's complete elliptic integral of first kind (see [13,14]).

    Since the q-calculus is being vastly used in different areas of mathematics and physics it is of great interest of researchers. In the study of Geometric Function Theory, the versatile applications of q-derivative operator make it remarkably significant. Initially, in the year 1990, Ismail et al. [5] gave the idea of q-starlike functions. Nevertheless, a firm foothold of the usage of the q-calculus in the context of Geometric Function Theory was effectively established, and the use of the generalized basic (or q-) hypergeometric functions in Geometric Function Theory was made by Srivastava (see for detail [37]). For the study of various families of analytic and univalent function, the quantum (or q-) calculus has been used as a important tools. Jackson [7,8] first defined the q-derivative and integral operator as well as provided some of their applications. The q-Ruscheweyh differential operator was defined by Kanas and Raducanu in [10]. Recently, by using the concept of convolution Srivastava [40] introduced q-Noor integral operator and studied some of its applications. Many q-differential and q-integral operators can be written in term of convolution, for detail we refer [4,23,36,39,41] see also [16,18]. Moreover, Srivastava et al. (see, for example, [35,44,45]) published a set of articles in which they concentrated upon the classes of q-starlike functions related with the Janowski functions from several different aspects. Additionally specking, a recently-published survey-cum-expository review article by Srivastava [38] is potentially useful for researchers and scholars working on these topics. In this survey-cum-expository review article [38], the mathematical explanation and applications of the fractional q-calculus and the fractional q-derivative operators in Geometric Function Theory was systematically investigated. For other recent investigations involving the q-calculus, one may refer to [1,19,22,24,25,31,32,33] and [17]. We remark in passing that, in the above-cited recently-published survey-cum-expository review article [38], the so-called (p,q) -calculus was exposed to be a rather trivial and inconsequential variation of the classical q-calculus, the additional parameter p being redundant or superfluous (see, for details, [38, p. 340]). In order to have a better understanding of the present article we provide some notation and concepts of quantum (or q-) calculus used in this article.

    Definition 1. ([10]). Let q(0,1) and define the q-number [η]q as:

    [η]q=1qη1q,                      ηC,=1+q+...+qn1,   η=nN,[0]=0,                                η=0.

    Definition 2. Let q(0,1), nN and define the q-factorial [n]q!

    [n]q!=[1]q[2]q...[n]q and [0]q!=1.

    Definition 3. The q-generalized Pochhammer symbol [a]n,q be defined as:

    [a]n,q=nk=1(1aqk1),  nN

    and

    [a],q=k=1(1aqk1).

    Definition 4. The q-Gamma function Γq(n) is defined by

    Γq(n)=[q,q][qn,q](1q)n1.

    The q-Gamma function Γq(n) satisfies the following functional equation

    Γq(n+1)=(1qn1q)Γq(n).

    Definition 5. ([7]). For fA, and the q-derivative operator or q -difference operator be defined as:

    Dqf(z)=f(z)f(qz)(1q)z        (zE),Dqf(z)=1+n=2[n]qanzn1 (1.5)

    and

    Dqzn=[n]qzn1.

    Definition 6. ([5]). An analytic function f Sq if

    f(0)=f(0)=1, (1.6)

    and

    |zDqf(z)f(z)11q|11q, (1.7)

    we can rewrite the conditions (1.7) as follows, (see [46]).

    zDqf(z)f(z)1+z1qz.

    Here Serivastava et al. [39] (see also [42]) defined the following definition by making use of quantum (or q-) calculus, principle of subordination and general conic domain Ωk,q as:

    Definition 7. ([39]). Let k0 and q(0,1). A function p(z) is said to be in the class kPq if and only if

    p(z)pk,q(z)=2pk(z)(1+q)+(1q)pk(z) (1.8)

    and pk(z) is given by (1.4).

    Geometrically, the function p(z)kPq takes all values from the domain Ωk,q which is defined as follows:

    Ωk,q={w:((1+q)w2+(q1)w)>k|(1+q)w2+(q1)w1|}.

    Remark 1. We see that

    kPqP(2k2k+1+q)

    and

    (p(z))>(pk,q(z))>2k2k+1+q.

    For q1, then we have

    kPq=P(kk+1),

    where the class P(kk+1) introduced by Kanas and Wisniowska [13] and therefore,

    (p(z))>(pk(z))>kk+1.

    Also for k=0 and q1, we have

    kPq=P

    and

    (p(z))>0.

    Remark 2. For q1, then Ωk,q=Ωk, where domain Ωk introduced by Kanas and Wisniowska in [13].

    By Applying q-derivative operator we introduce new subclasses of q -starlike functions, q-convex functions, q-close to convex functions and q-quasi-convex functions as follows:

    Definition 8. [42] For fA, k0, then fkSTq if and only if

    zDqf(z)f(z)pk,q(z). (1.9)

    Definition 9. [42] For fA, k0, then fkUCVq if and only if

    Dq(zDqf(z))Dqf(z)pk,q(z).

    It can easily seen that

    fkUCVq    iff zDqfkSTq. (1.10)

    Definition 10. [42] For fA, k0, then fkUCCq if and only if

    zDqf(z)g(z)pk,q(z),  for some g(z)kSTq.

    Definition 11. [42] For fA, k0, then fkUQVq if and only if

    Dq(zDqf(z))Dqg(z)pk,q(z), for some g(z)kUCCq.

    Remark 3. For q1, then all theses newly defined subclasses reduces to the well-known subclasses of analytic functions introduced in [29].

    The Jackson q-Bessel functions and the Hahn-Exton q-Bessel functions are, respectively, defined by

    J1u(z,q)=[qu+1,q][q,q]n=1(1)nqn(n+u)[q,q]n[qu+1,q]n(z2)2n+u

    and

    J2u(z,q)=[qu+1,q][q,q]n=1(1)nq12n(n+u)[q,q]n[qu+1,q]nz2n+u,

    where zC, u>1, q(0,1). The functions J1u(z,q) and J2u(z,q) are the q-extensions of the classical Bessel functions of the first kind. For more study about q-extensions of Bessel functions (see [6,20,21]). Since neither J1u(z,q) nor J2u(z,q) belongs to A, first we perform normalizations of J1u(z,q) and J2u(z,q) as:

    f1u(z,q)=2uCu(q)z1nuJ1u(z,q)=n=0(1)nqn(n+u)4n[q,q]n[qu+1,q]nzn+1=z+n=2(1)n1q(n1)(n1+u)4n1[q,q]n1[qu+1,q]n1zn.

    Similarly

    f2u(z,q)=Cu(q)z1nuJ2u(z,q)=n=0(1)nq12n(n+u)[q,q]n[qu+1,q]nzn+1,=z+n=2(1)n1q12(n1)(n1+u)[q,q]n1[qu+1,q]n1zn,

    where

    Cu(q)=[q,q][qu+1,q], zC, u>1, q(0,1).

    Now clearly, the functions f1u(z,q) and f2u(z,q) A.

    Now, by using the above idea of convolution and normalized Jackson and Hahn-Exton q-Bessel functions, we introduce a new operators Bqu and Bqu,1 as follows:

    Bquf(z)=f1u(z,q)f(z)=z+n=2φ1anzn (1.11)

    and

    Bqu,1f(z)=f2u(z,q)f(z)=z+n=2φ2anzn, (1.12)

    where

    φ1=(1)n1q(n1)(n1+u)4n1[q,q]n1[qu+1,q]n1

    and

    φ2=(1)n1q12(n1)(n1+u)[q,q]n1[qu+1,q]n1.

    From the definition (1.11) and (1.12), it can easy to verify that

    zDq(Bqu+1f(z))=([u]qqu+1)Bquf(z)[u]qquBqu+1f(z) (1.13)

    and

    zDq(Bqu+1,1f(z))=([u]qqu+1)Bqu,1f(z)[u]qquBqu+1,1f(z).

    Finally Noor et al. introduced q-Bernardi integral operator [28], which is defined by

    Lqλ=Lqλf(z)=[λ+1]qzλz0tλ1f(t)dqt, λ>1.

    Remark 4. For q1, then Lqλ=L, introduced by Bernardi in [2].

    Here we gave the generalization of two lemmas which was introduced in [3,27].

    Lemma 1. Let h(z) be an analytic and convex univalent in E with

    (vh(z)+α)>0    (v,αC)    and    h(0)=1.

    If p(z) is analytic in E and p(0)=1, then

    p(z)+zDqp(z)vp(z)+αh(z), zE, (2.1)

    then

    p(z)h(z).

    Proof. Suppose that h(z) is analytic and convex univalent in E and p(z) is analytic in E. Letting q1, in (2.1), we have

    p(z)+zp(z)vp(z)+αh(z), zE,

    then by Lemma in [26], we have

    p(z)h(z).

    Lemma 2. Let an analytic functions p(z) and g(z) in open unit disk E with

    p(z)>0    and    h(0)=g(0).

    suppose that h(z) be convex functions in E and let U0, then

    Uz2D2qg(z)+p(z)g(z)h(z) (2.2)

    then

    g(z)h(z), zE.

    Proof. Suppose that h(z) is convex in the open unit disk E. Let p(z) and g(z) is analytic in E with p(z)>0 and h(0)=g(0). Letting q1, in (2.2), we have

    Uz2g(z)+p(z)g(z)h(z), zE,

    then by Lemma in [27], we have

    g(z)h(z).

    Theorem 1. Let h(z) be convex univalent in E with (h(z))>0 and h(0)=1. If a function fA satisfies the condition

    zDq(Bquf(z))Bquf(z)h(z), zE,

    then

    zDq(Bqu+1f(z))Bqu+1f(z)h(z), zE.

    Proof. Let

    p(z)=zDq(Bqu+1f(z))Bqu+1f(z). (3.1)

    where p is an analytic function in E with p(0)=1. By using (1.13) into (3.1), we have

    p(z)=([u]qqu+1)zBquf(z)Bqu+1f(z)[u]qqu.

    Differentiating logarithmically with respect to z, we have

    p(z)+zDqp(z)p(z)+[u]qqu=zBquf(z)Bqu+1f(z).

    By using Lemma 1, we get required result.

    By taking q1, in Theorem 1, then we have the following result.

    Corollary 1. Let h(z) be convex univalent in E with (h(z)>0 and h(0)=1. If a function fA satisfies the condition

    z(Buf(z))Buf(z)h(z), zE,

    then

    z(Bu+1f(z))Bu+1f(z)h(z), zE.

    Theorem 2. Let fA. If Bquf(z)kSTq, then Bqu+1f(z)kSTq.

    Proof. Let

    p(z)=zDq(Bqu+1f(z))Bqu+1f(z).

    From (1.13), we have

    ([u]qqu+1)zBquf(z)Bqu+1f(z)=p(z)+[u]qqu.

    Differentiating logarithmically with respect to z, we have

    zDqBquf(z)Bquf(z)=p(z)+zDqp(z)p(z)+[u]qqupk,q(z).

    Since pk,q(z) is convex univalent in E given by (1.8) and

    (pk,q(z))>2k2k+1+q.

    The proof of the theorem 3.2 follows by Theorem 1 and condition (1.9).

    For q1, in Theorem 2, then we have the following result.

    Corollary 2. Let fA. If Buf(z)kST, then Bu+1f(z)kST.

    Theorem 3. Let fA. If Bquf(z)kUCVq, then Bqu+1f(z)kUCVq.

    Proof. By virtue of (1.10), and Theorem 2, we get

    Bquf(z)kUCVqzDq(Bquf(z))kSTqBquzDqf(z)kSTqBqu+1zDqf(z)kSTqBqu+1f(z)kUCVq.

    Hence Theorem 3 is complete.

    For q1, in Theorem 3, then we have the following result.

    Corollary 3. Let fA. If Buf(z)kUCV, then Bu+1f(z)kUCV.

    Theorem 4. Let fA. If Bquf(z)kUCCq, then Bqu+1f(z)kUCCq.

    Proof. Since

    Bquf(z)kUCCq,

    then

    zDqBquf(z)Bqug(z)pk,q(z),  for some  Bqug(z)kSTq. (3.2)

    Letting

    h(z)=zDqBqu+1f(z)Bqu+1g(z)

    and

    H(z)=zDqBqu+1g(z)Bqu+1g(z).

    We see that h(z),H(z)A, in E with h(0)=H(0)=1. By using Theorem 2, we have

    Bqu+1g(z)kSTq

    and

    (H(z))>2k2k+1+q.

    Also note that

    zDqBqu+1f(z)=h(z)(Bqu+1g(z)). (3.3)

    Differentiating both sides of (3.3), we obtain

    zDq(zDqBqu+1f(z))Bqu+1g(z)=zDqBqu+1g(z)Bqu+1g(z)h(z)+zDqh(z)=H(z)h(z)+zDqh(z). (3.4)

    By using the identity (1.13), we get

    zDqBquf(z)Bqug(z)=BquzDqf(z)Bqug(z)=zDq(Bqu+1zDqf(z))+[u]qqu(Bqu+1zDqf(z))zDq(Bqu+1g(z))+[u]qquBqu+1g(z)=zDq(Bqu+1zDqf(z))Bqu+1g(z)+[u]qqu(Bqu+1zDqf(z))Bqu+1g(z)zDq(Bqu+1g(z))Bqu+1g(z)+[u]qqu=h(z)+zDqh(z)H(z)+[u]qqu. (3.5)

    From (3.2), (3.4), and (3.5), we conclude that

    h(z)+zDqh(z)H(z)+[u]qqupk,q(z).

    On letting U=0 and B(z)=1H(z)+[u]qqu, we have

    (B(z))=(H(z)+[u]qqu)|H(z)+[u]qqu|2>0.

    Apply Lemma 2, we have

    h(z)pk,q(z),

    where pk,q(z) given by (1.8). Hence Theorem 4 is complete.

    We can prove Theorem 5 by using a similar argument of Theorem 4

    Theorem 5. Let fA. If Bquf(z)kUQCq, then Bqu+1f(z)kUQCq.

    Now in Theorem 6, we study the closure properties of the q-Bernardi integral operator Lqλ.

    Theorem 6. Let fA and λ>(2k2k+1+q). If Bquf(z)kSTq, then Lqλ(Bquf(z))kSTq.

    Proof. From the definition of Lqλf(z) and the linearity of the operator Bqu, we have

    zDq(BquLqλf(z))=(1+λ)Bquf(z)λBquLqλf(z). (3.6)

    Substituting p(z)=zDq(BquLqλf(z))BquLqλf(z) in (3.6), we have

    p(z)=(1+λ)Bquf(z)BquLqλf(z)λ. (3.7)

    Differentiating (3.7) with respect to z, we have

    zDq(Bquf(z))Bquf(z)=zDq(BquLqλf(z))BquLqλf(z)+zDqp(z)p(z)+λ=p(z)+zDqp(z)p(z)+λ.

    By Lemma 1, p(z) pk,q(z), since (pk,q(z)+λ)>0. This completes the proof of Theorem 6.

    By a similar argument we can prove Theorem 7 as below.

    Theorem 7. Let fA and λ>(2k2k+1+q). If Bquf(z)kUCVq, then Lqλ(Bquf(z))kUCVq.

    Theorem 8. Let fA and λ>(2k2k+1+q). If Bquf(z)kUCCq, then Lqλ(Bquf(z))kUCCq.

    Proof. By definition, there exists a function

    Bqug(z)kSTq,

    so that

    zDqBquf(z)Bqug(z)pk,q(z). (3.8)

    Now from (3.6), we have

    zDq(Bquf(z))Bqug(z)=zDq(BquLqλ(zDqf(z)))+λ(BquLqλ(zDqf(z)))zDq(BquLqλg(z))+λBquLqλ(g(z))=zDq(BquLqλ(zDqf(z)))BquLqλ(g(z))+λ(BquLqλ(zDqf(z)))BquLqλ(g(z))zDq(BquLqλg(z))BquLqλ(g(z))+λ. (3.9)

    Since Bqug(z)kSTq, by Theorem 6, we have Lqλ(Bqug(z))kSTq. Taking

    H(z)=zDq(BquLqλg(z))Bqu(Lqλg(z)).

    We see that H(z)A in E with H(0)=1, and

    (H(z))>2k2k+1+q.

    Now for

    h(z)=zDq(BquLqλf(z))Bqu(Lqλg(z)).

    Thus we obtain

    zDq(BquLqλf(z))=h(z)Bqu(Lqλg(z)). (3.10)

    Differentiating both sides of (3.10), we obtain

    zDq(BquDq(zLqλf(z)))Bqu(Lqλg(z))=zDq(Bqu(Lqλg(z)))Bqu(Lqλg(z))h(z)+zDqh(z)=H(z)h(z)+zDqh(z). (3.11)

    Therefore from (3.9) and (3.11), we obtain

    zDq(Bquf(z))Bqug(z)=zDqh(z)+H(z)h(z)+λh(z)H(z)+λ.

    This in conjunction with (3.8) leads to

    h(z)+zDqh(z)H(z)+λpk,q(z). (3.12)

    On letting U=0 and B(z)=1H(z)+λ, we have

    (B(z))=(H(z)+λ)|H(z)+λ|2>0.

    Apply Lemma 2, we have

    h(z)pk,q(z).

    where pk,q(z) given by (1.8). Hence Theorem 8 is complete.

    We can prove Theorem 9 by using a similar argument of Theorem 8.

    Theorem 9. Let fA and λ>(2k2k+1+q). If Bquf(z)kUQCq, then Lqλ(Bquf(z))kUQCq.

    Our present investigation is motivated by the well-established potential for the usages of the basic (or q-) calculus and the fractional basic (or q -) calculus in Geometric Function Theory as described in a recently-published survey-cum-expository review article by Srivastava [38]. We have studied new family of analytic functions involving the Jackson and Hahn-Exton q-Bessel functions and investigate their inclusion relationships and certain integral preserving properties bounded by generalized conic domain Ωk,q. Also we discussed some applications of our main results by using the q-Bernardi integral operator. The convolution operator Bqu,1, which are defined by (1.12) will indeed apply to any attempt to produce the rather straightforward results which we have presented in this paper.

    Basic (or q-) series and basic (or q-) polynomials, especially the basic (or q-) hypergeometric functions and basic (or q-) hypergeometric polynomials, are applicable particularly in several diverse areas (see, for example, [38, p. 328]).

    Moreover, in this recently-published survey-cum-expository review article by Srivastava [38], the so-called (p,q)-calculus was exposed to be a rather trivial and inconsequential variation of the classical q-calculus, the additional parameter p being redundant (see, for details, [38, p. 340]). This observation by Srivastava [38] will indeed apply also to any attempt to produce the rather straightforward (p,q)-variations of the results which we have presented in this paper.

    The third author is partially supported by Universiti Kebangsaan Malaysia grant (GUP-2019-032).

    The authors declare that they have no competing interests.



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