The Dynamics of Financial Risks on Firm Value under the Impact of Financial Crises and COVID-19: New Evidence from MMQR and Causality Analysis

Cengizhan Karaca

Makale detayları

The Dynamics of Financial Risks on Firm Value under the Impact of Financial Crises and COVID-19: New Evidence from MMQR and Causality Analysis

Yazarlar:

Cengizhan Karaca

Yayıncı:

Bingol University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.9 Issue 1, pp.79-98

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001352092

pISSN:

2651-3234

Anahtar kelimeler:

Özet:

 This study examines the effects of financial risks on firm value, incorporating the impacts of both the financial crisis and the COVID-19 pandemic, using a balanced panel data set of 81 Borsa Istanbul BIST manufacturing firms covering the period 200503 - 202403. Three newly developed panel data analysis methods are employed in the analysis. According to the findings, leverage risk has a negative effect on Tobins Q ratio in the short run, a positive effect in the long run and across all quantiles and a positive effect on market capitalisation in the short run and across all quantiles. Credit risk has a negative effect on Tobins Q in the highest quantile, a negative effect on market capitalization in the short run, a positive effect in the long run and in all quantiles. Liquidity risk has a negative impact on Tobins Q and market capitalization in the short run and in all quantiles, and a positive impact in the long run. Currency risk has a positive effect on Tobins Q in all quantiles, a negative effect when market capitalization is low, and a positive effect in the long run. The causality results reveal that leverage and credit risk are unidirectionally causal to Tobins Q and market capitalization, liquidity risk is bidirectionally causal, there is no causality from currency risk to firm value, but market value is the cause of currency risk. The study provides financial managers with insights on borrowing, credit, liquidity and currency position management and suggests sound strategies in the period of crisis.

 This study examines the effects of financial risks on firm value, incorporating the impacts of both the financial crisis and the COVID-19 pandemic, using a balanced panel data set of 81 Borsa Istanbul BIST manufacturing firms covering the period 200503 - 202403. Three newly developed panel data analysis methods are employed in the analysis. According to the findings, leverage risk has a negative effect on Tobins Q ratio in the short run, a positive effect in the long run and across all quantiles and a positive effect on market capitalisation in the short run and across all quantiles. Credit risk has a negative effect on Tobins Q in the highest quantile, a negative effect on market capitalization in the short run, a positive effect in the long run and in all quantiles. Liquidity risk has a negative impact on Tobins Q and market capitalization in the short run and in all quantiles, and a positive impact in the long run. Currency risk has a positive effect on Tobins Q in all quantiles, a negative effect when market capitalization is low, and a positive effect in the long run. The causality results reveal that leverage and credit risk are unidirectionally causal to Tobins Q and market capitalization, liquidity risk is bidirectionally causal, there is no causality from currency risk to firm value, but market value is the cause of currency risk. The study provides financial managers with insights on borrowing, credit, liquidity and currency position management and suggests sound strategies in the period of crisis.

 This study examines the effects of financial risks on firm value, incorporating the impacts of both the financial crisis and the COVID-19 pandemic, using a balanced panel data set of 81 Borsa Istanbul BIST manufacturing firms covering the period 200503 - 202403. Three newly developed panel data analysis methods are employed in the analysis. According to the findings, leverage risk has a negative effect on Tobins Q ratio in the short run, a positive effect in the long run and across all quantiles and a positive effect on market capitalisation in the short run and across all quantiles. Credit risk has a negative effect on Tobins Q in the highest quantile, a negative effect on market capitalization in the short run, a positive effect in the long run and in all quantiles. Liquidity risk has a negative impact on Tobins Q and market capitalization in the short run and in all quantiles, and a positive impact in the long run. Currency risk has a positive effect on Tobins Q in all quantiles, a negative effect when market capitalization is low, and a positive effect in the long run. The causality results reveal that leverage and credit risk are unidirectionally causal to Tobins Q and market capitalization, liquidity risk is bidirectionally causal, there is no causality from currency risk to firm value, but market value is the cause of currency risk. The study provides financial managers with insights on borrowing, credit, liquidity and currency position management and suggests sound strategies in the period of crisis.

 Bu çalışma, finansal risklerin finansal kriz ve COVID-19 pandemi etkisini de dahil ederek firma değeri üzerindeki etkilerini, 200503 - 202403 dönemini kapsayan 81 BIST imalat sanayi firmasının dengeli panel veri setini kullanarak incelemektedir. Analizlerde, üç yeni geliştirilmiş panel veri analiz yöntemi kullanmıştır. Elde edilen bulgulara göre, kaldıraç riski, TobinQ üzerinde kısa dönemde negatif, uzun dönemde ve tüm kantillerde pozitif; piyasa değeri üzerinde kısa dönemde ve tüm kantillerde pozitif etkilemektedir. Kredi riski, TobinQda en yüksek kantilde negatif, piyasa değeri üzerinde kısa dönemde negatif, uzun dönemde ve tüm kantillerde pozitif etkilidir. Likidite riski kısa dönemde ve tüm kantillerde TobinQ ve piyasa değeri üzerinde negatif, uzun dönemde pozitif etkili bulunmuştur. Kur riski, TobinQda tüm kantillerde pozitif, piyasa değeri düşükken negatif, uzun dönemde ise pozitif etkilidir. Nedensellik sonuçları, kaldıraç ve kredi riskinin TobinQ ve piyasa değerine tek yönlü, likidite riskinin çift yönlü nedensel olduğunu, kur riskinden firma değerine doğru nedensellik bulunmadığını, ancak piyasa değerinin kur riskinin nedeni olduğunu ortaya koymaktadır. Çalışma, finansal yöneticilere borçlanma, kredi, likidite ve döviz pozisyonu yönetimi konusunda öngörüler sunarak, kriz dönemlerinde güçlü stratejiler önermektedir.

Makale detayları

The Dynamics of Financial Risks on Firm Value under the Impact of Financial Crises and COVID-19: New Evidence from MMQR and Causality Analysis

Yazarlar:

Cengizhan Karaca

Yayıncı:

Bingol University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.9 Issue 1, pp.79-98

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001352092

pISSN:

2651-3234

Financial risks

firm value

MMQR

panel non-causalityFinansal riskler

firma değeri

MMQR

panel nedensellik

Sayı

Makale detayları

Yazarlar: Cengizhan Karaca

Yayıncı: Bingol University

Ana Başlıklar: Finans | Finans ve Yatırım (Diğer)

Dergi: Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.9 Issue 1, pp.79-98

Belge Tipi: Makale

Yayın Tarihi: 6/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001352092

pISSN: 2651-3234

Sayı

Yazarlar:

Cengizhan Karaca

Yayıncı:

Bingol University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.9 Issue 1, pp.79-98

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001352092

pISSN:

2651-3234