Bank market risk and bank efficiency

A tale from two countries

Mohd Fahmee Ab-Hamid, Aisyah Abdul Rahman, Mariani Abd Majid, Hawati Janora

Research output: Contribution to journalArticle

Abstract

This paper examines the effects of cost and profit efficiencies on bank market risk using listed banks in Malaysia and China for the 2000-2015 period. The supervision of bank market risk is important because it can affect the stability of the entire banking system. The paper estimates the effects in panel data using stochastic frontier analysis and expected shortfall. The results show that while both efficiencies affect market risk, the cost efficiency has a different effect for both countries. Bank managers and supervisors in each country could apply the results as a basis for formulating business strategy and developing banking policy.

Original languageEnglish
Pages (from-to)573-584
Number of pages12
JournalInternational Journal of Economics and Management
Volume12
Issue number2
Publication statusPublished - 1 Jan 2018

Fingerprint

Bank efficiency
Market risk
China
Business strategy
Supervisors
Banking system
Profit efficiency
Supervision
Expected shortfall
Stochastic frontier analysis
Panel data
Managers
Banking
Malaysia

Keywords

  • Bank
  • Expercted shortfall
  • Logit
  • Market risk
  • Stochastic frontier analysis

ASJC Scopus subject areas

  • Business and International Management
  • Economics, Econometrics and Finance(all)
  • Strategy and Management

Cite this

Bank market risk and bank efficiency : A tale from two countries. / Ab-Hamid, Mohd Fahmee; Abdul Rahman, Aisyah; Abd Majid, Mariani; Janora, Hawati.

In: International Journal of Economics and Management, Vol. 12, No. 2, 01.01.2018, p. 573-584.

Research output: Contribution to journalArticle

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