Bank market risk and efficiency of commercial banks in Malaysia

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Since the global financial crisis, banking supervisors have realised that bank market risk is crucial to banking stability. Guided by the Financial Sector Master Plan, Bank Negara Malaysia has implemented risk-focused and pre-emptive regulation and supervision to control the market risk exposure. This paper examines the market risk and effects of cost and profit efficiencies on market risk using all listed banks in Malaysia for the 2000-2015 period. Using the Expected Shortfall and Stochastic Frontier Analysis, this paper estimates the cost and profit efficiencies and analyses the effects on market risk. The results show that the bank market risk exposure decreases and both cost and profit efficiencies affect market risk. Bank managers and supervisors could apply the results as a basis for formulating business strategy and developing banking policy.

Original languageEnglish
JournalJurnal Pengurusan
Volume51
Publication statusPublished - 1 Jan 2017

Fingerprint

Market efficiency
Commercial banks
Market risk
Malaysia
Profit efficiency
Banking
Supervisors
Risk exposure
Business strategy
Financial sector
Stochastic frontier analysis
Global financial crisis
Managers
Regulation and supervision
Expected shortfall

Keywords

  • Expected shortfall
  • Logit
  • Malaysian banks
  • Market risk
  • Stochastic frontier analysis

ASJC Scopus subject areas

  • Business and International Management
  • Accounting
  • Business, Management and Accounting (miscellaneous)

Cite this

Bank market risk and efficiency of commercial banks in Malaysia. / Ab-Hamid, Mohd Fahmee; Abdul Rahman, Aisyah; Abd Majid, Mariani; Janor, Hawati.

In: Jurnal Pengurusan, Vol. 51, 01.01.2017.

Research output: Contribution to journalArticle

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AB - Since the global financial crisis, banking supervisors have realised that bank market risk is crucial to banking stability. Guided by the Financial Sector Master Plan, Bank Negara Malaysia has implemented risk-focused and pre-emptive regulation and supervision to control the market risk exposure. This paper examines the market risk and effects of cost and profit efficiencies on market risk using all listed banks in Malaysia for the 2000-2015 period. Using the Expected Shortfall and Stochastic Frontier Analysis, this paper estimates the cost and profit efficiencies and analyses the effects on market risk. The results show that the bank market risk exposure decreases and both cost and profit efficiencies affect market risk. Bank managers and supervisors could apply the results as a basis for formulating business strategy and developing banking policy.

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