Market risk and efficiencies of the Malaysian banking industry

The post-merger and acquisition examination

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper examines the effects of cost and profit efficiencies on post-merger bank market risk. We use Stochastic Frontier Analysis to estimate cost and profit efficiencies, and Value at Risk and Expected Shortfall to calculate the market risks. We measure the effects in panel analysis using data from banks listed on the Bursa Malaysia over the 2000–2015 period. The results show that the post-merger banks can sustain the market risk exposure from the global financial crisis. The increase in cost and profit efficiency increase the market risk. The findings could be used for the bank regulators and managers to focus on the efficiency-related initiatives to manage the market risk better.

Original languageEnglish
Pages (from-to)1-12
Number of pages12
JournalJurnal Ekonomi Malaysia
Volume52
Issue number1
Publication statusPublished - 1 Jan 2018

Fingerprint

Market efficiency
Mergers and acquisitions
Banking industry
Market risk
Profit efficiency
Bank mergers
Panel data analysis
Expected shortfall
Stochastic frontier analysis
Global financial crisis
Risk exposure
Managers
Malaysia
Value at risk

Keywords

  • Logit
  • Malaysian bank
  • Market risk
  • Stochastic frontier analysis

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

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title = "Market risk and efficiencies of the Malaysian banking industry: The post-merger and acquisition examination",
abstract = "This paper examines the effects of cost and profit efficiencies on post-merger bank market risk. We use Stochastic Frontier Analysis to estimate cost and profit efficiencies, and Value at Risk and Expected Shortfall to calculate the market risks. We measure the effects in panel analysis using data from banks listed on the Bursa Malaysia over the 2000–2015 period. The results show that the post-merger banks can sustain the market risk exposure from the global financial crisis. The increase in cost and profit efficiency increase the market risk. The findings could be used for the bank regulators and managers to focus on the efficiency-related initiatives to manage the market risk better.",
keywords = "Logit, Malaysian bank, Market risk, Stochastic frontier analysis",
author = "Ab-Hamid, {Mohd Fahmee} and {Abdul Rahman}, Aisyah and {Abd Majid}, Mariani and Hawati Janor",
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T1 - Market risk and efficiencies of the Malaysian banking industry

T2 - The post-merger and acquisition examination

AU - Ab-Hamid, Mohd Fahmee

AU - Abdul Rahman, Aisyah

AU - Abd Majid, Mariani

AU - Janor, Hawati

PY - 2018/1/1

Y1 - 2018/1/1

N2 - This paper examines the effects of cost and profit efficiencies on post-merger bank market risk. We use Stochastic Frontier Analysis to estimate cost and profit efficiencies, and Value at Risk and Expected Shortfall to calculate the market risks. We measure the effects in panel analysis using data from banks listed on the Bursa Malaysia over the 2000–2015 period. The results show that the post-merger banks can sustain the market risk exposure from the global financial crisis. The increase in cost and profit efficiency increase the market risk. The findings could be used for the bank regulators and managers to focus on the efficiency-related initiatives to manage the market risk better.

AB - This paper examines the effects of cost and profit efficiencies on post-merger bank market risk. We use Stochastic Frontier Analysis to estimate cost and profit efficiencies, and Value at Risk and Expected Shortfall to calculate the market risks. We measure the effects in panel analysis using data from banks listed on the Bursa Malaysia over the 2000–2015 period. The results show that the post-merger banks can sustain the market risk exposure from the global financial crisis. The increase in cost and profit efficiency increase the market risk. The findings could be used for the bank regulators and managers to focus on the efficiency-related initiatives to manage the market risk better.

KW - Logit

KW - Malaysian bank

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KW - Stochastic frontier analysis

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