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Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition

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...

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Main Authors: Mohd Fahmee Ab-Hamid,, Aisyah Abdul-Rahman,, Mariani Abdul-Majid,, Hawati Janor,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2018
Online Access:http://journalarticle.ukm.my/19620/1/jeko_521-1.pdf
http://journalarticle.ukm.my/19620/
https://www.ukm.my/jem/issue/v52i1/
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spelling my-ukm.journal.196202022-09-08T07:28:45Z http://journalarticle.ukm.my/19620/ Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition Mohd Fahmee Ab-Hamid, Aisyah Abdul-Rahman, Mariani Abdul-Majid, Hawati Janor, 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. Penerbit Universiti Kebangsaan Malaysia 2018 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/19620/1/jeko_521-1.pdf Mohd Fahmee Ab-Hamid, and Aisyah Abdul-Rahman, and Mariani Abdul-Majid, and Hawati Janor, (2018) Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition. Jurnal Ekonomi Malaysia, 52 (1). pp. 3-13. ISSN 0127-1962 https://www.ukm.my/jem/issue/v52i1/
institution Universiti Kebangsaan Malaysia
building Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description 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.
format Article
author Mohd Fahmee Ab-Hamid,
Aisyah Abdul-Rahman,
Mariani Abdul-Majid,
Hawati Janor,
spellingShingle Mohd Fahmee Ab-Hamid,
Aisyah Abdul-Rahman,
Mariani Abdul-Majid,
Hawati Janor,
Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
author_facet Mohd Fahmee Ab-Hamid,
Aisyah Abdul-Rahman,
Mariani Abdul-Majid,
Hawati Janor,
author_sort Mohd Fahmee Ab-Hamid,
title Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
title_short Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
title_full Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
title_fullStr Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
title_full_unstemmed Market risk and efficiencies of the Malaysian banking industry : the post-merger and acquisition
title_sort market risk and efficiencies of the malaysian banking industry : the post-merger and acquisition
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2018
url http://journalarticle.ukm.my/19620/1/jeko_521-1.pdf
http://journalarticle.ukm.my/19620/
https://www.ukm.my/jem/issue/v52i1/
_version_ 1744354627281747968
score 13.211869

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