Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition

Mohd Fahmee Ab Hamid (), Aisyah Rahman (), Mariani Abdul-Majid and Hawati Janor ()
Additional contact information
Mohd Fahmee Ab Hamid: Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia 43600 UKM Bangi Selangor MALAYSIA
Aisyah Rahman: Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia 43600 UKM Bangi Selangor MALAYSIA
Hawati Janor: Fakulti Ekonomi dan Pengurusan Universiti Kebangsaan Malaysia 43600 UKM Bangi Selangor MALAYSIA

Jurnal Ekonomi Malaysia, 2018, vol. 52, issue 1, 3-13

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: Malaysian bank; Stochastic frontier analysis; logit; market risk (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ukm.my/jem/wp-content/uploads/2021/06/jeko_521-1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ukm:jlekon:v:52:y:2018:i:1:p:3-13

DOI: 10.17576/JEM-2018-5201-1

Access Statistics for this article

More articles in Jurnal Ekonomi Malaysia from Faculty of Economics and Business, Universiti Kebangsaan Malaysia Contact information at EDIRC.
Bibliographic data for series maintained by Muhammad Asri Abd Ghani ().