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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/19620/ http://journalarticle.ukm.my/19620/1/jeko_521-1.pdf |
| _version_ | 1848814887941177344 |
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| author | Mohd Fahmee Ab-Hamid, Aisyah Abdul-Rahman, Mariani Abdul-Majid, Hawati Janor, |
| author_facet | Mohd Fahmee Ab-Hamid, Aisyah Abdul-Rahman, Mariani Abdul-Majid, Hawati Janor, |
| author_sort | Mohd Fahmee Ab-Hamid, |
| building | UKM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T00:41:14Z |
| format | Article |
| id | oai:generic.eprints.org:19620 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:41:14Z |
| publishDate | 2018 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org: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/ |
| 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 |
| title | 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_short | 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 |
| url | http://journalarticle.ukm.my/19620/ http://journalarticle.ukm.my/19620/ http://journalarticle.ukm.my/19620/1/jeko_521-1.pdf |