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

• 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/

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...