Malaysian bank capital and risk profiles: Causality tests

The structural relationships among bank capital and risk taking are empirically examined by utilising unit root tests and Granger causality tests using the time series data. The Granger causality test results are not very robust with respect to different types of banking institutions, risk variables...

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Main Authors: Ahmad, Rubi, Skully, Michael, Ariff, Mohamed
格式: Article
出版: Faculty of Business and Accountancy, University of Malaya 2008
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在线阅读:http://eprints.um.edu.my/25489/
http://www.myjurnal.my/filebank/published_article/408/Vol1(2)-Article3.pdf
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spelling my.um.eprints.254892020-09-01T06:50:56Z http://eprints.um.edu.my/25489/ Malaysian bank capital and risk profiles: Causality tests Ahmad, Rubi Skully, Michael Ariff, Mohamed HG Finance Banking The structural relationships among bank capital and risk taking are empirically examined by utilising unit root tests and Granger causality tests using the time series data. The Granger causality test results are not very robust with respect to different types of banking institutions, risk variables (NPL and RWA) and time period. With merchant banks and finance companies aggregate data, there appears to be an absence of a Granger causality effect in the Malaysian banking sector. The evidence for Granger causality running from capital to risk or risk to capital appears to be statistically significant when the test is performed using the commercial bank aggregate data. Our results also show that there is no strong indication that using non-performing loans implies likelihood of finding a significant relationship. Finally, the evidence of lead-lag relationship between capital and risk is generally weak before the1997-98 banking crisis. Faculty of Business and Accountancy, University of Malaya 2008 Article PeerReviewed Ahmad, Rubi and Skully, Michael and Ariff, Mohamed (2008) Malaysian bank capital and risk profiles: Causality tests. Asian Journal of Business and Accounting, 20 (4). pp. 340-346. ISSN 1985-4064 http://www.myjurnal.my/filebank/published_article/408/Vol1(2)-Article3.pdf doi:10.1177/1010539508322698
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic HG Finance
Banking
spellingShingle HG Finance
Banking
Ahmad, Rubi
Skully, Michael
Ariff, Mohamed
Malaysian bank capital and risk profiles: Causality tests
description The structural relationships among bank capital and risk taking are empirically examined by utilising unit root tests and Granger causality tests using the time series data. The Granger causality test results are not very robust with respect to different types of banking institutions, risk variables (NPL and RWA) and time period. With merchant banks and finance companies aggregate data, there appears to be an absence of a Granger causality effect in the Malaysian banking sector. The evidence for Granger causality running from capital to risk or risk to capital appears to be statistically significant when the test is performed using the commercial bank aggregate data. Our results also show that there is no strong indication that using non-performing loans implies likelihood of finding a significant relationship. Finally, the evidence of lead-lag relationship between capital and risk is generally weak before the1997-98 banking crisis.
format Article
author Ahmad, Rubi
Skully, Michael
Ariff, Mohamed
author_facet Ahmad, Rubi
Skully, Michael
Ariff, Mohamed
author_sort Ahmad, Rubi
title Malaysian bank capital and risk profiles: Causality tests
title_short Malaysian bank capital and risk profiles: Causality tests
title_full Malaysian bank capital and risk profiles: Causality tests
title_fullStr Malaysian bank capital and risk profiles: Causality tests
title_full_unstemmed Malaysian bank capital and risk profiles: Causality tests
title_sort malaysian bank capital and risk profiles: causality tests
publisher Faculty of Business and Accountancy, University of Malaya
publishDate 2008
url http://eprints.um.edu.my/25489/
http://www.myjurnal.my/filebank/published_article/408/Vol1(2)-Article3.pdf
_version_ 1680857037731266560
score 13.250246