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Jurnal Ekonomi Malaysia

52 (1) 2018 3 – 13

Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition
Risiko Pasaran dan Kecekapan Industri Bank Malaysia: Pasca Penggabungan dan Pengambilalihan

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

fahmeehamid@gmail.com

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

eychah@ukm.edu.my

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

mariani@ukm.edu.my

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

hawati@ukm.edu.my

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

logit; Malaysian bank; market risk; Stochastic frontier analysis

Author’s Acknowledgement

This paper is based on the author Ph. D thesis. The authors would like to thank the editors and the anonymous referees for their constructive comments and suggestions. Their inputs have significantly help in improving the contents of this paper. This work was supported by the Universiti Kebangsaan Malaysia [grant number EP- 2015-026].

http://dx.doi.org/10.17576/JEM-2018-5201-1
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Bibliography

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Ab Hamid, , Rahman, , Abdul-Majid, , & Janor, (2018). Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition. Jurnal Ekonomi Malaysia, 52(1), 3–13. http://dx.doi.org/10.17576/JEM-2018-5201-1

@article{abhamid2018market,
  title={Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition},
  author={Ab Hamid, Mohd Fahmee and Rahman, aisyah and Abdul-Majid, Mariani and Janor, Hawati},
  journal={Jurnal Ekonomi Malaysia},
  volume={52},
  number={1},
  pages={3—13},
 

year={2018},
}

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