Bank Market Risk and Efficiency of Commercial Banks in Malaysia
Risiko Pasaran dan Kecekapan bagi Bank-bank Komersial di Malaysia

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor, MALAYSIA.

fahmeehamid@gmail.com

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor, MALAYSIA.

eychah@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor, MALAYSIA.

mariani@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor, MALAYSIA.

hawati@ukm.edu.my

Abstract

Since the global financial crisis, banking supervisors have realised that bank market risk is crucial to banking stability. Guided by the Financial Sector Master Plan, Bank Negara Malaysia has implemented risk-focused and pre-emptive regulation and supervision to control the market risk exposure. This paper examines the market risk and effects of cost and profit efficiencies on market risk using all listed banks in Malaysia for the 2000–2015 period. Using the Expected Shortfall and Stochastic Frontier Analysis, this paper estimates the cost and profit efficiencies and analyses the effects on market risk. The results show that the bank market risk exposure decreases and both cost and profit efficiencies affect market risk. Bank managers and supervisors could apply the results as a basis for formulating business strategy and developing banking policy.

Keywords

expected shortfall; logit; Malaysian banks; market risk; stochastic frontier analysis
https://doi.org/10.17576/pengurusan-2018-51-21

Citation

Ab Hamid, M. F., Abdul-Rahman, A. A., Abdul-Majid, M., & Janor, H. (2017). Bank Market Risk and Efficiency of Commercial Banks in Malaysia. Jurnal Pengurusan, 51, 249–259. https://doi.org/10.17576/pengurusan-2018-51-21

@article{hamid2017bank,
  title={Bank Market Risk and Efficiency of Commercial Banks in Malaysia},
  author={Ab Hamid, Mohd Fahmee and Abdul-Rahman, Aisyah and Abdul-Majid, Mariani and Janor, Hawati},
  journal={Jurnal Pengurusan},
 

volume={51},
  number={},
  pages={249—259},
  year={2017},
  doi={https://doi.org/10.17576/pengurusan-2018-51-21},
  publisher={Penerbit UKM},
}

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51 (2017) 249 – 259

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