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Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition

Author

Listed:
  • Ab Hamid, Mohd Fahmee

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

  • Rahman, aisyah

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

  • Abdul-Majid, Mariani

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

  • Janor, Hawati

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

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.

Suggested Citation

  • Ab Hamid, Mohd Fahmee & Rahman, aisyah & Abdul-Majid, Mariani & Janor, Hawati, 2018. "Market Risk and Efficiencies of the Malaysian Banking Industry: The Post-merger and Acquisition," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 3-13.
    • Handle: RePEc:ukm:jlekon:v:52:y:2018:i:1:p:3-13
    DOI: http://dx.doi.org/10.17576/JEM-2018-5201-1
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    References listed on IDEAS

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