Three-Factor CAPM Risk Exposures: Some Evidence from Malaysian Commercial Banks
AbstractThis study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major contributions. First, we find that different types of risk exposures have different determinants. Second, the market risk exposure for the Islamic bank in our study is lower than for conventional banks. Third, the merger programme is fruitful because it reduces the interest rate risk exposure, total risk exposure, and unsystematic risk exposure. Finally, our results show that the banks under study have higher total and unsystematic risk exposures during the 1997 Asian financial crisis. Thus, a clear understanding of this evidence helps in ensuring effective and successful decision-making for regulators, policy makers and market players.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.
Volume (Year): 6 (2010)
Issue (Month): 1 ()
banking; risk; merger; financial crisis;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.