IDEAS home Printed from https://ideas.repec.org/a/usm/journl/aamjaf00601_47-67.html
   My bibliography  Save this article

Three-Factor CAPM Risk Exposures: Some Evidence from Malaysian Commercial Banks

Author

Listed:
  • Aisyah Abdul Rahman

    () (Faculty of Economics and Business, Universiti Kebangsaan Malaysia, 43600, Bangi, Selangor)

Abstract

This 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.

Suggested Citation

  • Aisyah Abdul Rahman, 2010. "Three-Factor CAPM Risk Exposures: Some Evidence from Malaysian Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 6(1), pages 47-67.
  • Handle: RePEc:usm:journl:aamjaf00601_47-67
    as

    Download full text from publisher

    File URL: http://web.usm.my/journal/aamjaf/vol6-1-2010/6-1-3.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aykut Ekinci, 2016. "The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 427-434.
    2. 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 (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.

    More about this item

    Keywords

    banking; risk; merger; financial crisis;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf00601_47-67. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division, Penerbit Universiti Sains Malaysia). General contact details of provider: http://edirc.repec.org/data/aammmea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.