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Does Co-integration and Causal Relationship Exist between the Non- stationary Variables for Chinese Bank’s Profitability? An Empirical Evidence

  • Omar Masood
  • Priya Darshini Pun Thapa
  • Olivier Levyne
  • Frederic Teulon
  • Rabeb Triki
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    This study aims to give the analysis of the determinants of banks’ profitability in the Kingdom of China over the period 2003-2007. This paper investigates the co-integration and causal relationship between total assets (TA) and total equity (TE) of Chine

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    File URL: http://www.ipag.fr/wp-content/uploads/recherche/WP/IPAG_WP_2014_249.pdf
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    Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-249.

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    Length: 12 pages
    Date of creation: 01 Jan 2014
    Date of revision:
    Handle: RePEc:ipg:wpaper:2014-249
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    2. Sarantis, Nicholas & Stewart, Chris, 2001. "Saving Behaviour in OECD Countries: Evidence from Panel Cointegration Tests," Manchester School, University of Manchester, vol. 69(0), pages 22-41, Supplemen.
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    4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    5. Bourke, Philip, 1989. "Concentration and other determinants of bank profitability in Europe, North America and Australia," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 65-79, March.
    6. Andrés Escobar & Mauricio Cardenas, 1997. "Savings Determinants in Colombia: 1925-1994," Research Department Publications 3009, Inter-American Development Bank, Research Department.
    7. Liu, Yong-Chin & Hung, Jung-Hua, 2006. "Services and the long-term profitability in Taiwan's banks," Global Finance Journal, Elsevier, vol. 17(2), pages 177-191, December.
    8. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    9. Blonigen, Bruce A, 1997. "Firm-Specific Assets and the Link between Exchange Rates and Foreign Direct Investment," American Economic Review, American Economic Association, vol. 87(3), pages 447-65, June.
    10. Martin Browning & Annamaria Lusardi, 1995. "Household Saving: Micro Theories and Micro Facts," Department of Economics Working Papers 1995-02, McMaster University.
    11. Heien, Dale M, 1972. "Demographic Effects and the Multiperiod Consumption Function," Journal of Political Economy, University of Chicago Press, vol. 80(1), pages 125-38, Jan.-Feb..
    12. Kwast, Myron L. & Rose, John T., 1982. "Pricing, operating efficiency, and profitability among large commercial banks," Journal of Banking & Finance, Elsevier, vol. 6(2), pages 233-254, June.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. Athanasoglou, Panayiotis P. & Brissimis, Sophocles N. & Delis, Matthaios D., 2008. "Bank-specific, industry-specific and macroeconomic determinants of bank profitability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 121-136, April.
    15. Smirlock, Michael, 1985. "Evidence on the (Non) Relationship between Concentration and Profitability in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 69-83, February.
    16. Heggestad, Arnold A, 1977. "Market Structure, Risk and Profitability in Commercial Banking," Journal of Finance, American Finance Association, vol. 32(4), pages 1207-16, September.
    17. Molyneux, Philip & Thornton, John, 1992. "Determinants of European bank profitability: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1173-1178, December.
    18. Bashir, Abdel-Hameed M., 2003. "Determinants Of Profitability In Islamic Banks: Some Evidence From The Middle East," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 11, pages 32-57.
    19. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    20. George Hondroyiannis, 2004. "Estimating private savings behaviour in Greece," Journal of Economic Studies, Emerald Group Publishing, vol. 31(5), pages 457-476, October.
    21. Cesaratto, Sergio, 1999. "Savings and Economic Growth in Neoclassical Theory," Cambridge Journal of Economics, Oxford University Press, vol. 23(6), pages 771-93, November.
    22. Darby, Michael R, 1972. "The Allocation of Transitory Income Among Consumers' Assets," American Economic Review, American Economic Association, vol. 62(5), pages 928-41, December.
    23. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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