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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
Registered author(s):

    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 Chinese banks. The analysis employs Augmented Dickey Fuller (ADF) test, Johansen’s co integration test, Granger causality test. Analyzing the co integration and other tests on Chinese banking sector over the study period, the relationships between the two variables are examined. The empirical results have found strong evidence that the variables are co-integrated.

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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: 28 Apr 2014
    Date of revision:
    Handle: RePEc:ipg:wpaper:2014-249
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