• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.135-145
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• 2020

This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.643-651
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• 2021

This study aims to determine the response of regional economic growth to the financial performance of regional economies in regard to the liquidity conditions, saving-investment gaps, trade openness, inflation, as well as the national economic growth. The basic logic theory of research uses the principles of open economics and financial intermediary systems. The data used in this study are secondary data, and the form of data is a quarterly time series for the period from 2008 to 2019. The data were obtained from various publications, such as the Central Statistics Agency (CSA), Regional Financial Economics Statistics (RFES), Indonesian Banking Statistics (IBS), and the Financial Services Authority (FSA). Data processing was done through VAR/VECM analysis; short-term and long-term equilibrium analyses were carried out. The results of the analysis illustrate that regional economic growth and the conditions of liquidity, saving-investment gaps, trade openness, inflation, and national economic growth are related and lead to significant impact variations in the provinces of Papua and West Papua. In conclusion, the findings of this research support the leading supply hypothesis and reformulate the strategy and policy of economic development, bearing in mind that there are still many underdeveloped districts in these two provinces.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.3
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• pp.347-354
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• 2022

This article examines the influence of Basel III reforms, risk management, and banking sector efficiency on banks' financial stability in emerging countries. The data for this study is collected from various sources. Based on the GDP classification of IMF, the top 22 countries were selected as the sample. The sampling frame includes all six regions of the world including 482 banks and 3022 observations in total. The empirical analysis is carried out by estimating the random effects models. It is found that the effects of capital buffer, liquidity, and risk management practices are significant on financial stability. It is also noticed that the capital buffer has a constructive and significant influence on financial stability. However, liquidity management shows a mixed impact, as in some countries, its impact is positive and significant while, in other countries, it is insignificant. Risk management practices have an overall positive influence on financial stability in the case of large economies. However, results are insignificant in the case of small economies. Bank-specific variables, namely profitability, size, and efficiency have a positive whereas, loan quality has a negative impact on financial stability in the emerging countries. GDP has a positive impact on financial stability whereas inflation and unemployment both have a negative effect on financial stability.

• International Commerce and Information Review
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• v.9 no.3
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• pp.23-32
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• 2007

The purpose of this study is to estimate and analyse the relationship between efficiency of bank industry and macroeconomic variables. We employ Johansen's multivariate cointegration methodology, since the model must be stationary to avoid the spurious results. The empirical results show that our model is stationary as well as mean-reverting. This paper also applies impulse-response functions to get additional information regarding the responses of the bank spread to the shocks economic variables such as long and short term interest rates differential, banking organ liquidity, business cycle index, and foreigner's net equity investment. The results indicate that while the bank spread respond positively to liquidity and equity investment shocks and then decay very quickly.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.377-384
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• 2020

Banking is very regulated by the government and even has to follow regulations issued by the Basel Committee on Banking Supervision, which regulates banking in the world. According to Basel III, banks must provide capital reserves called capital buffers. The purpose of this study is to examine the factors that determine capital buffer. Factors thought to affect the capital buffer studied consisted of profitability (ROA), credit risk (NPL), liquidity risk (LDR), capital adequacy in the previous period (CARt-1), management risk (NIM), and ratio of operating risk (OER). The population in this study is conventional banks listed on the Indonesia Stock Exchange, as many as 42 banks, with a sample of 40 banks taken by purposive sampling method with an observation period of four years with quarterly data (2016-2019). To test the hypotheses, regression panel data is used. After being tested, it turns out that the fixed effect model is better than the common effect and random effect. The results of the study with fixed effect models show that ROA, NPL, and OER significantly and negatively affect capital buffer. CAR_t-1 has a positive and significant effect on capital buffer, while LDR and NIM do not affect capital buffer.

• Korean Business Review
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• v.22 no.1
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• pp.103-123
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• 2009

The uncertainty of international financial market was increased suddenly, since 2008 September 15th Lehman Brothers bankruptcy. In spite of the money market stabilization management of various nations, the stock market of the world was visible the features which slump and sudden rise are insecure. The reliability about dollarization was depreciated suddenly in depression of American money market, and the dollarization was converted with important currency comparison bearish trend. Relates with this, this thesis analyzed press information about the policies which the authorities confronts since global banking crisis after Lehman situation. And it provided various current points. Despite these meanings, this research has several critical points. So this thesis refers the critical points and presets research direction In future.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.7
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• pp.49-58
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• 2020

This paper examines the impact of mergers on the financial performance of the Jordanian banking sector. This paper applies the financial approaches in analysing the effects of mergers on Jordanian banks' performance for two the periods: four years pre-merger and four years' post-merger for the period from 2001 to 2009. The sample of the study solely contains the case of the merger of the Jordan Ahli Bank (AHLI bank) with Philadelphia Bank in 2005. Data are tested for normality using the Shapiro-Wilk Test and Kolmogorov Smirnov test. The financial ratios and a statistical technique as a Mann-Whitney U test were used to assess the significant differences in the financial performance of the selected banks pre- and post-merger by investigating the performance-related financial ratio groups that are expressed by leverage, liquidity, efficiency, and cash flow ratio. The results show that there is an insignificant improvement in the ratios of AHLI bank in the period after the merger, except for the superior result provided by this study indicating that the leverage ratios improved significantly. The reason for the insignificant improvement in financial ratios may be that the post-merger period corresponds to the period of the global financial crisis that began in 2007.

• 사회경제평론
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• no.38
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• pp.199-240
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• 2012

According to the Post Keynesian endogenous money theory, money is created by the bank deposit which is dependent on the banks' supply of loan. And the demand for loans is dependent on investment by firms. In the money creating process, real value(or investment) and money are connected with banks' credit. In this paper, we investigated Keynes and Post Keynesian endogenous money theory with critical reviews of Hwang (2005). We came to three conclusions. First, Post Keynesian endogenous money theory is based on Keynes' theory. Second, Keynes' endogeneity of money is essentially different from that of Wicksellian. Third, focusing on the differences of the starting point of the arguments not on the conclusions, two Post Keynesian views, namely horizontalists and structuralists are compatible with liquidity preference theory in the Keynes' system.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.639-648
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• 2021

The study aims to examine the role of financial risk management in predicting the financial performance of commercial banks in Pakistan over the period of 2006-2017. For this purpose, risk management is measured through credit risk, interest rate risk, and liquidity risk, while financial performance is measured through ROA, ROE, and ROI. For this purpose, the dynamic panel model and two step GMM panel estimators are used to test the hypothesis empirically. The annual secondary data has been taken from the published financial reports of commercial banks of Pakistan. The results show that financial risk management significantly decreases the financial performance of commercial banks in Pakistan. Overall, the results are conclusive across the alternative measures of financial risk management in predicting the financial performance of the banking sector in Pakistan. The study suggested that managers should adopt risk management and risk hedging strategies to manage commercial banks' financial risks in Pakistan. They should hold extra cash while using the trade credit facilities. Previous studies mostly used a static model, but this study used a dynamic panel model. This study is among the first that focused on the various factors affecting the banks' performance in Pakistan.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.8
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• pp.497-502
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• 2021

This study aims to investigate the determinants of default risk of rural banks in East Java, Indonesia. The method used is descriptive verification and logistic regression analysis. The data used is secondary in the form of monthly annual financial reports of rural banks in East Java during the period 2009-2018. From the results, it was shown that net interest margin (NIM) as a proxy of market risk, non-performing loan (NPL) as a proxy of credit risk, operation efficiency as a proxy of operational risk and return on assets (ROA) as a proxy of profitability have a significant influence on default risk. Meanwhile, the loan to deposit (LDR) ratio as a proxy of liquidity risk has no significant influence on default risk. Banks need to implement risk management and meet the capital adequacy requirements of regulators so that they are resistant to risk, and also, compliant with bank governance to be able to produce high returns for rural banks have an impact on sustainability and its existence. The ability to identify setbacks in bank conditions and the ability to distinguish between healthy and problematic banks will enable to anticipate default banks.