Determinants of Systematic Risk in Commercial Banks of Pakistan
Various efforts are made to quantify and explain risk taking behavior including systematic risk with in financial institutions. This study is about determining various factors affecting commercial banks systematic risk in Pakistan. Sample included in the study consisted of twelve commercial banks l...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2020-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/9794 |
| _version_ | 1797918168050565120 |
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| author | Syed Fahad Ali Shah Arif Hussain Muhammad Khan Julija Jacquemod Zahir Shah |
| author_facet | Syed Fahad Ali Shah Arif Hussain Muhammad Khan Julija Jacquemod Zahir Shah |
| author_sort | Syed Fahad Ali Shah |
| collection | DOAJ |
| description |
Various efforts are made to quantify and explain risk taking behavior including systematic risk with in financial institutions. This study is about determining various factors affecting commercial banks systematic risk in Pakistan. Sample included in the study consisted of twelve commercial banks listed in PSX (Pakistan Stock Exchange), these banks hold 81.3% market share of customer deposits. Data was collected from 2010 to 2016. The systematic risk for this study was calculated through stock beta (SB) and value at risk (VaR). To determine systematic risk the independent variables used are liquidity, firm size, asset quality, firm growth, return on assets, business mix, operating efficiency and loan growth. The result shows that liquidity, asset quality, return on assets and firm size have significant impact on systematic risk of banks in Pakistan.
Keywords: Systematic risk, Asset quality, Operating efficiency, Business mix
JEL Classifications: G21, G32
DOI: https://doi.org/10.32479/ijefi.9794
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| first_indexed | 2024-04-10T13:25:12Z |
| format | Article |
| id | doaj.art-de59241c39e941cc92807d758a079c05 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:25:12Z |
| publishDate | 2020-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-de59241c39e941cc92807d758a079c052023-02-15T16:11:53ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382020-04-011034513Determinants of Systematic Risk in Commercial Banks of PakistanSyed Fahad Ali ShahArif HussainMuhammad Khan0Julija JacquemodZahir ShahAbdul Wali Khan University Mardan, Pakistan Department of Management Sciences Various efforts are made to quantify and explain risk taking behavior including systematic risk with in financial institutions. This study is about determining various factors affecting commercial banks systematic risk in Pakistan. Sample included in the study consisted of twelve commercial banks listed in PSX (Pakistan Stock Exchange), these banks hold 81.3% market share of customer deposits. Data was collected from 2010 to 2016. The systematic risk for this study was calculated through stock beta (SB) and value at risk (VaR). To determine systematic risk the independent variables used are liquidity, firm size, asset quality, firm growth, return on assets, business mix, operating efficiency and loan growth. The result shows that liquidity, asset quality, return on assets and firm size have significant impact on systematic risk of banks in Pakistan. Keywords: Systematic risk, Asset quality, Operating efficiency, Business mix JEL Classifications: G21, G32 DOI: https://doi.org/10.32479/ijefi.9794 https://econjournals.com/index.php/ijefi/article/view/9794 |
| spellingShingle | Syed Fahad Ali Shah Arif Hussain Muhammad Khan Julija Jacquemod Zahir Shah Determinants of Systematic Risk in Commercial Banks of Pakistan International Journal of Economics and Financial Issues |
| title | Determinants of Systematic Risk in Commercial Banks of Pakistan |
| title_full | Determinants of Systematic Risk in Commercial Banks of Pakistan |
| title_fullStr | Determinants of Systematic Risk in Commercial Banks of Pakistan |
| title_full_unstemmed | Determinants of Systematic Risk in Commercial Banks of Pakistan |
| title_short | Determinants of Systematic Risk in Commercial Banks of Pakistan |
| title_sort | determinants of systematic risk in commercial banks of pakistan |
| url | https://econjournals.com/index.php/ijefi/article/view/9794 |
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