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Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis
Author(s) -
Hooy Chee Wooi,
Tan Hui Boon,
Nassir Annuar Md
Publication year - 2004
Publication title -
asian economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.345
H-Index - 28
eISSN - 1467-8381
pISSN - 1351-3958
DOI - 10.1111/j.1467-8381.2004.00192.x
Subject(s) - financial crisis , financial system , economics , volatility (finance) , business , stock exchange , stock (firearms) , exchange rate , monetary economics , finance , macroeconomics , geography , archaeology
The present study examines the sensitivity of commercial banks’ stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks.