A comprehensive analysis of the effects of risk measures on bank efficiency: Evidence from emerging Asian countries

Sun, Lei; Chang, Tzu‐Pu

doi:10.1016/j.jbankfin.2010.11.017

Cited by 160 publications

(93 citation statements)

References 40 publications

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“…However, this paper shows that the effects of bank size and ownership on efficiency do not matter. Sun and Chang (2011) study the relationship between risk measures and bank efficiency in eight emerging Asian countries from 2002 to 2008. Based on their results, Chinese banks present relatively higher cost efficiency than those in other emerging Asian countries, except India.…”

Section: Evolution Of Efficiency and Productivity Improvements Of Chimentioning

confidence: 99%

The sources of bank productivity growth in China during 2002–2009: A disaggregation view

Chang

Chou

et al. 2012

Journal of Banking & Finance

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Section: Evolution Of Efficiency and Productivity Improvements Of Chimentioning

confidence: 99%

The sources of bank productivity growth in China during 2002–2009: A disaggregation view

Chang

Chou

et al. 2012

Journal of Banking & Finance

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“…For instance, risk factors in the banking industry of developed and emerging countries have major impacts on bank efficiency, asset quality, and bank soundness. Recent scholars have analyzed individual risk indicators on bank performance (Chiu & Chen, 2009;Liu & Liao, 2013;Sun & Chang, 2011). This paper is organized as follows: section one contains the introduction; section two describes the model specification, data source, and empirical design; and section three presents the empirical results, while conclusions are drawn in section four.…”

Section: Introductionmentioning

confidence: 99%

Deregulation, financial crisis, and bank efficiency in Taiwan: an estimation of undesirable outputs

Liao¹

2018

Pressacademia

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Purpose-This study investigates the undesirable impacts of outputs on bank efficiency and contributes to the literature by assessing how regulation policies and other events impact bank efficiency in Taiwan in regards to deregulation, financial crisis, and financial reform from 1993 to 2011. Methodology-In order to effectively deal with both undesirable and desirable outputs, this study follows Seiford and Zhu (2002), who recommend using the standard data envelopment analysis model to measure performance by increasing the desirable outputs and decreasing the undesirables. Findings-Empirical findings indicate that bank efficiency with undesirable outputs is more prevalent than bank efficiency without undesirable outputs, which implies that undesirable outputs play a key role in hampering bank efficiency. This study result show that the effect of deregulation on bank efficiency decreased during the initial financial reform period. Nevertheless, our empirical evidence shows that financial reform significantly improved bank efficiency in emerging countries in the long run. Conclusion-First, in accounting for both desirable and undesirable output while evaluating and analyzing bank efficiency, it assumes that undesirable outputs operate as non-performing loans and offers a comparison of different results from perspectives that either consider undesirable output within the classical DEA model or do not. The second contribution stems from the fact that the processes of rapid growth and recovery in recent years have given emerging Asian countries undoubtedly key roles in world economics, and studies have responded by analysing data of emerging Asian countries, such as Taiwan. Thirdly, this study contributes to the literature by assessing how regulation policies and other events impact bank efficiency in Taiwan in regards to deregulation, financial crisis, and financial reform.

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“…Moreover, no investigation is made upon the impact of the developed versus the emerging markets, or the impact of operational risk upon share price value. For instance in (Sun and Chang, 2011) there is quantitative operational risk analysis of banks in emerging markets but no comparison is made with developed markets (nor the impact on share value).…”

Section: Literature Review Of Operational Riskmentioning

confidence: 99%

Operational risk: Emerging markets, sectors and measurement

Mitra

Karathanasopoulos

Sermpinis

et al. 2015

European Journal of Operational Research

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Operational risk is currently gaining increasing importance in Finance. Presently, practically all literature has been devoted to operational risk measurement and qualitative management. However, little literature has been devoted to quantifying the impact of operational risk on share prices, yet share value tends to be a key incentive to managing risks. Furthermore the impact of operational risks (e.g. management, internal processes and controls) tends to be a significant barrier to investment in emerging markets.In this paper, we quantify the impact on share prices from operational risk by applying the Single Index Model, which is one of the most recognised and popular models for share pricing in industry. Using monthly stock price data from major stock markets, we show that there exist variations in operational risk across different markets (developed versus emerging markets) as well as across different industry sectors.Our results support the idea that analysing and managing operational risk improves investment performance. In particular, operational risk accounts for significant differences between emerging markets and developed markets in a way that is consistent with current literature on firm specific risk and management in emerging markets. This paper will therefore be of interest to industry, emerging market investors and analysis of operational risks.

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A comprehensive analysis of the effects of risk measures on bank efficiency: Evidence from emerging Asian countries

Cited by 160 publications

References 40 publications

The sources of bank productivity growth in China during 2002–2009: A disaggregation view

The sources of bank productivity growth in China during 2002–2009: A disaggregation view

Deregulation, financial crisis, and bank efficiency in Taiwan: an estimation of undesirable outputs

Operational risk: Emerging markets, sectors and measurement

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