Bank reforms, foreign ownership, and financial stability

Lee, Chien‐Chiang; Hsieh, Meng‐Fen

doi:10.1016/j.jimonfin.2013.09.001

Cited by 114 publications

(53 citation statements)

References 48 publications

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“…Computed as the ratio of a bank's leverage (capital on assets) and the mean of its on the volatility of its , this risk measure has been conceived from the concept of a bank's probability of default (Boyd and Graham, 1986;Hannan and Hanweck, 1988;Boyd and Runkle, 1993;. It is often applied either to measure the banking system stability (Lee and Hsieh, 2014) or the individual probability of default of banks (Laeven and Levine, 2009;Fiordelisi and Salvatore Mare, 2014;Williams, 2014).…”

Section: Standard Deviations Of Returns On Assets (mentioning

confidence: 99%

“…Estimating the empirical mean and empirical standard deviation of only on a part of the time sample (2, 3, 4 or 5 years) and rolling these calculus on this time window on the rest of the sample make the Z-score more sensitive and therefore more fluctuating (Anginer et al, 2014;Williams, 2014;among others Lee and Hsieh, 2014).…”

Section: Std( )mentioning

confidence: 99%

“…Many papers in banking literature treat the risk of banks using a Z-score with in level instead of average in the numerator, and standard deviation on rolling window (Lee and Hsieh, 2014;Chortareas et al, 2012) or on entire time sample (Niu, 2012) in the denominator.…”

Section: Std( )mentioning

confidence: 99%

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On the Consistency of the Z-Score to Measure the Bank Risk

Lapteacru

2016

SSRN Journal

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This paper raises questions about the consistency of the Z-score, which is the most applied accounting-based measure of bank risk. In spite of its advantage, namely the concept of risk on which it relies, the traditional formula is precisely inconsistent with its own concept. The Z-score is deduced from the probability that bank's losses exceed its capital, but under the very unrealistic assumption of normally distributed returns on assets. Consequently, we show that the traditional Z-score fails to consider correctly the distribution of banks' returns. To make the Z-score consistent and preserve its original concept of risk, we propose more flexible distribution functions. Between skew normal and stable distributions, we prove that the latter fits the best the distribution of banks' returns and therefore provides more reliable results for the Z-score. An application on the experience of the Central and Eastern European banks confirms this theoretical prove. JEL classification: G21

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Section: Standard Deviations Of Returns On Assets (mentioning

confidence: 99%

Section: Std( )mentioning

confidence: 99%

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On the Consistency of the Z-Score to Measure the Bank Risk

Lapteacru

2016

SSRN Journal

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“…In particular, our model tests the influence of our control factors and independent variables, considering bank j at time t, controlling for fixed-year effects (λ t ), country-level random effects u (1) In the second regression model, used to test hypothesis 2, the dependent variable is the credit risk's graph accuracy index. Following previous studies (e.g., Poon and Firth, 2005;Shehzad et al, 2010;Delis and Kouretas, 2011;Lee and Hsieh, 2014), we used two alternative measures to estimate the level of bank credit risk: impaired loans to gross 12 loans and loan loss reserve to impaired loans. The impaired loans to gross loans ratio assesses the quality of the loans that a bank has on its books and its ability to mitigate credit risk.…”

Section: Empirical Modelmentioning

confidence: 99%

Does graphical reporting improve risk disclosure? Evidence from European banks

Jones

Melis

Gaia

et al. 2018

JAAR

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If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation.*Related content and download information correct at time of download. Does Graphical Reporting Improve Risk Disclosure? Evidence from European BanksPurpose: This study examines the voluntary disclosure of risk-related issues, with a focus on credit risk, in graphical reporting for listed banks in the major European economies. It aims to understand if banks portray credit risk-related information in graphs accurately and whether these graphs provide incremental, rather than replicative, information. It also investigates whether credit risk-related graphs provide a fair representation of risk performance or a more favourable impression than is warranted.Design/Methodology/Approach: A graphical accuracy index was constructed. Incremental information was measured. A multi-level linear model investigated whether credit risk affects the quantity and quality of graphical credit risk disclosure.Findings: Banks used credit risk graphs to provide incremental information. They were also selective, with riskier banks less likely to use risk graphs. Banks were accurate in their graphical reporting, particularly those with high levels of credit risk. These findings can be explained within an impression management perspective taking into account human cognitive biases. Preparers of risk graphs seem to prefer selective omission over obfuscation via inaccuracy. This probably reflects the fact that individuals, and by implication annual report's users, generally judge the provision of inaccurate information more harshly than the omission of unfavourable information. Research limitations/implications:This study provides theoretical insights by pointing out the limitations of a purely economics-based agency theory approach to impression management. Practical implications:The study suggests annual reports' readers need to be careful about subtle forms of impression management, such as those exploiting their cognitive bias. Regulatory and professional bodies should develop guidelines to ensure neutral and comparable graphical disclosure.Originality/Value: This study provides a substantive alternative to the predominant economic perspective on impression management in corporate reporting, by incorporating ...

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“…A. -Stock market return volatility .... 70 the markets (Ibrahim, 2005), helps attain economic prosperity (Lee & Hsieh, 2014;Lee, Huang, & Yin, 2013), and decreases the cost of capital (Odell & Ali, 2016). But on account of contagion impact of crises, the national markets grip shocks rapidly through an increased volatility spillover.…”

Section: Introductionmentioning

confidence: 99%

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

2017

J. Islam. bus. manag.

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KeywordsReturn Spillover Index Volatility Spillover Index Religion CultureReceived: 15 January 2017 Accepted: 06 June 2017Abstract. As integration is related to systemic risk and rewards in the stock markets, it is coupled with both weak and semi-strong forms of efficiency. Little evidence is found on return and volatility spillover within the Muslim country markets. This study investigates if the Muslim majority countries are interconnected with each other through returns and volatility spillovers among the stock markets for the span of about twenty years from July 1996 to February 2016. Vector Autoregressive (VAR) method as applied by Diebold and Yilmaz (2009) has been used to find the static and dynamic spillover indices of nine countries with religious similarity in 80% of the population and their three developed counterparts. We found overall significant spillovers; returns connectedness was 36.5% and volatility connectedness 22.4%. The study did not find any outright integration or evidence of spillover from developed markets to the Muslim majority group. However, US and Japan caused returns and volatility shocks respectively. In dynamic analysis, both returns and volatility spillover showed a gentle and stable increase in integration. Moreover, volatility spillover responded not only to the major global financial crises but also to the Arab Spring. These findings have major implications for diversified investment in the global financial market.

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Bank reforms, foreign ownership, and financial stability

Cited by 114 publications

References 48 publications

On the Consistency of the Z-Score to Measure the Bank Risk

On the Consistency of the Z-Score to Measure the Bank Risk

Does graphical reporting improve risk disclosure? Evidence from European banks

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

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