Thursday, September 23, 2021
Text Size

Vol. 12, Number 2, 2016

The Impact of the Global Financial Crisis on Australian Banking Efficiency
Milind Sathye
University of Canberra
Mohamed Ariff
Sunway University, Malaysia
University of Indonesia, Jakarta
Abstract Ɩ Full Text
The theory of financial stability postulates that financial institutions in a country experiencing financial crisis would witness productivity losses. This study examined whether they experience productivity losses when there is no crisis, and whether the financial sector is not immune from global economic events. The Australian financial institution efficiency and productivity during 1999-2009 were examined, that is, after the financial system reforms but the test period includes the financial crisis years. Efficiency scores were computed using Stochastic Frontier Analysis and total factor productivity using Malmquist indices. Australian institutions were found to have experienced productivity decline during the global financial crisis. The evidence is just the opposite of the common belief that Australian institutions remained insulated from the crisis. Global economic slowdown can also lead to productivity losses in a country not experiencing severe financial crisis because of the reforms taken long before the crisis to improve prudential oversight of the financial institutions in Australia.
Keywords: Total factor productivity, Cost efficiency, Profit efficiency, Global Financial Crisis, Financial firms size
JEL Classification: G2, O3, G11

Feasibility of Investing in Carbon Efficient Equity Portfolios
Ranjit Singh
Assam University, India
N. M. Leepsa
National Institute of Technology, India
Abstract Ɩ Full Text
The paper investigates the returns and risk given by the carbon efficient equity indices in India, USA, Japan, and Brazil, and compares them with that of their corresponding benchmark market indices. Data with respect to the considered indices were collected from the official websites of the respective stock exchanges. It was found that there was no difference in the return and risk given by the carbon efficient equity indices with that of their benchmark market indices. There was also no substantial difference with respect to the return generated by the carbon efficient equity indices among the four countries. This study is first of its kind and hence original in nature.
Keywords: Carbon Efficient Index, Green Investment, Return, Stock Market, Market Index
Paper type Research paper
JEL Classification: G140, G140, G190

The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries
Azadeh Erfanian , Mohamed Hisham Yahya, and Annuar Md Nassir
University Putra Malaysia, Malaysia
Abstract Ɩ Full Text
This paper provides evidence on how stock market index reacts to releases of market-relevant information by five Middle-eastern and North African country budget and general election results. After estimating the ARMA (1, 2) estimator using daily stock returns over a recent five-year period, it was found that the market price effect over is a 20-day test window. The stock price adjustment to national annual budget announcement is significant, and the speed of adjustment is around two days to announcement. The national general election news attracts a faster adjustment time in all five countries tested. These findings of macro level market price effects from two key events are new to the literature.
Keywords: Market-wide news; Price Adjustment; Market Efficiency; Information Flow, ARMA

Banking Performance Measurement for Indian Banks Using AHP and TOPSIS
Mihir Dash
Alliance University, Bangalore
Abstract Ɩ Full Text
Multi-criteria decision modelling (MCDM) offers a range of procedures for evaluation problems requiring the ranking of a discrete set of alternatives, including the Analytic Hierarchy Process (AHP) and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS). These procedures have been widely applied for banking performance evaluation (Önder & Hepşen, 2013).The present study compared the outcomes of AHP and TOPSIS for evaluation of a sample of 35 Indian banks, including 19 public sector banks and 16 private sector banks. The variables used in the analysis pertained to the financial ratios corresponding to the CAMEL parameters. The weights for different parameters in the CAMEL model were obtained by factor analysis. The results of the study indicated an overall consistency between the rankings, resulting from the models. A significant difference was found in the performance between private sector banks and public sector banks. In particular, banks that were found to be consistently ranked high by both models can be taken as the best performers, and banks that were found to be consistently ranked low by both models can be taken as the worst performers. This would enable regulators and policy makers, on the one hand, to benchmark the performance of banks against that of best performers, and on the other hand, to take steps to improve the performance of worst performers. The results of the study also needed to be examined more carefully to identify the critical performance parameters for banks.
Keywords: multi-criteria decision modelling, AHP, TOPSIS, factor analysis.

Alternative Approach to Determination of Malaysian Economic Behaviour
Alireza Zarei, Lee Ruenn Huah, Sia Jye Ying, and
Ho Chee Kit
Sunway University, Malaysia
Abstract Ɩ Full Text
This study documents significant findings on the determination of Malaysian economic behaviour in relation to its close trading partners. The data series for this study were from Malaysia, the USA, and China, over a 25-year period. The test procedure incorporated a fully specified Auto Regressive Distributed Lag (ARDL) model with optimum lags being identified from high R-Squared value and the absence of serial correlation. The gross domestic product and industrial production indices were accounted for to re-examine a macroeconomic modelling approach to determination of the Malaysian economy. The results affirmed evidence of significant explanatory role of American and Chinese lagged GDP and IPI in determining the Malaysian economy. Our test results further identified a significant long-run interdependence between Malaysian economy and its major trading partners. In our view, these findings, given the appropriate econometric methodology, suggested significant policy implications concerning the timing and accuracy of risk management practices in preventing economic crisis to occur in Malaysia.
Keywords: Economic Behaviour, Structural Breaks, ARDL, Cointegration, Error Correction Mechanism
JEL Classification: N15, E17, O11, C40

Universiti Utara Malaysia Press 
Universiti Utara Malaysia, 06010 UUM Sintok 
Kedah Darul Aman, MALAYSIA 
Phone: +604-928 4815, Fax : +604-928 4792