SAUDI ARABIAN COMMERCIAL BANKS’ MARKET-RISK SENSITIVITY: A VIEW THROUGH ROLLING SUB- SAMPLES
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 4
Abstract
Using data collected from the Saudi Arabian TadawulStock Exchange, this paper analyses 11 publically listed bank risk-return relationships during 2008-2011. The contribution of this paper provides a more refined technique, a rolling beta, to accurately capture daily valuation swings caused by market-moving events over time. Alpha values are calculated using the CAPM enabling more dynamic risk-return valuations to emerge. These valuations identified three key phases of varying bank stock market activity and sector market valuations previously unrecognized when using the single linear beta value.These results suggest that in general, despite the relative instability within and between Saudi banks during the turbulent GFC, the contribution of SAMA strict regulations (and the banks themselves) ensured a less tempestuous performance within the Saudi banking sector overall, compared to the devastating impact that shook, and continues to shake, the banking sectors of the industrialized countries today. In addition, this analysis surprisingly reveals thatinvestment opportunities are presently re-emerging in the Saudi banks contrary to present global banking happenings and international contagion amongst other foreign countries’ banking sectors.
Authors and Affiliations
Bruce Q. Budd| Associate Professor of Finance, College of Business, Alfaisal University, College of Business Alfaisal University Takhassusi Street Riyadh 11533, Kingdom of Saudi Arabia P.O Box 50927, Firas Ali Al-Sugair| College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia, Abdulmalik Ibrahim Al-Salloum| College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia
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