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
Keywords
Related Articles
- EP ID EP1798
- DOI -
- Views 525
- Downloads 67
TRANSACTION COSTS, MULTIPLE EQUILIBRIA, AND THE MUNDELL PROPOSITION
This paper inserts Coase (1937) assertion into Mundell (1963) model. That is, investigating the robustness of Mundell (1963) proposition with the consideration of transaction costs in the labor market. The result shows t...
THE EFFECT OF CORPORATE GOVERNANCE ON FIRM PERFORMANCE, EVIDENCE FROM EGYPT
Corporate governance is well thought-out to have major implications for the growth prediction of an economy. Fine corporate governance practices are viewed as important in decreasing risk for investors; catch the attenti...
ECONOMETRIC ANALYSIS OF EXCHANGE RATE AND EXPORT PERFORMANCE IN A DEVELOPING ECONOMY
The study investigated the causal relationship between currency exchange rate (EXR) and export growth (EXP) in Nigeria, Africa?s largest economy and most populous nation. The study used econometric tools for the analysis...
COST AND PROFIT EFFICIENCY AND MANAGEMENT BEHAVIOUR OF COMMERCIAL BANKS (EVIDENCE FROM TANZANIA)
Using non-parametric technique (the Data Envelopment Analysis - DEA) for data from 1998 to 2011, we investigate the cost and profit efficiency and management behaviour of 25 Tanzanian commercial banks. We examine the inf...
FINANCIAL MUTATIONS AND FRAGILITY OF THE TUNISIAN BANKS
Our study shows that financial liberalization has been followed by a profound transformation and banking system fragility. Our investigation test seeks to determine the fragility index of the Tunisian banking system over...