Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand

The East Asian Financial crisis started at the beginning of July 1997. The crisis had a major impact on the banking industries in East Asian resulting in significant structural changes taking place in the banking sectors of the crisis-affected countries. This paper expands on the ideas of an earl...

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Main Author:	Soh, Wei Ni
Format:	Thesis
Language:	English English
Published:	2009
Subjects:	Risk management - East Asia Banks and banking - East Asia Hedging (Finance)
Online Access:	http://psasir.upm.edu.my/id/eprint/9853/1/FEP_2009_6_A.pdf
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id	my-upm-ir.9853
record_format	uketd_dc
spelling	my-upm-ir.98532013-05-27T07:44:03Z Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand 2009-08 Soh, Wei Ni The East Asian Financial crisis started at the beginning of July 1997. The crisis had a major impact on the banking industries in East Asian resulting in significant structural changes taking place in the banking sectors of the crisis-affected countries. This paper expands on the ideas of an earlier paper titled “Abnormal Returns of Bank stocks and their Factor-Analyzed Determinants” written by Cheng and Ariff (2007). This paper also attempts to analyze the Earnings Response Coefficients (ERC) for four (4) selected East Asian countries’ commercial banks and the effect of financial risks on the earnings response after the crisis and bank restructuring. This study uses the earnings response methodology and applies Sharpe’s Market Model, naive expectation model and factored principal components analyses. The countries selected are Thailand, Korea, Indonesia and Philippine and data resources are mainly accessed from the monthly closing prices in Bankscope financial data, Company Annual Reports, and the annual earnings announcements obtained from various Stock Exchange Central web-sites from 2000 to 2008. The findings show that Korea and Indonesian’s credit risk factors are significantly affecting their ERC and this is consistent with the results obtained for Malaysia by Cheng and Ariff (2007). Whereas additional interest risk factor and solvency factor are also significantly affecting Thailand’s ERC, surprisingly results from the Philippine’s show that their risk factors are not significantly affected because they are closely linked with the US and they are least affected by the financial crises. The findings provide new evidences on the effect of financial risk on ERC in banks’ stocks of East Asian countries with unique historical backgrounds and financial authorities’ policy decisions. Risk management - East Asia Banks and banking - East Asia Hedging (Finance) 2009-08 Thesis http://psasir.upm.edu.my/id/eprint/9853/ http://psasir.upm.edu.my/id/eprint/9853/1/FEP_2009_6_A.pdf application/pdf en public masters Universiti Putra Malaysia Risk management - East Asia Banks and banking - East Asia Hedging (Finance) Faculty of Economics and Management English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
topic	Risk management - East Asia Banks and banking - East Asia Hedging (Finance)
spellingShingle	Risk management - East Asia Banks and banking - East Asia Hedging (Finance) Soh, Wei Ni Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
description	The East Asian Financial crisis started at the beginning of July 1997. The crisis had a major impact on the banking industries in East Asian resulting in significant structural changes taking place in the banking sectors of the crisis-affected countries. This paper expands on the ideas of an earlier paper titled “Abnormal Returns of Bank stocks and their Factor-Analyzed Determinants” written by Cheng and Ariff (2007). This paper also attempts to analyze the Earnings Response Coefficients (ERC) for four (4) selected East Asian countries’ commercial banks and the effect of financial risks on the earnings response after the crisis and bank restructuring. This study uses the earnings response methodology and applies Sharpe’s Market Model, naive expectation model and factored principal components analyses. The countries selected are Thailand, Korea, Indonesia and Philippine and data resources are mainly accessed from the monthly closing prices in Bankscope financial data, Company Annual Reports, and the annual earnings announcements obtained from various Stock Exchange Central web-sites from 2000 to 2008. The findings show that Korea and Indonesian’s credit risk factors are significantly affecting their ERC and this is consistent with the results obtained for Malaysia by Cheng and Ariff (2007). Whereas additional interest risk factor and solvency factor are also significantly affecting Thailand’s ERC, surprisingly results from the Philippine’s show that their risk factors are not significantly affected because they are closely linked with the US and they are least affected by the financial crises. The findings provide new evidences on the effect of financial risk on ERC in banks’ stocks of East Asian countries with unique historical backgrounds and financial authorities’ policy decisions.
format	Thesis
qualification_level	Master's degree
author	Soh, Wei Ni
author_facet	Soh, Wei Ni
author_sort	Soh, Wei Ni
title	Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
title_short	Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
title_full	Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
title_fullStr	Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
title_full_unstemmed	Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand
title_sort	effect of financial risk on the earnings response of bank in indonesisa, the philippines, south korea and thailand
granting_institution	Universiti Putra Malaysia
granting_department	Faculty of Economics and Management
publishDate	2009
url	http://psasir.upm.edu.my/id/eprint/9853/1/FEP_2009_6_A.pdf
_version_	1747811008497319936

Effect of Financial Risk on the Earnings Response of Bank in Indonesisa, the Philippines, South Korea and Thailand

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