The Impact of Basel II’s Three Major Risks on Cost Efficiency of Banking - A Case Study of Malaysia and Indonesia

• Main Authors: Yen-Lin Pan, 潘彥霖
• Other Authors: CHENG, CHENG-PING
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/t4799p

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === In order to understand the development of financial industry in Southeast Asia and the impact of Basel II on the cost efficiency of banking in Southeast Asia, this study takes Malaysia and Indonesia as an example. In this study, Bartese and Coelli (1995) Border Law (SFA) were used to estimate the cost efficiency of banks in the two countries, and to analyze the impact of the three major risks of Basel II on the cost efficiency of the banking industry. Huang et al.(2014), to compare the difference between the technology gap ratio and the common cost efficiency of the Malaysian and Indonesian banking industries at the common cost boundary to assess the cost efficiency of the banking industry in both countries. The empirical results show that: (1) Credit risk: Bank of Malaysia and Bank of Indonesia credit risk and inefficiency was a significant relationship, credit risk increases, need to pay high capital costs, which will significantly reduce the cost of bank efficiency. (2) Market risk: Bank of Malaysia and Bank of Indonesia market risk and inefficiency was a significant positive, but not significant. (3) Operational risk: Bank of Malaysia and Bank of Indonesia operating risk and inefficiency was a significant positive relationship, indicating that operational risk increases, the operating costs will increase, will reduce its cost efficiency. From the perspective of random aggregate border cost estimates, the Bank of Malaysia performed better than Indonesian banks between 2009 and 2013 in terms of technology gap ratio (TGR), and in terms of common cost efficiency (MCE), it also showed that Bank of Malaysia performed better than Indonesian banks, The average cost-effectiveness of the Bank of Malaysia was stable from 2009 to 2013, this shows that Malaysia after the Asian financial turmoil to open a series of bank tide, creating a relatively sound financial competition environment.