Email this article PROFIT EFFICIENCY AND LIQUIDITY RISK: LESSONS FROM MALAYSIA (Kecekapan Keuntungan dan Risiko Kecairan: Konteks Malaysia)
Abstract
ABSTRACT
This study investigates the relationship between profit efficiency and liquidity risk for Malaysian banks involving 16 Islamic and 26 conventional banks from 1995 to 2015. Profit efficiency scores are estimated using the Stochastic Frontier Approach (SFA), while liquidity risks are measured by the Basel III liquidity risk requirements: liquidity coverage ratio (LCR) and net stable funding ratio (NSFR). The results show that the profit efficiency of both Islamic and conventional banks is positively related to liquidity risk in the short run. However, the negative effect of profit efficiency on liquidity risk is only present in Islamic banks in the long run. The findings highlight two important notions: (1) The effect of profit efficiency on liquidity risk is sensitive to the term of liquidity; and (2) profit efficiency requires time to reduce liquidity risk in banking.
ABSTRAK
Kajian ini menyelidik hubungan antara kecekapan keuntungan dan risiko kecairan bagi institusi perbankan di Malaysia yang melibatkan 16 institusi perbankan Islam dan 26 institusi perbankan konvensional dari tahun 1995 hingga 2015. Skor kecekapan keuntungan dianggar melalui Pendekatan Sempadan Stokastik (SFA), manakala risiko kecairan dianggar menggunakan ukuran risiko kecairan Basel III, iaitu, nisbah perlindungan kecairan (LCR) dan nisbah pembiayaan stabil bersih (NSFR). Keputusan kajian mendapati bahawa kecekapan keuntungan kedua-dua institusi perbankan Islam dan konvensional berhubungan positif dengan risiko kecairan jangka pendek. Walau bagaimanapun, hubungan negatif antara kecekapan keuntungan dan risiko kecairan jangka panjang hanya terdapat dalam isntitusi perbankan Islam. Penemuan ini menunjukkan dua inferens penting: (1) Kesan kecekapan keuntungan ke atas risiko kecairan adalah sensitif kepada terma kecairan sama ada jangka pendek atau panjang; dan (2) impak kebaikan kecekapan keuntungan bank memerlukan satu sela masa jangka panjang untuk mengurangkan risiko kecairan.
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DOI: http://dx.doi.org/10.17576/JH-2022-1401-07
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