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Determinants of Systematic Risk in Commercial Banks of Pakistan

Author

Listed:
  • Syed Fahad Ali Shah

    (Department of Economics, University of Chitral, Pakistan,)

  • Arif Hussain

    (Institute of Business Studies and Leadership, Abdul Wali Khan University, Mardan, Khyber Pakhtunkhwa, Pakistan,)

  • Muhammad Khan

    (Department of Management Sciences, Abdul Wali Khan University, Mardan, Khyber Pakhtunkhwa, Pakistan,)

  • Julija Jacquemod

    (Department of Business, RISEBA University, Latvia,)

  • Zahir Shah

    (Department of Business Administration, Yeungnam University, South Korea.)

Abstract

Various efforts are made to quantify and explain risk taking behavior including systematic risk with in financial institutions. This study is about determining various factors affecting commercial banks systematic risk in Pakistan. Sample included in the study consisted of twelve commercial banks listed in PSX (Pakistan Stock Exchange), these banks hold 81.3% market share of customer deposits. Data was collected from 2010 to 2016. The systematic risk for this study was calculated through stock beta (SB) and value at risk (VaR). To determine systematic risk the independent variables used are liquidity, firm size, asset quality, firm growth, return on assets, business mix, operating efficiency and loan growth. The result shows that liquidity, asset quality, return on assets and firm size have significant impact on systematic risk of banks in Pakistan.

Suggested Citation

  • Syed Fahad Ali Shah & Arif Hussain & Muhammad Khan & Julija Jacquemod & Zahir Shah, 2020. "Determinants of Systematic Risk in Commercial Banks of Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 125-129.
    • Handle: RePEc:eco:journ1:2020-03-16
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    References listed on IDEAS

    as
    1. Asif Ali & Muhammad Khan & Amir Ishaq & Arif Hussain & Shams Ur Rehman & Imran Ali Khan & Syed Fahad Ali Shah, 2020. "Pakistan Textiles can Bounce Back Vigorously," International Review of Management and Marketing, Econjournals, vol. 10(2), pages 30-40.
    2. Muhammad Ashfaque & Syed Mohsin Ali Shah & Fahad Sultan & Haider Khalil & Arif Hussain & Muhammad Khan, 2020. "Ethical Value Propositions of Islamic Banking Products: A Phenomenological Inquiry of Relationship Managers Perspective," International Review of Management and Marketing, Econjournals, vol. 10(2), pages 8-14.
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    Cited by:

    1. Sattar Khan & Yasir Kamal & Azhar Khan & Arif Hussain & Muhammad Rafiq & Maryam Bibi & Syed Fahad Ali Shah & Zahir Shah & Muhammad Khan, 2020. "The Impact of Ownership Types on the Value of Discretionary Accruals: What is the Role of Audit Committee? Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 141-150.
    2. Muhammad Sarmad & Naeem Ahmad & Muhammad Khan & Muhammad Irfan & Hajira Atta, 2020. "Investigating the Moderating Role of Trust between Social Media Capabilities and Consumer Brand Engagement Across Textile Sector of Pakistan," International Review of Management and Marketing, Econjournals, vol. 10(4), pages 53-62.

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    More about this item

    Keywords

    Systematic risk; Asset quality; Operating efficiency; Business mix;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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