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Does co-integration and causal relationship exist between the non-stationary variables for Chinese bank’s profitability? Empirical evidence

Author

Listed:
  • Mondher bellalah
  • Olivier Levyne
  • Omar Masood

    (THEMA, Universite de Cergy-Pontoise
    Institue Superieur de Commerce de Paris, ISC Paris
    Royal Business School, University of East London)

Abstract

This study aims to give the analysis of the determinants of banks’ profitability in the Kingdom of China over the period starting 2003. The paper investigates the co-integration and causal relationship between total assets (TA) and total equity (TE) of Saudi banks. The analysis employs Augmented Dickey Fuller (ADF) test, Johansen’s cointegration test, Granger causality test. Analyzing the cointegration and other tests on Saudi Arabian banking sector over the study period, the relationships between the two variables are examined. The empirical results have found strong evidence that the variables are co-integrated.

Suggested Citation

  • Mondher bellalah & Olivier Levyne & Omar Masood, 2013. "Does co-integration and causal relationship exist between the non-stationary variables for Chinese bank’s profitability? Empirical evidence," THEMA Working Papers 2013-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:2013-14
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    More about this item

    Keywords

    Banking; bank profitability; total assets; total equity; co-integration.;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F30 - International Economics - - International Finance - - - General
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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