scholarly journals Measuring the evolution of competition and the impact of the financial reform in the Mexican banking sector, 2008-2019

2021 ◽  
Author(s):  
Enrique Bátiz-Zuk ◽  
José Luis Lara Sánchez
Keyword(s):  
Market Power ◽  
Banking Sector ◽  
Financial Reform ◽  
Average Effect ◽  
Competition Intensity ◽  
Time Frequency ◽  
Markov Switching Models ◽  
Switching Models ◽  
Regression Techniques ◽  
The Impact

This paper analyzes the monthly evolution of bank competition in Mexico from 2008 to 2019 using different measures. Subsequently, we analyze whether the 2014 financial reform had an effect on some of our competition measures. We use ordinary and quantile regression techniques and Markov switching models to identify changes in regimes. We find partial empirical evidence supporting the idea that the reform had a positive average effect and increased banks competition intensity during a few years. However, we also document heterogeneity as some large banks benefited from an increase in their market power. We perform several robustness tests and report that our measures lead to values that are congruent and similar to those available in the literature. The main policy lesson of our research is that regulators could benefit from the monitoring of competition evolution using a finer time frequency.

COMPETITION-STABILITY RELATIONSHIP IN DUAL BANKING SYSTEMS: EVIDENCE FROM EFFICIENCY-ADJUSTED MARKET POWER

2021 ◽  
pp. 1-24
Author(s):  
MUDEER AHMED KHATTAK ◽  
OMAR ALAEDDIN ◽  
MOUTAZ ABOJEIB
Keyword(s):  
Market Power ◽  
Financial Stability ◽  
Banking Sector ◽  
Market Competition ◽  
Policy Implications ◽  
Islamic Banks ◽  
Banking Competition ◽  
Precise Measure ◽  
Conventional Banks ◽  
The Impact

This research attempts to explore the impact of banking competition on financial stability employing a more precise measure of market power. It was found that Islamic banks are less stable and are enjoying lower market power. The analysis shows that higher market competition makes the banking sector vulnerable to defaults, supporting the “competition-fragility view”. This research finds no difference in the relationship for Islamic banks indicates that Islamic banks might be involved in traditional banking activities as conventional banks. The results are consistent and robust to different estimation approaches and subsamples. This research carries regulatory and policy implications.

scholarly journals Testing an Algorithm with Asymmetric Markov-Switching GARCH Models in US Stock Trading

Symmetry ◽  
2021 ◽  
Vol 13 (12) ◽  
pp. 2346
Author(s):  
Oscar V. De la Torre-Torres ◽  
Dora Aguilasocho-Montoya ◽  
José Álvarez-García
Keyword(s):  
Markov Switching ◽  
Stock Index ◽  
Garch Models ◽  
Algorithmic Trading ◽  
Stock Trading ◽  
Markov Switching Models ◽  
Switching Models ◽  
Asymmetric Garch ◽  
The Impact ◽  
T Distribution

In the present paper, we extend the current literature in algorithmic trading with Markov-switching models with generalized autoregressive conditional heteroskedastic (MS-GARCH) models. We performed this by using asymmetric log-likelihood functions (LLF) and variance models. From 2 January 2004 to 19 March 2021, we simulated 36 institutional investor’s portfolios. These used homogenous (either symmetric or asymmetric) Gaussian, Student’s t-distribution, or generalized error distribution (GED) and (symmetric or asymmetric) GARCH variance models. By including the impact of stock trading fees and taxes, we found that an institutional investor could outperform the S&P 500 stock index (SP500) if they used the suggested trading algorithm with symmetric homogeneous GED LLF and an asymmetric E-GARCH variance model. The trading algorithm had a simple rule, that is, to invest in the SP500 if the forecast probability of being in a calm or normal regime at t + 1 is higher than 50%. With this configuration in the MS-GARCH model, the simulated portfolios achieved a 324.43% accumulated return, of which the algorithm generated 168.48%. Our results contribute to the discussion on using MS-GARCH models in algorithmic trading with a combination of either symmetric or asymmetric pdfs and variance models.

scholarly journals The Relationship between Market Power and Income Diversity with Ownership Structure as a Moderator – A Study of Vietnamese Commercial Banks

2019 ◽  
pp. 1-16
Author(s):  
Tin Ho ◽  
Quy Vo
Keyword(s):  
Market Power ◽  
Ownership Structure ◽  
Commercial Banks ◽  
Banking Sector ◽  
Panel Data Analysis ◽  
State Ownership ◽  
Operating Income ◽  
Interest Income ◽  
The Impact ◽  
The Relationship

The Project on Restructuring the Credit Institution System in the first period from 2011 to 2015 and the second period from 2016 to 2020 emphasizes the important role of reducing the relying on traditional activities and increase the share of income from non-credit services. The level of non-interest income, per contra, varies from bank to bank. The paper, therefore, was conducted to examine the relationship between market power and income diversity by using a sample of 26 commercial banks during 2007 to 2017. The market power was proxied by both conventional and adjusted Lerner index; the quotient of non-interest income to total operating income represents the income diversity; and ownership structure, treated as a dummy variable, plays a role as moderator this relationship. Additionally, bank characteristics and country characteristics were considered to be control and dummy variables in the research model. Based on panel data analysis with GMM estimator, the results point out that the bank with greater market power can generate more non-interest income. This relationship, moreover, is impacted by ownership structure, which explains the activities managers and owners do in a bank. For more specific, this paper also highlights the positive impact of state ownership on the association between bank market power and its income diversity. The findings are expected to add the gap in the existing literature, lacking of investigation the impact of market power on bank income diversity in Vietnamese banking sector and give some useful implications for investors, bank managers as well as policy makers to catch up the market fluctuations.

scholarly journals Market power and performance: An Islamic banking perspective

2018 ◽  
Vol 15 (3-1) ◽  
pp. 163-171
Author(s):  
Bahaa Sobhi AbdeLatif Awwad
Keyword(s):  
Market Power ◽  
Banking Sector ◽  
Islamic Banking ◽  
Islamic Banks ◽  
Gcc Countries ◽  
Standard Models ◽  
And Performance ◽  
The Impact

This study aims to test the theories of market power and its role in interpreting the performance of Islamic banks in the GCC countries. Based on data from 22 Islamic banks for the period 2012-2017, using standard models, market power theories were unable to explain the returns of Islamic banks in the Gulf. Accordingly, these results deny the existence of an impact of monopoly in the structure of the Islamic banking sector in the performance of this sector, as well as the impact of traditional efficiency in its performance.

Organizational Justice and Employee Sustainability: The Mediating Role of Organizational Commitment

2020 ◽  
Vol 3 (3) ◽  
pp. 12-22
Author(s):  
Mehreen Fatima ◽  
Zeeshan Izhar ◽  
Zaheer Abbas Kazmi
Keyword(s):  
Organizational Commitment ◽  
Organizational Justice ◽  
Developing Country ◽  
Design Methodology ◽  
Direct Relationship ◽  
Banking Sector ◽  
Mediating Role ◽  
Research Gap ◽  
The Impact

Purpose- The primary purpose of the study is to determine the impact of organizational justice (OJ) on employee sustainability. Along with that, it also describes how organizational commitment mediates this direct relationship. This study includes all dimensions of OJ which are distributive, procedural and interactional (interpersonal & informational) within the context of a developing country (Pakistan). Design/Methodology- This study has considered employees working in the banking sector of Pakistan. Two hundred ten questionnaires were received back from employees. Regression analysis was used to analyze direct relationships between variables, while smart partial least squares (PLS) were used for mediation analysis. Findings- Results demonstrated that all hypothesis were accepted and it was also confirmed that organizational commitment (OC) mediates the direct relationship between OJ and employee sustainability (ES). Originality/value- Multidimensional construct of organizational justice was tested in this study, in the context of a developing country (Pakistan), to address the research gap.

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