• The Journal of Industrial Distribution & Business
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• v.9 no.8
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• pp.41-50
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• 2018

Purpose - As an important participant in the financial markets, the commercial bank will be impacted by the interest rate marketization. Owing to the special condition of China, this paper tries to explore the impact of operating mechanisms between interest rate marketization and the profitability of the commercial Bank. Research design, data and methodology - This paper applies time series data from 2005 to 2016. Due to the short period of time series, autocorrelation often occurs. Therefore, the fully modified least squares(FMOLS) will be used to conduct an empirical analysis. The reason is that it can move off the autocorrelation between variables and disturbance term. And FMOLS also can make estimated cointegrating parameters closed to normal distribution. More importantly, in order to avoid spurious regressions, the Augmented Dickey-Fuller Test will be used to verify the stationarity of all variables. The total return of asset is treated as the profitability of commercial bank. The net interest spread is treated as a measurement of interest rate marketization. Both are regarded as dependent variables. The non-interest income or gross revenues and impaired loans or gross loans are treated as independent variables. The sixteen representative listed commercial banks are divided into three categories (state-owned, share-holding and city-owned) to conduct an estimation. Results - Via empirical analysis, the findings show that the net interest spread has a positive effect on the profitability of the commercial bank. More specifically, 1% increase in the net interest spread will lead 0.157% increase in the profitability of state-owned commercial bank, 0.269% increase in the profitability of share-holding commercial bank and 0.263% increase in the profitability of city-owned commercial bank. If regarding the sixteen listed commercial city as a whole, 1% increase in the net interest spread will lead 0.267% increase in the profitability of the commercial bank. Conclusions - As the interest rate marketization, the importance of interest rate on the profitability of commercial bank has become more and more significant. The empirical evidences also prove that the net interest spread can bring about the change of the commercial bank's profitability. Therefore, policy-makers of commercial banks should fully understand the operating mechanism between them.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.3
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• pp.307-318
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• 2021

The objective of this study is to analyze the performance of Islamic banks with the Maqashid Shariah approach. The analysis technique used is the Simple Additive Weighting Method (SAW) to solve multi-attribute decision problems. The sampling technique used was purposive sampling while the data came from the annual report of each bank. The results showed that the BTPN Shariah (BTPNS) and Bank Muamalat Indonesia (BMI) are ranked first and second respectively on the Maqashid Shariah Index (MSI) with values of 0.265429 and 0.237110 respectively. Panin Dubai Shariah Bank (PDSB) ranked third with an MSI value of 0.180733, followed by BCA Shariah which ranked fourth with an MSI value of 0.151299. BRI Shariah ranked fifth with an MSI value of 0.128606, followed by BNI Shariah which ranked sixth with an MSI value of 0.124661. Bank Mega Shariah ranked last with an MSI value of 0.087068. Furthermore, there is a relationship (correlation) between ROE, ROA, and OEOI and MSI since each data has a value of 0.000, 0.000, 0.050, and 0.001 respectively, which is smaller than the significance value of 0.05. On the other hand, NPF, TPF, and Asset Growth Rates do not correlate with the MSI since each data has a value of 0.051, 0.252, and 0.215 respectively which is greater than the significance value of 0.05.

• Economic Analysis
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• v.27 no.1
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• pp.67-90
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• 2021

This study found an interesting fact that the nonlinear relationship structure between volatility and trading volume changed before and after the COVID-19 pandemic according to empirical analysis using Bitcoin (BTC) market data that sensitively reflects investors' trading behavior. That is, their relationship appeared positive (+) in a stable market state before COVID-19 pandemic, as in theory based on the information flow paradigm. In a state under severe market stress due to COVID-19 pandemic, however, their dependence structure changed and even negative (-). This can be seen as a consequence of increased market stress caused by COVID-19 pandemics from a behavioral economics perspective, resulting in structural changes in the asset market and a significant impact on the nonlinear dependence of volatility and trading volume (in particular, their dependence at extreme quantiles). Hence, it should be recognized that in addition to information flows, psychological phenomena such as behavioral biases or herd behavior, which are closely related to market stress, can be a key in changing their dependence structure. For empirical analysis, this study performs a test of Ross (2015) for detecting a structural change, and proposes a Copula Regression Quantiles (CRQ) approach that can identify their nonlinear relationship structure and the asymmetric dependence in their distribution tails without the assumption of i.i.d. random variable. In addition, it was confirmed that when the relationship between their extreme values was analyzed by linear models, incorrect results could be derived due to model specification errors.