Liquidity risk and bank financial performance: an application of system GMM approach

IF 2 Q2 BUSINESS, FINANCE

Journal of Financial Regulation and Compliance Pub Date : 2022-01-28 DOI:10.1108/jfrc-03-2021-0019

Adamu Yahaya, Fauziah Mahat, Yahya M.H., B. T. Matemilola

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引用次数: 7

Abstract

Purpose This study aims to examine the effect of liquidity risk on deposit money banks’ (DMBs) performance in Sub-Saharan Africa. This study also tests the interaction effect of liquidity risk and nonperforming loans on the performance of DMBs’ in Sub-Saharan Africa. Design/methodology/approach This study uses a two-step system generalized method of moment to test the influence of liquidity risk on DMBs’ performance in Sub-Saharan Africa. A sample of 50 listed banks across six Sub-Saharan African countries, including Nigeria, Ghana, South Africa, Zambia, Kenya and Tanzania, were used. The bank performance proxy used are return on asset and return on equity, while net interest margin is used for robustness check. Findings The study’s findings reveal a significant and negative association between liquidity risk and bank performance. Moreover, the relationship between the nonperforming loan and bank performance is negative and significant. Furthermore, the interaction effect of liquidity risk and nonperforming loans on bank performance is found to be significantly negative for the two proxies of bank performance. The result is robust for the alternative bank performance measurements and econometric model, which adequately addresses endogeneity tendency. Originality/value To the best of the researchers’ knowledge, this is one of the earliest empirical studies that examine the effect of liquidity risk on DMBs’ performance across Sub-Saharan African countries. This study further differs from previous studies with the interaction term of liquidity risk and nonperforming loan included in the model.

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流动性风险与银行财务绩效：系统GMM方法的应用

目的本研究旨在检验流动性风险对撒哈拉以南非洲地区存款银行绩效的影响。本研究还检验了流动性风险和不良贷款对撒哈拉以南非洲DMB绩效的交互作用。设计/方法/方法本研究采用两步系统广义矩方法来检验流动性风险对撒哈拉以北非洲DMB业绩的影响。对尼日利亚、加纳、南非、赞比亚、肯尼亚和坦桑尼亚等六个撒哈拉以南非洲国家的50家上市银行进行了抽样调查。使用的银行业绩指标是资产回报率和股本回报率，而净息差用于稳健性检查。研究结果该研究结果揭示了流动性风险与银行业绩之间的显著负相关。此外，不良贷款与银行绩效之间存在负相关关系。此外，流动性风险和不良贷款对银行绩效的交互作用对于银行绩效的两个指标都是显著负的。这一结果对于替代银行绩效衡量和计量经济模型是稳健的，该模型充分解决了内生性趋势。原创性/价值据研究人员所知，这是最早的实证研究之一，旨在研究流动性风险对撒哈拉以南非洲国家DMB绩效的影响。本研究与以往的研究进一步不同，模型中包含了流动性风险和不良贷款的交互项。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Regulation and Compliance BUSINESS, FINANCE-

CiteScore

2.60

自引率

11.10%

发文量

期刊介绍： Since its inception in 1992, the Journal of Financial Regulation and Compliance has provided an authoritative and scholarly platform for international research in financial regulation and compliance. The journal is at the intersection between academic research and the practice of financial regulation, with distinguished past authors including senior regulators, central bankers and even a Prime Minister. Financial crises, predatory practices, internationalization and integration, the increased use of technology and financial innovation are just some of the changes and issues that contemporary financial regulators are grappling with. These challenges and changes hold profound implications for regulation and compliance, ranging from macro-prudential to consumer protection policies. The journal seeks to illuminate these issues, is pluralistic in approach and invites scholarly papers using any appropriate methodology. Accordingly, the journal welcomes submissions from finance, law, economics and interdisciplinary perspectives. A broad spectrum of research styles, sources of information and topics (e.g. banking laws and regulations, stock market and cross border regulation, risk assessment and management, training and competence, competition law, case law, compliance and regulatory updates and guidelines) are appropriate. All submissions are double-blind refereed and judged on academic rigour, originality, quality of exposition and relevance to policy and practice. Once accepted, individual articles are typeset, proofed and published online as the Version of Record within an average of 32 days, so that articles can be downloaded and cited earlier.