Next Article in Journal
Short-Selling and Financial Performance of SMEs in China: The Mediating Role of CSR Performance
Next Article in Special Issue
CEO Turnovers: Transparency of Announcements and the Outperformance Puzzle
Previous Article in Journal
Exploring Investment Behavior of Women Entrepreneur: Some Future Directions
Previous Article in Special Issue
Earnings Management of Insolvent Firms and the Prediction of Corporate Defaults via Discretionary Accruals
Article

Revisiting Banking Stability Using a New Panel Cointegration Test

1
Department of Economics, Umm Al-Qura University, KSA, Makkah 24230, Saudi Arabia
2
Department of Finance, Higher Colleges of Technology, Dubai 25026, United Arab Emirates
3
Department of Economics and Finance, College of Business Administration, University of New Orleans, New Orleans, LA 70148, USA
*
Author to whom correspondence should be addressed.
§
Current Address: Quantitative Solutions for Economics Research, 91260 Paris, France.
Academic Editor: Rob Hull
Int. J. Financial Stud. 2021, 9(2), 21; https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9020021
Received: 1 February 2021 / Revised: 12 March 2021 / Accepted: 24 March 2021 / Published: 7 April 2021
(This article belongs to the Special Issue Studies in Corporate Finance)
Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show that even when we consider the cross-section dependency and serial correlation of the errors, there is a possibility of a long-run relationship, which holds in our sample of banks. Furthermore, in the medium term, we found some banks to be integrated, whereas others were non-cointegrated. We interpret this to suggest that some banks contribute to banking stability, whereas others do not. In other words, there exists at least one bank that acts as a destabilizer and the challenge for financial regulators is to identify which banks these are. However, the current version of the Hadri et al. test does not allow for the identification of the non-cointegrated banks. If the test was able to do that, the regulatory authorities would be able to develop corrective policies/measures specifically tailored to the non-cointegrated units. View Full-Text
Keywords: panel cointegration; banking stability; z-score panel cointegration; banking stability; z-score
MDPI and ACS Style

Ghassan, H.B.; Boulanouar, Z.; Hassan, K.M. Revisiting Banking Stability Using a New Panel Cointegration Test. Int. J. Financial Stud. 2021, 9, 21. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9020021

AMA Style

Ghassan HB, Boulanouar Z, Hassan KM. Revisiting Banking Stability Using a New Panel Cointegration Test. International Journal of Financial Studies. 2021; 9(2):21. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9020021

Chicago/Turabian Style

Ghassan, Hassan B., Zakaria Boulanouar, and Kabir M. Hassan 2021. "Revisiting Banking Stability Using a New Panel Cointegration Test" International Journal of Financial Studies 9, no. 2: 21. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9020021

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop