The Comparison of Volatility Persistence between Malaysia Conventional Banks and Malaysia Islamic Banks
| dc.contributor.author | Sim Pey Ning | |
| dc.date.accessioned | 2026-10-19T03:15:06Z | |
| dc.date.issued | 2018 | |
| dc.description | This study aims to investigate the financial stability of Malaysian banking industry by examining the volatility persistence of conventional banks and Islamic banks in Malaysia. It involves multistage approach to estimate the volatility persistence. This research provides empirical estimate of volatility persistence using the ARCH family models, which includes GARCH, ARCH-in-mean, and GJR models. This research used the methodology which extends traditional GARCH models to a panel data context. The ARCH family models were applied to estimate the volatility persistence of cost to income ratio, return on assets, loan to deposit ratio, equity to total assets ratio, and credit risk. The data were collected from banks’ annual reports and financial statements, over the period of 2008 to 2015, which includes the crisis period. The data of this research cover most of the conventional banks and Islamic banks in Malaysia depending on data availability. The estimation results of this research conclude that the nature of conventional banks and Islamic banks is different conceptually. However, the results of this research suggest that the volatility persistence of Islamic banks is similar to that of conventional banks in current financial system in Malaysia, which implies that conventional banks are similar to Islamic banks in financial stability. | |
| dc.identifier.uri | https://scholarhub.unimas.my/handle/123456789/3143 | |
| dc.language.iso | English | |
| dc.publisher | UNIVERSITI MALAYSIA SARAWAK | |
| dc.relation.ispartofseries | Faculty of Economics and Business | |
| dc.subject | Financial stability, volatility persistence, ARCH family models, panel data | |
| dc.title | The Comparison of Volatility Persistence between Malaysia Conventional Banks and Malaysia Islamic Banks | |
| dc.type | Masters |