Готові списки джерел за темами / Liquidity; commonality in liquidity; foreign investors

Добірка наукової літератури з теми "Liquidity; commonality in liquidity; foreign investors"

Автор: Grafiati

Опубліковано: 10 грудня 2022

Оновлено: 28 січня 2023

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Статті в журналах з теми "Liquidity; commonality in liquidity; foreign investors"

Silva, Claudio Pilar, and Márcio André Veras Machado. "The effect of foreign investment flow on commonality in liquidity on the Brazilian stock market." Revista Contabilidade & Finanças 31, no. 84 (December 2020): 425–43. http://dx.doi.org/10.1590/1808-057x201909530.

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ABSTRACT The aim of this study was to analyze the characteristics and determinants of commonality in liquidity in the Brazilian stock market. Since the internationalization of the Brazilian stock market (Bolsa, Brasil, Balcão - B3), the flow of foreign investment in Brazil has increased over the years, except in times of crisis. Thus, the present study argues that, in the Brazilian stock market, commonality in liquidity is partly determined by foreign investor trading. Despite the benefits obtained from foreign resources in the Brazilian stock market, it is important to analyze the effect of this flow of foreign investment into the Brazilian stock market. This paper contributes to the current literature by providing evidence for commonality in liquidity in the Brazilian stock market and by showing its stronger effect in periods of market decline. Therefore, investors pay greater attention to the risk of commonality in their portfolios when executing orders and to their trading timing due to the increase in transaction costs of the stocks most sensitive to commonality in liquidity. The study sample consisted of a set of companies listed on the Brazilian stock exchange from January 2007 through December 2017. To analyze commonality in liquidity, we used the model proposed by Karolyi, Lee, and Djik (2012) and by Qian, Tam, and Zhang (2014). To measure the influence of foreign investors on the Brazilian stock market, we used three measures based on Gonçalves and Eid (2016). The results showed that commonality occurs in the Brazilian stock market and that it peaks during international financial crises, as well as indicated that commonality might be higher in times of crisis due to capital constraint. In addition, the results showed that foreign investor participation partly determined commonality.

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Fernando, Chitru S. "Commonality in liquidity: transmission of liquidity shocks across investors and securities." Journal of Financial Intermediation 12, no. 3 (July 2003): 233–54. http://dx.doi.org/10.1016/s1042-9573(03)00041-x.

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Alhassan, Abdulrahman, Atsuyuki Naka, and Abdullah Noman. "Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets." Journal of Risk and Financial Management 14, no. 8 (August 13, 2021): 372. http://dx.doi.org/10.3390/jrfm14080372.

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When stock markets are less liquid or illiquid, investors are expected to require compensation for taking the risk of not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market liquidity in equity markets as a priced factor. The primary objective of this paper is to introduce the oil market as a potential source of commonality in liquidity. We hypothesize that conditions specific to the oil market can contribute to commonality in liquidity affecting both supply-side and demand-side factors because of its importance to the global economy in general. To this aim, a sample of firms is drawn from 50 countries spanning the period from January 1995 to December 2015. We examine two channels that transmit the effect of oil market movements to the liquidity commonality in international equity markets, namely, oil price returns and oil price volatility. Seemingly unrelated regressions (SUR) are utilized to estimate the effect of oil factors on commonality in liquidity. We find that the returns and volatility of oil prices explain the commonality in liquidity in countries with higher integration with oil markets. In addition, we show that the effect of oil volatility is more pronounced for net oil exporters as opposed to net oil importers after controlling for oil sensitivity. These results are robust to controlling for possible sources of commonality in liquidity as found in the literature and alternative estimation specifications.

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Marozva, Godfrey, and Patricia Lindelwa Makoni. "The nexus between bond liquidity, stock liquidity and foreign portfolio investment." International Journal of Finance & Banking Studies (2147-4486) 10, no. 3 (September 17, 2021): 92–103. http://dx.doi.org/10.20525/ijfbs.v10i3.1348.

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The purpose of this article was to assess the impact of financial market liquidity on international capital flows in emerging markets. Specifically, the research investigates the effect of bond market liquidity and stock market liquidity on foreign portfolio investments using data for five emerging African countries, being Egypt, Kenya, Mauritius, Nigeria and South Africa, for the period 2000 to 2020. The data was sourced from the Bloomberg and World Bank (WDI) databases. Panel data analysis (fixed effects model) was undertaken using three different liquidity measures: the effective spread; Amihud’s (2002) illiquidity measure; and market impact as measured by trading volume. Our findings revealed mixed results. It was found that stock market liquidity attracted foreign portfolio investments. Although bond market liquidity, as measured by the volume of trade, promoted foreign portfolio investment, it was different for the effective spread, as the higher the effective spread, the higher the inward FPI flows, and vice versa. Results on the effects of the bond effective spread on FPI show that as long as the bonds are above the investable grade, investors are not discouraged by the cost of trading. Our findings thus confirm that FPI inflows are predisposed on liquid and efficient host country financial markets. Further, the entrance of foreign investors in the host country’s domestic financial markets, leads to the enhancing of liquidity in the local market, thus increasing risk sharing between local and foreign investors.

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Shen, Zitang. "The Influence of Foreign Institutional Ownership on the Stock Liquidity in China Based on Data Analysis." E3S Web of Conferences 214 (2020): 01030. http://dx.doi.org/10.1051/e3sconf/202021401030.

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The negative impact of foreign participation on the liquidity of companies that allow a high degree of foreign institutional ownership has been widely documented. This article provides a unique environment for the limited participation of qualified foreign institutional investors (QFIIs) in China’s A-share market, and examines how these factors affect stock liquidity in emerging markets. Contrary to previous findings, the participation of foreign investors has helped increase the liquidity of affected stocks by facilitating increased trading activity. Improved liquidity in small businesses is more important than large ones. The findings of this article are the endogenous robustness and the impact on the stock market, industry impact, and possible impact on the stock exchange. In addition, when analyzing sub-samples of QFII companies, QFII’s liquidity improvement effect is even stronger. This article aims to through data analysis on the stock liquidity provide Chinese stock market with management suggestions.

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Deng, Baijun, Zhongfei Li, and Yong Li. "Foreign institutional ownership and liquidity commonality around the world." Journal of Corporate Finance 51 (August 2018): 20–49. http://dx.doi.org/10.1016/j.jcorpfin.2018.04.005.

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Yasmin, Annisa. "Foreign Ownership Effect to Stock Market Liquidity in Indonesia." MANAJERIAL 8, no. 01 (January 19, 2021): 01. http://dx.doi.org/10.30587/manajerial.v8i01.1940.

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Background – One of economic indicators of a country is the capital market. Liquid capital market can attract investors, both foreign and domestic investors, to invest their ownership in that country, which in turn can improve the country’s economic growth. Aim – This research aims to examine the influence foreign ownership on stock market liquidity in Indonesia. Design / methodology / approach – This research splits foreign ownership into two groups, the first one is foreign ownership by financial institutions, and the second one is foreign ownership by non-financial corporations. The type of data used is panel data using fixed effect model (FEM). The technique for examining the influence of foreign ownership on liquidity used multiple regression analysis. Findings – The result found that foreign ownership by financial institutions and non-financial corporations negatively affect liquidity. The study also found a positively non-linear effect between foreign ownership by financial institutions to liquidity and a negatively non-linear effect between foreign ownership by non-financial institutions to liquidity. Research implication – This research can assist investors in determining investment in the Indonesian capital market by pay attention to variables such as foreign ownership, return, turnover, market capitalization and standard deviation. Limitation – The research period was short, which was only 21 months due to limited data and the research period that has passed too long, that is January 2012 to September 2013.

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Thu Quang Luu, Vo Thien Trang, and Nguyen Thi Thu Trinh. "Market timing of CEOs and foreign investors' reaction." World Journal of Advanced Research and Reviews 13, no. 2 (February 28, 2022): 492–500. http://dx.doi.org/10.30574/wjarr.2022.13.2.0179.

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Excess return, cumulative abnormal return, market to book ratios and liquidity risk are applied as proxies for evaluating the chief executive officer’s (CEO) market timing. The result indicates that managers have total succeeded in timing the market for SEO events. Firms implement seasonal equity offering (SEO) issuance after experiencing a strong increase of stock price, and then underwent a significant reversal of stock price. Besides that, CEO will time the market when they realize the liquidity risk of firms drop to the point where institutional investors have low consideration about risks. Foreign investors reacted strongly when the information about the SEO was announced, specifically, they changed their trading behavior from being a net buying to being a net selling or reducing buying. This reaction is especially strong in companies with low market liquidity. And as a result, foreign investors react more quickly to the information of new stock issuance, their stock return will increase sharply after SEO.

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Nguyen, Tri Minh. "The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market." International Journal of Marketing Studies 9, no. 1 (January 16, 2017): 109. http://dx.doi.org/10.5539/ijms.v9n1p109.

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The empirical research examines the impact of net purchase of foreign investors on performance of stock market and market liquidity. In this study, market performance is proxied by VN-index, which measures growth of equity market and market liquidity is estimated by the trading volume of whole market. The data is collected in Vietnamese Stock Exchange in the period of 1215 intraday from 2011 to 2014. By using ARCH model, main findings of this research are: first, there is positive relationship between market performance and net purchase; second, performance of stock market is influence by lag factor and third, liquidity of market is affected negatively by trading activity of foreign investors.

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Meurer, Roberto. "Fluxo de Capital Estrangeiro e Desempenho do Ibovespa." Brazilian Review of Finance 4, no. 1 (January 1, 2006): 79. http://dx.doi.org/10.12660/rbfin.v4n1.2006.1156.

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In this paper it is discussed and empirically tested the influence of foreign investors flow of resources on the Ibovespa index of the Sao Paulo Stock Exchange from January 1995 to july 2005. Other important variables are considered in the test, including a stock index of the United States, internal and external interest rates, the markets liquidity, exchange rate and country risk. The foreign influence is measured by the difference between the purchases and sells of foreign investors in the market of their participation in the Brazlian market capitalization. The effect of the inflow of resources was not detected straightly, but through an increase of the liquidity, what is compatible with the hypothesis that the foreign investors represent an increase of the base of stockholders of the domestic companies. The inflow of resources, on the other hand, anticipates the behavior of index. Country risk, exchange rate and liquidity of the market were important to explain variations of the Ibovespa.

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Дисертації з теми "Liquidity; commonality in liquidity; foreign investors"

Li, Chenlu. "Structural breaks in hedge fund performance and foreign exchange liquidity." Thesis, Loughborough University, 2017. https://dspace.lboro.ac.uk/2134/27065.

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Hedge fund managers are characterised as either market timers or asset pickers . Their superior performance can be attributed to either timing skill, selection ability or a combination of both. In the existing literature, average hedge fund performance across the entire time span under investigation is usually investigated and measured, and hence, potentially certain subtle but important features exhibited in different time periods can be averaged out in the analysis. This thesis investigates the structural breaks in the selection ability and timing skill of hedge fund managers. This research issue is of particular importance when the hedge fund performance before, during and after the recent financial crisis is compared and contrasted. This thesis conducts a structural break analysis of hedge fund managers performance in relation to market-wide liquidity and liquidity commonality in the foreign exchange (FX) market. Liquidity commonality captures the co-movement of individual asset liquidities. The measure adopted in the existing literature has several limitations. This thesis proposes a new measure, termed the Beta Index, which is derived from the time-varying exposure of individual liquidities to market liquidity movements. It is shown that the developed Beta Index is more able to identify the level of liquidity commonality in the FX market. It is also more flexible in measuring commonality with different data sampling frequency. The obtained empirical results have some practical implications. They show that the selection skill and timing ability of hedge fund managers are subject to regime switches. Under severe market conditions, most hedge fund managers possess the skill to time FX market-wide liquidity and are able to reduce losses from the FX market by reducing their funds FX exposure prior to the FX market-wide liquidity deteriorations. In the meantime, most hedge fund managers are able to deliver excess returns from time to time due to their selection ability. However, when sudden shocks of crisis occur, they fail to forecast the unexpected behaviour in the price of individual assets underlying the funds and display unsuccessful selection ability. In addition, the results suggest that many hedge funds are exposed to the FX liquidity commonality risk which impairs hedging strategies and diversification performance.

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Brattström, Peter, and Thomas Heidkamp. "Vad är bakgrunden till utländska investerares intresse av den svenska fastighetsmarknaden? : Why are foreign investors interested in the Swedish real estate market?" Thesis, Karlstad University, Faculty of Economic Sciences, Communication and IT, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-1739.

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Den svenska marknaden för kommersiella fastigheter är het och har varit det under lång tid. Bland annat konstateras i en undersökning från revisionsbolaget Pricewaterhouse Coopers och Urban Land Institute att Stockholm, efter London och Paris, just nu rankas som Europas tredje mest attraktiva stad för utländska investerare att köpa och äga fastigheter i.

Detta väckte vår nyfikenhet att konkretisera de faktorer som kan ha lett fram till att utländska fastighetsinvesterare attraheras av den svenska fastighetsmarknaden.

Genom att vända oss till företag med stor inblick i de förhållanden som råder på den svenska fastighetsmarknaden fick vi intervjusvar från fem representanter.

Arbetet med teorin gjorde att vi förväntade oss ett visst svar men intervjuerna gav oss ett helt annat resultat. Denna uppsats belyser många faktorer som gör Sveriges fastighetsmarknad lättillgänglig. Dock påvisar vår studie att framförallt transparensen och likviditeten på den svenska fastighetsmarknaden är det som gör den så intressant för utländska investerare.

Transparensen på den svenska fastighetsmarknaden, som är en stor konkurrensfördel på den globala marknaden, hotas av skattetekniska konstruktioner. Att inte förlora denna fördel på den internationella investeringsmarknaden är ett problem som måste lösas. Hur detta ska ske är ett uppslag för en fortsatt studie.

The Swedish market of commercial real estate is really sizzling and has been so for some years now. In an analysis made by the audit company Pricewaterhouse Coopers and Urban Land Institute it was stated that Stockholm, succeeding London and Paris, is ranked as the third most attractive city for foreign investors in terms of buying and owning real estate property.

This made us curious to try to pin-point any factors which might have lead to foreign investors interest in the Swedish real estate market.

By turning to companies with very good insight in the business and knowledge about the conditions concerning the Swedish real estate market, we are grateful for received interview results by courtesy of five representatives.

Our work with background theories lead us to expect a certain answer, but the results of our survey surprised us with a different result. This thesis highlights many factors making the Swedish real estate market so favourable to investors, but the most prominent elements are the facts that the Swedish market is very transparent with a high level of liquidity.

For the Swedish real estate market the big advantage in global competition is named transparency, but this advantage is threatened by taxation techniques to maximise profit. Not to loose this Swedish benefit on the international investment market is a problem yet to be solved.

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Peranginangin, Yessy Arnold. "How foreign trades affect domestic market liquidity: a transaction level analysis." Thesis, 2014. http://hdl.handle.net/2440/84758.

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The extant literature has documented the significance of foreign trades on domestic markets as well as the importance of commonality in liquidity in a market, but it seems to be silent on how foreign trades affect commonality in liquidity, especially at the transaction level. The lack of research that investigates this line of enquiry provides the overarching research theme for this thesis. To investigate the research theme I use transaction data from the Indonesian Stock Exchange (IDX) that allows me to identify the trading activities of foreign-versus-domestic investors on a trade-by-trade basis. I find that foreign investors enhance commonality in spread when they initiate trades on both sides of the market which are motivated either by differences in interpreting information or by the desire to trade immediately, but not by information asymmetry. This finding is surprising given the prevalence of asymmetric information evidence surrounding domestic and foreign interaction and the proposition of Chordia, Roll and Subrahmanyam (2000) suggesting that information asymmetry could induce commonality in liquidity. The lack of evidence to link information asymmetry between domestic and foreign investors and commonality in liquidity, along with the findings indicating that foreigners trade more aggressively than locals, lead me to raise and investigate a follow up research question. This second research question is why do foreigners have a propensity to place more aggressive orders as costs associated with these trades are higher? Investigating the second research question, I find more evidence to exclude information asymmetry as the channel through which foreigners affect commonality in liquidity and find more evidence to support the finding that foreigners affect commonality in liquidity through their desire to trade immediately. This finding implies that an inventory risks explanation is more appropriate in explaining the impact of foreign trades on commonality in liquidity. Given that foreign trades are aggressive and this affects commonality in liquidity, I then examine whether their trades are motivated by information advantage. Using price discovery analysis, I find that domestic investors make a greater contribution to the price discovery process compared to foreign investors and the contribution of domestic investors to the price discovery process can be explained by domestic and foreign interactions. Furthermore, analysing the information types that are reflected in domestic and foreign price series, I find that domestic prices reflect firm-specific information while foreign price series reflect systematic information. These findings, along with the findings on the price discovery analysis, seem to suggest that the low contribution of foreign investors to the price discovery process could be due to the fact that they base their investment decisions on systematic information, rather than firm-specific information. In summary, I find evidence suggesting that foreign investors affect commonality in liquidity through their needs of immediacy rather than information asymmetry. The evidence also suggests that there is a mutually-beneficial relationship between foreign (net) liquidity demanders and domestic (net) liquidity suppliers. This enduring relationship holds up very well during the 2008 financial crisis, demonstrating its resilience.
Thesis (Ph.D.) -- University of Adelaide, Business School, 2014

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Sun, Yi-ching, and 孫以青. "Liquidity commonality and risk premiums in the foreign exchange market during Eurozone crisis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/86319428454026880827.

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碩士
國立中央大學
財務金融學系
102
This thesis studies liquidity commonality in the foreign exchange market during Eurozone crisis. Liquidity commonality can be regarded as systemic risk. Investors cannot avoid this risk with portfolio allocation. If investors need to bear more systemic risk, they would require more risk premium for compensation. This thesis not only investigates liquidity commonality but also analyzes the impact of liquidity risk on carry trades during Eurozone crisis. The empirical results shows that liquidity commonality varies from currencies. Moreover, I present evidence that liquidity risk factor plays an important role in carry trade return.

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Книги з теми "Liquidity; commonality in liquidity; foreign investors"

Giannetti, Mariassunta. Banking system, international investors and central bank policy in emerging markets. [Roma]: Banca d'Italia, 2000.

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Abu Bakar, Nor'Aznin. Currency crisis in four Asian countries: The insolvency model approach. UUM Press, 2017. http://dx.doi.org/10.32890/9789672064039.

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The book deals with the 1997 Asian currency crisis and analyses the causes and consequences of the crisis.The two hypotheses, fundamental and panic/herd behavior hypotheses, which are often viewed as competing, are also examined. The first hypothesis states that fundamental imbalances triggered the Asian currency and financial crisis in 1997.The crisis occurred because the economies had deteriorating current accounts, a slow down in growth rates and short-term debt approaching a dangerous level; while the second hypothesis states that sudden shifts in market expectations and confidence were the cause of the initial financial turmoil.When the crisis erupted, it caused panic among domestic and foreign investors. The main focus of this book is to evaluate these two approaches and to examine whether there was evidence of insolvency prior to the crisis in four Asian countries namely Malaysia, Indonesia, Thailand and the Philippines. A solvency index, originally popularized by Cohen, is calculated for each country.An analysis of the trade sector is undertaken in which the dynamic OLS is employed. Subsequently, the price elasticities obtained from the export demand model together with the GDP supply elasticity are used to calculate the index. From the analysis, it appears that all countries were solvent prior to the crisis where the percentage of actual debt service paid (in 1997) was greater than the percentage that must be paid to be solvent. This suggests that further external credit could have solved the problem, as it was a matter of short-term liquidity difficulties and panic, rather than insolvency.

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Частини книг з теми "Liquidity; commonality in liquidity; foreign investors"

Baten, Md Azizul. "Recent Status of Capital Market Regulations in Bangladesh." In Foreign Direct Investments, 1464–75. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2448-0.ch065.

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The capital market of Bangladesh perceived a self-important growth which is not in line with developed economy. The Securities and Exchange Commission (SEC) tried to correct the irregular behaviour observed in the market, lack of proper decisions from the regulator's side which has contributed to the creation of market instability. This study tried to identify the factors on market crash and regulatory failure. Government had reform SEC to soothe the market but unsuccessful as investors' confidence is in the bottom level. The reasons behind the stock market crash are found irrational market behavior, inconsistency in regulations, excess liquidity in the market, stock split by companies, faulty listing system, issuance of right shares and preference shares by companies at high price, stock manipulations by insider trading, serial trading and excessive greed of investors. Government and regulators should work together to detect the main speculators and should bring investors back to the market.

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Lim, SungKyu, and Evangelos Giouvris. "On the Pricing of Commonality Across Various Liquidity Proxies in the London Stock Exchange and the Crisis." In Handbook of Investors' Behavior During Financial Crises, 447–70. Elsevier, 2017. http://dx.doi.org/10.1016/b978-0-12-811252-6.00024-4.

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Chhabra, Shalini. "Mutual Fund." In Foreign Direct Investments, 210–24. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2448-0.ch009.

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Mutual funds provide various facilities that make saving and investing simple, accessible and affordable, by using professional management, diversification, variety of products, liquidity, affordability, convince. Moreover, strict government regulation and full disclosure of information makes the investment more secures in India. In India mutual funds market the key area of interest of market experts are understanding the investor's expectations and meeting those expectations. The mutual fund sector is one of the fast growing sectors in Indian economy and has tremendous potential for sustained future growth. The present era of exponential growth has seen changes, refinements and innovation etc. the industry needs to identify the expectation and houses of the investors and meet their expectations in a better way by overcoming the challenges the mutual fund industry is facing. Keeping in view that ever increasing competition of similar or alternative product, marketing has been concerned the most vital area of operation of Mutual funds industry. Mutual fund Marketing is different from marketing of other goods. The present chapter tries to explore the marketing strategies adopted by Mutual funds, the different 7 Ps that are involved by the various mutual funds for attracting the investors.

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Michie, Ranald C. "Bonds and Currencies, 1993–2006." In Banks, Exchanges, and Regulators, 169–89. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780199553730.003.0009.

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There was a spectrum of funding sources open to any borrower in a modern market economy, ranging from self-finance through bank loans and mortgages to the issue of bills, bonds, and stocks. The same applied to savers with the options being available including bank deposits, negotiable securities, and direct holdings of property. The switch from the lend-and-hold model of banking to the originate-and-distribute one generated a growing variety of financial assets, as existing loans were converted into transferable debts that were then sold to investors and traded in secondary markets. From the 1990s there was an explosion in securitization, which was expected to benefit all. Borrowers would pay a lower rate of interest and access more abundant funding; savers would be able to buy safer but higher yielding investments; while the financial system would be simultaneously more stable, efficient, and competitive. Forgotten in this process was the need for a market for these securitized assets, for otherwise they would lack the liquidity that made them so attractive. Using the parallel of the foreign exchange market the assumption was made that securitized assets could always be bought and sold through direct dealing between banks or the actions of interdealer brokers rather than a formal listing on a stock exchange. This belief was delusional but shared by all.

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Тези доповідей конференцій з теми "Liquidity; commonality in liquidity; foreign investors"

"The Impact of Foreign Strategic Investors’ Shareholding Changes on China's Commercial Banks under the Impact of International Liquidity Crisis—Targeting at Bank of China and its Foreign Strategic Investors in Financial Crisis." In 2018 International Conference on Economics, Politics and Business Management. Francis Academic Press, 2018. http://dx.doi.org/10.25236/icepbm.2018.29.

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Sönmezer, Sıtkı, and Gürol Aytüre. "Dynamics in Turkish Housing Market." In International Conference on Eurasian Economies. Eurasian Economists Association, 2019. http://dx.doi.org/10.36880/c11.02248.

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The recent economic crises of the summer 2018 has led to hiking foreign currency prices and an increased risk perception. Moreover, promising returns of alternative investments has convinced investors to refrain from the housing market and the demand in real estate market has fallen significantly. Measuring the demand for housing precisely is crucial for overcoming economic difficulties as well as understanding the profitability, liquidity and the future of construction sector in Turkey. In this study, significant factors that have impact on the demand for real estate market are assumed to be dynamic. Different regimes are formed based on interest rates and factors like housing prices, location, mortgage rates, bond rates, foreign currency returns, gold returns and iron prices are used to test the changes in the demand for real estate.

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Aseinov, Dastan. "Factors Affecting Cost Efficiency in the Banking Sector of Kyrgyzstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01907.

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Instabilities in the banking sector have had an adverse effect on the economy as a whole, since the largest share in the financial system and financial intermediation in Kyrgyzstan have been captured by banking sector. Economic efficiency in banking can be viewed as a source of financial stability of banking system. Economic efficiency of the banking is more important challenge not only for shareholders and managers of banks, and also for regulation and supervision authorities, and public and potential investors. The aim of this study is to examine factors affecting the banking cost efficiency for Kyrgyz banks. It is also important to choose the appropriate approach in measurement of banking cost efficiency, since there are many different methods. In this study preferred stochastic frontier approach which assumes random error term which captures sampling, measurement and specification errors. We adopted stochastic cost frontier model proposed by Battese ve Coelli (1995) which also allow to examine investigate the impact of variables on efficiency. We used unbalanced panel data set captured 17-23 Kyrgyz commercial banks for period of 2000-2013. Obtained results suggest that capitalization, foreign ownership, credit risk, liquidity risk and currency risk have most influence on cost efficiency scores of banks calculated averagely at level of 0,766. Overall results indicate that domestic banks more cost efficient than domestic private and foreign banks. Average cost efficiency scores of domestic banks, foreign and separately public banks are 0,848; 0,649 and 0,875, respectively.

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