SPILL OVER EFFECTS OF OPERATIONAL LOSS EVENTS WITHIN THE SOUTH AFRICAN BANKING SECTOR

Suné FERREİRA; Paul-francois MUZİNDUTSİ

Article Details

SPILL OVER EFFECTS OF OPERATIONAL LOSS EVENTS WITHIN THE SOUTH AFRICAN BANKING SECTOR

Authors:

Suné FERREİRA | Paul-francois MUZİNDUTSİ

Publisher:

Sosyal Bilimler Araştırmaları Derneği

Journal:

International Journal of Economics and Finance Studies 2017 Vol.9 Issue 2, pp.181-197

Document Type:

Article

Publication Date:

5/2017

Document Language:

Turkish

Document ID (Org No.):

2000810833

Frequency:

Bi-Annual

eISSN:

1309-8055

Abstract:

 

This study analysed return volatility after operational loss announcements
 concerning major South African banks during 2000-2014. The sample of banks
 that experienced losses over the sample period was compared with a sample of
 unaffected banks, the banking index and the stock market index, to identify
 whether the operational loss announcements had spill over effects on the whole
 South African banking sector. Daily share returns were analysed using event study
 methodology and the weighted moving average (EWMA) model. On one hand,
 the results showed that the operational loss events for two of the affected banks
 exerted no effect on the number of unaffected banks. On the other hand, the
 operational loss events for the two remaining banks were found to have spill over
 effects. The returns of the unaffected banks as well as the whole banking sector
 were effected, which led to systemic risk. However, results revealed that
 operational losses in the South African banks did not spill over to the stock
 market. Overall, the findings indicate that the effect of operational losses may
 depend on the level of integration between individual banks.

Article Details

SPILL OVER EFFECTS OF OPERATIONAL LOSS EVENTS WITHIN THE SOUTH AFRICAN BANKING SECTOR

Authors: Suné FERREİRA | Paul-francois MUZİNDUTSİ

Publisher: Sosyal Bilimler Araştırmaları Derneği

Journal: International Journal of Economics and Finance Studies 2017 Vol.9 Issue 2, pp.181-197

Document Type: Article

Publication Date: 5/2017

Document Language: Turkish

Document ID (Org No.): 2000810833

Frequency: Bi-Annual

eISSN: 1309-8055

Issues

Authors:

Suné FERREİRA | Paul-francois MUZİNDUTSİ

Publisher:

Sosyal Bilimler Araştırmaları Derneği

Journal:

International Journal of Economics and Finance Studies 2017 Vol.9 Issue 2, pp.181-197

Document Type:

Article

Publication Date:

5/2017

Document Language:

Turkish

Document ID (Org No.):

2000810833

Frequency:

Bi-Annual

eISSN:

1309-8055