Determinants and Outcomes of Financial Derivatives: Empirical Evidence from Pakistani Banks

• 발행기관: 한국유통과학회
• 저자명: Atia ALAM Syeda Fizza ABBAS Anam ZAHID Syeda Irtiqa BATOOL Misbah KHAN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.4, 591~599쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

The increased risk in financial firms, due to Global Financial Crises and high international trade activities, has encouraged banks to use derivatives for both managing their financial risk and earning non-operating income simultaneously. The present study brings new evidence in the existing literature by determining the drivers behind financial derivative usage in Pakistani banks for 2011 till 2016. Moreover, the paper examines how risk plays a moderating role in determining the relationship between derivative usage and bank value. While assessing the determinants, a two-stage test has conducted, first, the logit regression was used to test the drivers behind the derivative usage in banks. Second, Tobit regression was run to analyze the factors leading to determine the extent of derivative usage. The findings demonstrate that Pakistani banks are using derivatives for both risk management and speculative motive as they are customers and users of derivatives at the same time. Empirical results, regarding moderating role of risk on the value implications of derivative usage, provide mixed findings as derivative usage gives value premium in case of non-systematic risk and foreign exchange risk. Whereas value discounts have been observed for cases where systematic risk is high and managers try to earn non-operating income from speculative activities.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results and Discussion

5. Conclusion

키워드

2Derivative Usage Firm Value Firm Risk Moderation Pakistani Banks