Maturity transformation risk factors in Islamic banking: Implication of Basel III liquidity regulations
dc.contributor.author | Mahmood, H | |
dc.contributor.author | Gan, Christopher | |
dc.contributor.author | Nguyen, Cuong | |
dc.date.accessioned | 2018-09-12T00:26:16Z | |
dc.date.available | 2018-05-10 | |
dc.date.issued | 2018 | |
dc.date.submitted | 2017-11-05 | |
dc.description.abstract | Purpose - Maturity transformation risk is one of the leading causes of the global financial crisis. While endorsing the new Basel III liquidity reforms, the Islamic Financial Services Board has suggested a modified NSFR ratio as a structural measure for the maturity transformation function of Islamic banks, allowing for their unique balance sheet structure. The purpose of this paper is to analyze various firm-specific and macroeconomic factors that may significantly affect the maturity transformation risk of these banks. Design/methodology/approach - Using an annual data set of 55 full-fledged Islamic banks from 11 different countries over a period from 2006 - 2015, this study utilizes a two-step system generalized method of moments estimation technique on an unbalanced panel data. Findings - The empirical results reveal bank size, capital, less-risky liquid assets, risky liquid assets, external funding dependence and market power as significant bank-specific factors in determining maturity transformation risk. However, the authors find no evidence for the effect of bank credit risk on maturity transformation risk in Islamic banking system. Originality/value - This is the first study that focuses on the measurement of maturity transformation risk and its determinants in Islamic banks in a cross-country context, with regards to new liquidity regulatory requirements as proposed by Islamic Financial Services Board (IFSB) in conjunction with Basel III. | |
dc.format.extent | pp.787-808 | |
dc.identifier.doi | 10.1108/MF-07-2017-0259 | |
dc.identifier.eissn | 1758-7743 | |
dc.identifier.issn | 0307-4358 | |
dc.identifier.uri | https://hdl.handle.net/10182/10228 | |
dc.language | en | |
dc.language.iso | en | |
dc.publisher | Emerald | |
dc.relation | The original publication is available from Emerald - https://doi.org/10.1108/MF-07-2017-0259 - http://dx.doi.org/10.1108/mf-07-2017-0259 | |
dc.relation.isPartOf | Managerial Finance | |
dc.relation.uri | https://doi.org/10.1108/MF-07-2017-0259 | |
dc.rights | © Emerald Publishing Limited | |
dc.subject | Basel III | |
dc.subject | Islamic banking | |
dc.subject | IFSB | |
dc.subject | maturity transformation risk | |
dc.subject | net stable funding ratio (NSFR) | |
dc.subject | NSFR (net stable funding ratio) | |
dc.subject.anzsrc | ANZSRC::1502 Banking, Finance and Investment | |
dc.title | Maturity transformation risk factors in Islamic banking: Implication of Basel III liquidity regulations | |
dc.type | Journal Article | |
lu.contributor.unit | Lincoln University | |
lu.contributor.unit | Faculty of Agribusiness and Commerce | |
lu.contributor.unit | Department of Financial and Business Systems | |
lu.identifier.orcid | 0000-0002-5618-1651 | |
lu.identifier.orcid | 0000-0002-7563-2374 | |
pubs.issue | 6 | |
pubs.publication-status | Published | |
pubs.publisher-url | http://dx.doi.org/10.1108/mf-07-2017-0259 | |
pubs.volume | 44 |