The use of accounting and stock market data to predict bank rating changes : the case of South East Asia Isabelle DISTINGUIN Jocelyn TRINIDAD Amine TARAZI.

Slides:

Advertisements

Similar presentations

Financial convergence in Asia C.P. Chandrasekhar.

Advertisements

Ministry of Finance Taiwan Financial Services Conference Investor Presentation March 2005.

1 Chart 1 Gross Domestic Product Q1/ 96 Q2Q3Q4Q1/ 97 Q2Q3Q4Q1/ 98 Q2Q3Q4Q1/ 99 Q2 (%) Year-on-year change Quarter-on-quarter change,

Business Planning for Health Organizations ID 536 April 25, 2008 Paul Campbell Harvard School of Public Health.

Economic growth in developing Asian countries

2007 Annual Results Giordano International Limited (stock code: 709)

Dollarization in the Philippines: The way in; the way out Cayetano W. Paderanga Jr. Okinawa, Japan 8 April 2005.

The Crisis in a Nutshell Too Much, Too Fast. 1960s – 1980s  Most FDI Rich to Rich  US investment in Europe  The American Challenge.

Llad Phillips 1 Introduction to Economics Microeconomics The World Economy.

Financial Crises East Asia 1997, Russia 1998, Brazil ?

Chapter 15 International and Balance of Payments Issues.

Developing Asian Bond Market: From Investor’s Perspective Shanghai, November 4-6 Asset Securitisation in East Asia: Sharing Experience Ismail Dalla Views.

Jennifer Moore Xiong Ye Explaining East Asian Growth.

Stocks and Mutual Funds (Prospectus) Nicole Thomas Period 1 Honors Economics.

Chapter 8: Mixing Blood. Who are the Jews of the East?

The Double Dip Recession in Asia Real GDP Growth (Annual Percent Change) (est.)2006 (est.)2007.

The Role of the Financial Early-warning System Dr. & Professsr Wei-Yi Lin.

A N EW A PPROACH T O E DF V ALIDATION ISDA VALIDATION BACKGROUND What is meant by Validation? Checking the impact of Methodology Assumptions on.

The Global Economic Environment

How volatile are East Asian stocks during high volatility periods? A workshop paper by Carlos C. Bautista College of Business Administration University.

PORTFOLIO AND SELECT COMMITTEES ON FINANCE March 2006.

East Asian Crisis of Prior to mid-1997, the economies of Thailand, Indonesia, Malaysia, the Philippines, Hong Kong, Singapore and South Korea were.

Regional Financial Co-operation: Initiation and Way Forward Stephen Yan Leung CHEUNG City University of Hong Kong.

International Insurance Society 44th Annual Seminar Mark Tucker, Prudential plc, Group Chief Executive July 2008.

Session 1: Bank Risk and Regulatory Implications I Chair: Clas Wihlborg, CBS Asia Link Programme Research Conference on “Safety and Efficiency of the Financial.

Globalized Banking, Shock Transmission, and Implications on Domestic and International Monetary Policy Stances of the Local Economy Masaru Tanaka Deputy.

Department of Foreign Affairs and Trade Relationships Weakening New Rules Increasing Competition New Finance Needed.

Employment and GDP Growth in Asia Pacific ( )

Sovereign wealth fund a state-owned investment fund composed of financial assets such as stocks, bonds, property,precious metals, or other financial instruments.investment.

Giordano International Limited (Stock code: 709) May 22, 2008 (Thursday) 2008 First Quarter Results.

PORTFOLIO AND SELECT COMMITTEES ON FINANCE June 2006.

SINGAPORE HONG KONG INDIA INDONESIA LONDON MALAYSIA NEW YORK PHILIPPINES TAIWAN THAILAND VIETNAM | Margin Trading 05 June 2008.

Financial crisis and corporate cash holdings: evidence from East Asian firms Youngjoo Lee (Univ. at Buffalo) and Kyojik “Roy” Song (SKKU)

National Accountants Conference 2002 Do External Auditors Perform A Corporate Governance Role in Emerging Markets? Evidence from East Asia Professor T.J.

Asian Economic Overview. Dave Perrett Regional Strategist PPM Asia 15th Nov, 2000.

Integration of world economic activity  International trade  Transnational corporations (TNC’s)  International trading agreements  Trading blocs e.g.

Presentation of Lincoln Far East Unit Trust Quarter 1 – Update Meeting Presented by Fiona Barwick Director of Regional Research Nigel Bliss Senior Portfolio.

1 How to measure potential bank systemic risk and identify contributing banks? Presentation for The determinants of domestic and cross border bank contagion.

The Global Economic Environment The Coming Boom Wealthy Industrial Countries Developing Countries East Asia South Asia Latin America

SINGAPORE HONG KONG INDIA INDONESIA LONDON MALAYSIA NEW YORK PHILIPPINES TAIWAN THAILAND VIETNAM | Securities Borrowing & Lending 05 June.

Doing Business in Emerging Markets: Legal Trends and Tips Asia Pacific Dominic Gyngell Vice President and Regional Counsel Asia Pacific, Middle East and.

Income Policy. Pro-capital income policy –To decrease the ratio of workers wage in national income Pro-labor income policy –To increase the ratio of workers.

INTERNATIONAL MONETARY FUND Kim Zieschang Statistics Department, IMF Sectoral Accounts and Balance Sheets (Recommendation 15) Status of IMF Technical Assistance.

Future Development of Asian Electronics Industry May 17, 2004 Japan Electronics & Information Technology Industries Association.

Asian Century? Pacific Asia’s pre-1997 high growth.

Overview of the Lebanese Economy and Banking Industry Presentation to the delegation of The Banks Association of Turkey Beirut- December 3, 2010 Dr. Makram.

Chapter 1 Why Study Money, Banking, and Financial Markets?

Practical Tourism Forecasting : the Example of Asia Pacific Stephen F. Witt Emeritus Professor (Tourism Forecasting)

Energy Demand Outlook by Mohamed Ariff Based on Data from The Institute of Energy Economics, Japan.

Resource Needs for East Asia and Pacific Infrastructure Bali Workshop June 28,2004 Jonathan Walters (econometric analysis: Tito Yepes) The World.

FIMA Research Center, University of Hawai'i 1 Long-Term Underperformance of New Issues: Is Earnings Management the Villain? S. Ghon Rhee K. J. Luke Distinguished.

Modern World Economic Issues Unit 20. NORTH – highly industrialized – high literacy rate – high standard of living SOUTH – industry not yet developed.

Sustaining Asia’s Economic Recovery in the 21 st Century 7 th Asia Economic Forum Phnom Penh, Cambodia 31 July 2011 Dr Thein Swe.

Giordano International Limited (Stock code: 709) May 7, 2009 (Thursday) 2009 First Quarter Update.

Global Development Finance 1999 Main Messages Global Economic Environment Main Messages n n Global output slowdown deeper than anticipated   Developing.

Asia-Pacific Telecommunications September 15, 2000 Christopher Irwin Standard & Poor’s and Taiwan Ratings.

In Vitro Fertilization Market in Asia Pacific (Clinics, Hospitals, Surgical Centers, Clinical Research Institutes, Banks) Number of Cycles, Revenue, Market.

FINANCIAL LIBERALIZATION, CRISIS, AND RESCUE: Lessons for China from Latin America and East Asia.

Was the degree of financial integration in selected East Asian economies influenced by the 1997 Asian crisis? A view through the saving-investment relationship.

Southeast Asia and Global Financial Crises

International Trade, Foreign Capital Flow and Aid in Development

China India United States Indonesia

Asian Financial Crisis

Capital Regulations and Management Chapter 6

2008 Annual Results Giordano International Limited (Stock code: 709)

Status of EQ-5D-5L Valuation Using Standardized Valuation Methodology

China and the WTO: Some Empirical Results

ASSETS SECTION OF A BALANCE SHEET

Directions: Identify the names of the labeled countries

Presentation transcript:

The use of accounting and stock market data to predict bank rating changes : the case of South East Asia Isabelle DISTINGUIN Jocelyn TRINIDAD Amine TARAZI Issue and objective: Emphasis on market forces in Basel II and indirect market discipline ? Can stock prices be useful for bank supervisors? How do accounting and market early indicators perform to predict rating changes ? Is there a specific contribution of market indicators compared to standard financial ratios?

Sample: 64 banks from 8 countries of South East Asia Period : Hong Kong, Korea, Singapore, Taiwan, Malaysia, Indonesia, Thailand, Philippines Indicators: - annual changes in accounting ratios grouped into four categories (capital, asset quality, earnings and liquidity) - market indicators derived from weekly stock prices Method: Multinomial logit model employed to estimate the probability of a rating change (prediction horizon of 1 year) Downgrades and Upgrades from 3 major rating agencies Stepwise to select the optimal set of indicators Test for possible influence of size and/or balance sheet structure of banks on the effectiveness of early indicators

Results 1. Both accounting and market indicators perform better to predict Upgrades than Downgrades 2. For Large banks both types of indicators are significant in predicting Upgrades but not Downgrades (too-big-to-fail) For Small banks only market indicators can be useful in the early detection of Downgrades and Upgrades are not predictable 3. Early indicators are mainly significant to predict rating changes for banks heavily involved in traditional intermediation activities (deposits and loans)