Global Uncertainty

This study investigates the interdependence between global uncertainty indices and ASEAN-5 equity markets. Utilizing the CBOE Volatility Index (VIX) and the CBOE Oil Volatility Index (OVX) as proxies for global financial market and oil market uncertainty, respectively, we examine their connectedness with five major Southeast Asian stock markets (Malaysia, Indonesia, Singapore, Thailand, and the Philippines). A time-varying copula framework is employed to model non-linear dependencies and extreme tail co-movements, and we complement this with risk metrics (Value-at-Risk and CoVaR) to quantify downside risk spillovers. Our findings reveal that ASEAN-5 markets are highly susceptible to spikes in global volatility, especially during crisis periods. Singapore and Thailand show notably greater sensitivity to oil-market volatility shocks, while Malaysia and the Philippines react more strongly to global financial uncertainty. We also uncover asymmetric tail dependence: negative shocks to global volatility indices exert a more pronounced contagion effect on ASEAN-5 markets than positive shocks of equivalent magnitude. The ΔCoVaR analysis further highlights that systemic risk in ASEAN-5 is amplified under heightened global uncertainty, underscoring the need for vigilant monitoring of uncertainty transmission. These results significantly impact policymakers and investors in designing tailored risk management strategies to mitigate regional contagion.

Commercial banks are considered to be important contributors to the country's financial system and economic development. The aim of this study was to examine the impact of various factors on commercial banks' profitability. Moreover, the study compares and analyzes the main determinants of the banks' profitability in Western Balkan (WB) countries. The sample size includes all commercial banks in WB countries, covering the period 2010-2020. The collected data provides information about the two main measurements used to determine a bank's performance: 1) return on assets (ROA) and 2) return on equity (ROE), which in our study were used as indicators varying from non-performing loans, the number of banks, real gross domestic product growth, the unemployment rate, and consumer price inflation (percent, period average). The estimated regression models with panel data revealed that real GDP growth, the unemployment rate, and inflation are positively correlated and significantly determine the bank's performance. While two other factors (non-performing loans and the number of banks) were negatively associated with the performance of banks. Since the determining factors of external and internal profitability turn out to be almost the same for all the countries of the Western Balkans, during the observed period of 2010-2020, the number of cases of non-performing loans was much higher in other countries of the region than in Kosovo. Once again, the banking system in Kosovo, unlike other countries, has scored ROE performance indicators that are almost three times higher than the average of the countries in the region. On the other hand, Kosovo has the highest unemployment rate in the region. While the weakest ROE performance was in Montenegro, which was improving year after year. Our findings have several important implications for policymakers and regulators, especially in Kosovo.

In this study, we assess the main determinants of banks' profitability in Portugal over the period 2015–2018. We divide the factors that can influence bank profitability into several groups: management quality, credit quality, capital adequacy, liquidity (internal bank factors), and GDP growth (an external factor). The panel dataset is composed of annual report data for the 18 major banks operating in Portugal, representing about 98% of the Portuguese banking product. Profitability has been a persistent challenge for banks since the global financial crisis. Moreover, the Portuguese banking system had been facing several structural problems, which makes this topic particularly relevant. The profitability proxy used is the return on equity (ROE). The empirical strategy followed was pooled OLS. Variables relevant for explaining Portuguese banks' profitability are capital adequacy, liquidity and credit risk. As expected, the results show that capital adequacy (TIER 1) and credit quality (CVCT) have a negative and significant impact on banks' profitability, whereas liquidity (RAL) has a positive impact.

Bank regulation as well as a country's macroeconomic regulations have been hindering bank profitability by ensuring higher bank capital and minimum holding of risks for achieving bank stability. The objective of this study is to determine the influence of internal and external factors on the stability of the banking sector in five South European countries i.e., Croatia, Italy, Portugal, Slovenia, Spain. This paper utilises panel data estimations using the bank sector of five South European countries during the time period of 2010 to 2020. The paper is guided by the hypothesis that adequate capital ratio, strong country governance and increased bank size have significant impact on the stability of banking sector. The findings of the regression analysis reveals

The purpose of this study is to examine and compare the financial performance of the three banking modes in Egypt: Islamic, conventional and mixed banks during the period 2003-2010. 13 banks are included in the study (i.e. 2 Islamic banks, 8 conventional banks, and 3 mixed banks). Multiple regression models are used to study the influence of both the internal bank-specific characteristics and the external macroeconomic environment on the performance of the three types of banks in Egypt. Return on assets (ROA) and return on equity (ROE) are employed to measure the performance of the three types of banks in Egypt. Moreover, a set of internal and external factors are considered as independent variables including; liquidity, capital adequacy, asset quality, operation efficiency, bank's size, GDP growth rate (GDP GR), and inflation rate. The findings reveal that operation efficiency has a significant negative impact on the three types of banks in Egypt, while bank's size and inflation rate have a significant influence merely on the performance of conventional banks. In addition, capital adequacy and asset quality have a positive significant influence on the performance of mixed banks. Furthermore, the comparison between financial performances of the three types of banks indicates that there is a significant difference between both ROA and ROE of Islamic banks and conventional banks, and the performance of conventional banks is better than the performance of Islamic banks in Egypt. On the other hand, there is no significant difference between the performance of Islamic banks and mixed banks, while there is a significant difference between ROA of conventional banks and mixed banks and no significant difference between ROE of conventional and mixed banks. The study also identifies the most significant indicators that contribute to assessing the performance of the three banking modes in Egypt.

The aim of this study was to determine the main determinants of profitability of commercial banks in Zambia. The study is important because it establishes, based on empirical evidence, the extent to which the generally identified factors of profitability in banks impact bank profitability in Zambia.This study is the first documented scientific effort to determine the key determinants of profitability of commercial banks in the country.Using panel data compiled by the banking regulator in Zambia for 15 commercial banks, we computed the return on average assets (ROAA) as a measure of bank profitability, the dependent variable. Measures for independent variables namely asset size, loan loss provisioning, cost to income ratio, liquidity, non-interest income and foreign exchange income ratio were also computed.We also analysed the impact of macroeconomic variables namely GDP growth, inflation and interest rates, on bank profitability.Fixed effects modeling with dummy variables was then used to analyse the panel data for 12 years from 2010 to 2021 for 15 of the 18 commercial banks operating in Zambia.Based on the results of the study, we conclude that asset size, loan loss provisioning, cost efficiency, liquidity, non-interest income and foreign exchange income impacted bank profitability. We do not find adequate evidence to support the notion that macroeconomic variables are key determinants of bank profitability in Zambia. We conclude from the study that for banks to improve their profitability, management should focus on ensuring cost efficiency and high quality of the loan book. The regulatory authority also must check and ensure that commercial banks have adequate and satisfactory systems to ensure cost efficiency and loan book quality for sustained profitability and contribute to enhanced financial system stability.