Comparative analysis of foreign and domestic bank liquidity risk in Malaysia / Siti Hazirah Sulaiman

This study aims to identify the factors that affect liquidity risk of foreign and domestic banks in Malaysia and want to identify which bank has better liquidity position. This study focuses on commercial banks in Malaysia for ten (10) years, started from 2006 until 2015. Unlike previous study done on liquidity risk management, this study includes both internal and external forces that might influence the liquidity risk. The internal factors can be classified as bank-specific characteristics while the external factors can be represented by the macroeconomic variables of Malaysia. As for bank specific characteristic, two (2) independent variables were included which are bank size and return on asset. Meanwhile, the macroeconomic variables included are growth of gross domestic product and inflation rate. Hence, four (4) independent variables were used in this study to explain liquidity risk. Panel Least Square Regression was used in this study to meet all research objectives. The empirical findings of this study found that only one (l) of the bank-specific characteristic variables is significantly related towards liquidity risk, which is bank size and domestic bank has been found to has better liquidity position during the study period of year 2006 until 2015.