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Title: The impact of capital requirement on banks' return
Authors: Shehadeh, Sarah
Advisors: Mardini, Patrick 
Subjects: Bank Capital
Basel 11 (2004)
Banks and banking--State supervision
Issue Date: 2014
This thesis shows that the change in capital ratio has either a small impact or no impact at all on banks performance. Two models were used to study this relation: a non linear model introduced by Zivot and Andrews (2002) integrating structural break within unit root and a panel model testing for unit root, correlation and regression. The Zivot Andrews model failed to match the break dates in the stock return with the introduction of regulation for both Europe and Japan. While this result doesnt show the impact of regulations on the banks performance, it is not enough by itself to confirm the absence of any impact. For this reason, a larger sample was taken including Germany, United Kingdom, France and Japan. A panel model using exhaustive bank level data was estimated to study the relationship between the banks performance and the change in capital ratio. Banks performance is reasonably immune to a change in capital requirement.
Includes bibliographical references (p.43-45).

Supervised by Dr. Patrick Mardini.
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
Ezproxy URL: Link to full text
Type: Thesis
Appears in Collections:UOB Theses and Projects

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