Model and Financial Performance: Panel Data in Causality and Cointegration Test

Authors

  • Amir Indrabudiman

DOI:

https://doi.org/10.14419/ijet.v7i3.27.17979

Published:

2018-08-15

Keywords:

Bankruptcy status, financial performance of banking, causality, cointegration.

Abstract

This paper aims to analyze the interaction between financial performance variables and bankruptcy status of companies in the banking industry in Indonesia. This study used the test of causality and cointegration of panel data for variable bankruptcy status and variable of financial performance among others (variable of NPL, ROA, CAR, NIM, SIZE, GROWTH, LEVERAGE) at 43 banks listed on BEI during 2010-2016 financial reporting period. From the research conducted in the findings that between the status of bankruptcy and variable financial performance of banks in Indonesia are only a few variables that have a two-way relationship, this is seen in the test results of causality lags 1, using lags 5, 10 and 15 this causal relationship is getting smaller . However, cointegration has been confirmed by using lags 1-1 to 1-4 lags interval premises, there are 7 variables that in each cointegrated each other.



References

[1] Granger C, “Some Properties of Time Series Data and Their Use in Econometric Model Specificationâ€, Journal of Econometrics, Vol.16, No.1, (1981), pp.121–130.

[2] Engle RF & Granger CW, “Co-integration and error correction: representation, estimation, and testingâ€, Econometrica: journal of the Econometric Society, (1987), pp.251-276.

[3] Pesaran MH, Shin Y & Smith RJ, “Bounds testing approaches to the analysis of level relationshipsâ€, Journal of applied econometrics, Vol.16, No.3, (2001), pp.289-326.

[4] Phillips PCB & Ouliaris, S, “Asymptotic Properties of Residual Based Tests for Co integrationâ€, Econometrical, Vol.58, No.1, (1990), pp.165–193.

[5] Bunge M, Causality and Modern Science (3, revised ed.). New York: Courier Corporation, (2012), 123-124.

[6] Robb AA, Optical Geometry of Motion, W. Heffer and Sons Ltd, Cambridge UK, 1911.

[7] Whitehead AN, Process and Reality. An Essay in Cosmology. Gifford Lectures Delivered in the University of Edinburgh During the Session, Macmillan, New York, Cambridge University Press, Cambridge UK, 1929.

[8] Nzotta SM & Okereke EJ, “Financial Deepening and Economic Development of Nigeria: An Empirical Investigationâ€, African Journal of Accounting, Economics, Finance and Banking Research, Vol.5 No.5, (2009).

[9] Z Iskakova, M Sarsembayev, Z Kakenova (2018). Can Central Asia be integrated as asean? Opción, Año 33. 152-169.

[10] A Mukanbetkaliyev, S Amandykova, Y Zhambayev, Z Duskaziyeva, A Alimbetova (2018). The aspects of legal regulation on staffing of procuratorial authorities of the Russian Federation and the Republic of Kazakhstan Opción, Año 33. 187-216.

View Full Article: