Oyetade, Damilola and Muzindutsi, Paul-Francois (2024) Market Reaction to the Implementation of Basel Capital in South African Banks: Event Study Approach. The International Journal of Banking and Finance, 19 (2). pp. 183-210. ISSN 1675-7227

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Abstract

This study investigated stock market reaction and the effect of the implementation of Basel II and Basel III on stock returns of South African banks. In achieving this aim, this study focused on daily and annual data of six commercial banks from 3rd January 2004 to 31st December 2022. The event study methodology was employed to identify abnormal returns around the specified event dates. The effect of the changes in Basel capital requirements on stock returns was not uniform across the four events. The market reacted favourably to the implementation of the Basel II requirements in the country. There was a significantly negative market reaction to the subsequent full implementation of Basel III official. Finally, higher Basel capital requirements (CAR) was associated with lower bank stock returns. The findings implied that bank regulators increase capital to strengthen the banking system but constrain the maximisation of shareholders’values

Item Type:	Article
Uncontrolled Keywords:	Basel capital requirements, abnormal returns, investor’s perception, market reaction, event study methodology
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	UUM Press
Depositing User:	Mdm. Sarkina Mat Saad @ Shaari
Date Deposited:	11 Aug 2024 05:10
Last Modified:	11 Aug 2024 05:10
URI:	https://repo.uum.edu.my/id/eprint/31244

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