期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2017
卷号：9
期号：2
页码：181-197
出版社：Social Sciences Research Society
摘要：This study analysed return volatility after operational loss announcementsconcerning major South African banks during 2000-2014. The sample of banksthat experienced losses over the sample period was compared with a sample ofunaffected banks, the banking index and the stock market index, to identifywhether the operational loss announcements had spill over effects on the wholeSouth African banking sector. Daily share returns were analysed using event studymethodology and the weighted moving average (EWMA) model. On one hand,the results showed that the operational loss events for two of the affected banksexerted no effect on the number of unaffected banks. On the other hand, theoperational loss events for the two remaining banks were found to have spill overeffects. The returns of the unaffected banks as well as the whole banking sectorwere effected, which led to systemic risk. However, results revealed thatoperational losses in the South African banks did not spill over to the stockmarket. Overall, the findings indicate that the effect of operational losses maydepend on the level of integration between individual banks..
关键词：Volatility; EWMA; operational losses; banks; South Africa
