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SEBON JOURNAL Securities Board of Nepal SEBON JOURNAL Volume-VII|May 2019 ISSN 2091-0584 Contents Ownership structure, risk and performance in Nepalese banking sector Radhe S. Pradhan, PhD and Bindu Pantha [1-16] Stock Return and Trading Volume Relation In Nepalese Stock Market: AN ARDL Approach Prof. Rajan Bahadur Poudel, PhD; and Shiva Ram Shrestha [17-32] Factors Affecting Stock Index in Nepal Prakash Kumar Shrestha, PhD and Shalikram Pokhrel, PhD [33-52] Role of Financial Institutions in Economic Growth: A Case of Nepal Bharat Ram Dhungana, PhD [53-66] Introducing Pair Trading Strategy In Nepal Hom Nath Gaire [67-78] Is there any Prospect of the Book Building Pricing Mechanism for IPOs in Nepal? Basu Dev Upadhyay [79-94] Effect of Macroeconomic Variables on Stock Market Index: With reference to Nepal Stock Exchange Purna Man Shrestha (M. Phil.) [95-107] Asset Liquidity and Capital Structure: Empirical Evidence from Nepal Prem Prasad Silwal [108-119] Bank Specific and Macroeconomic Determinants of Banking Profitability in Nepal Krishna Prasad Gwachha [120-129] Role of the Government in Promoting Corporate Social Responsibility in Nepal Bal Ram Chapagain [130-139] Securities Board of Nepal Jawalakhel, Lalitpur SEBON Journal Volume-VII (February 2019) Advisor Rewat Bahadur Karki, PhD Editoral Board Paristha Nath Paudyal Niraj Giri Nabaraj Adhikari, PhD Narayan Prasad Sharma Published By Securities Board of Nepal P.O. Box No. 9031 Jawalakhel, Lalitpur, Nepal Tel: 977-1-5541057, 5000102/107/162/201 Fax: 977-1-5541058 Email: [email protected] Website: www.sebon.gov.np © 2019 This journal and the individual contributions contained in it are protected under copyright by Securities Board of Nepal (SEBON) Notice No responsibility is assumed by the publisher for any injury and/or damage to persons or property as a matter of products liability, negligence or otherwise, or from any use or operation of any methods, products, instructions or ideas contained in the material herein. Editorial SEBON has come up with the Volume VII of SEBON Journal incorporating articles from expert in their respective field. SEBON had initiated to publish Journal in June 2004 which was continued till July 2013 with the publication of Volume- VI. The publication of Journal was stopped for the past few years due to other priority works of SEBON. The articles incorporated in the Journal encompasses the Ownership structure, risk and performance; Stock returns and trading volume relation; Factors affecting stock index; Role of financial institutions in economic growth; Fair trading strategy; Book building pricing mechanism; Effect of macroeconomic variables on stock market index; Asset liquidity and capital structure: Bank specific and macroeconomic determinants of banking profitability: and corporate social responsibility. The articles have been selected on the basis of research orientation, applicability, creativity, novelty, conceptual clarity, and coverage. Attempts have been made to incorporate quality articles in the journal and make available to readers who are interested in the area of Nepalese capital market. We believe that this volume like the previous one will prove to be inspiring to the research scholars, academicians, practitioners, policy makers. and investors to contribute in their areas of interest. We are responsible for any errors and deficiencies that may have remained in the journal. Any comments and suggestions for its improvements will be highly appreciated. We believe that all who have contributed the articles, and helped us directly or indirectly to bring out this volume of SEBON Journal. The opinions made in the articles solely the opinions of the authors and do not necessarily reflect the opinions of the institutions they are associated with and that of publishers. May 2019 Table of Contents S.N. Author's Name Title Pages 1. Radhe S. Pradhan, PhD and Ownership structure, risk and Bindu Pantha performance in Nepalese banking sector 1-16 2. Prof. Rajan Bahadur Poudel, PhD; Stock Return and Trading Volume and Shiva Ram Shrestha Relation In Nepalese Stock Market: AN ARDL Approach 17-32 3. Prakash Kumar Shrestha, PhD and Factors Affecting Stock Index in Shalikram Pokhrel, PhD Nepal 33-52 4. Bharat Ram Dhungana, PhD Role of Financial Institutions in Economic Growth: A Case of Nepal 53-66 5. Hom Nath Gaire Introducing Pair Trading Strategy In Nepal 67-78 6. Basu Dev Upadhyay Is there any Prospect of the Book Building Pricing Mechanism for IPOs in Nepal? 79-94 7. Purna Man Shrestha (M. Phil.) Effect of Macroeconomic Variables on Stock Market Index: With reference to Nepal Stock Exchange 95-107 8. Prem Prasad Silwal Asset Liquidity and Capital Structure: Empirical Evidence from Nepal 108-119 9. Krishna Prasad Gwachha Bank Specific and Macroeconomic Determinants of Banking Profitability in Nepal 120-129 10. Bal Ram Chapagain Role of the Government in Promoting Corporate Social Responsibility in Nepal 130-139 R.S Pradhan / B. Pantha|SEBON Journal-VII May (2019) Ownership structure, risk and performance in Nepalese banking sector Radhe S. Pradhan, PhD Bindu Pantha1 Abstract This study examines the effect of ownership structure on risk and performance of Nepalese commercial banks. The return on equity, net interest margin and credit risk are the dependent variables. The independent variables are foreign ownership, government ownership, private ownership, leverage, liquidity, bank age, bank size and deposit. The main source of data includes various issues of Banking and Financial Statistics, Quarterly Economic Bulletin and Bank Supervision Report published by Nepal Rastra Bank and annual reports of selected commercial banks. The study is based on the secondary data for the period of 5 years from 2010/11 to 2014/15. The data are collected for 24 Nepalese commercial banks, leading to the total of 120 observations. The regression models are used to examine the effect of ownership structure on risk and performance of Nepalese banking sector. The study reveals that foreign ownership, liquidity ratio, bank size and bank age are positively related to return on equity and net interest margin of Nepalese commercial banks. It indicates that higher the foreign ownership, liquidity ratio, bank size and bank age, higher would be the return on equity and net interest margin. Similarly, government ownership and foreign ownership are positively related to credit risk. It indicates that higher the government ownership and foreign ownership, higher would be the credit risk. Likewise, government ownership is negatively related to return on equity and net interest margin. It reveals that higher the government ownership, lower would be the return on equity and net interest margin in Nepal. Keywords:Return on equity, net interest margin, foreign ownership, government ownership, private ownership. 1. Introduction A bank is a financial intermediary that accepts deposits and channels those deposits into lending activities. Profitability is the major reason for banks to take greater amount of risk and make business successful. As a financial intermediary,bank plays a crucial role in the operation of most economies. It is the central source of investment fund. Ownership structure is considered as an important factor that affect a firm’s health. If the ownership structure affects firm’s health, then it is possible to use the ownership structure to predict the probability of default. Peng (2004) pointedoutthatthese parathion ofownership andcontrolmaycreateconflict of interestsbetween ownersandmanagers. Foreign owned banks exhibit a higher performance than other banks, particularly in developing countries (Micco et al., 2007). Regardingthenatureofowners,Alchian (1965)suggestedthatprivatefirmsshouldperformmoreefficientlyandmoreprofitablythanbothgovernme nt-ownedandmutualfirms. 1The authors are associated with Uniglobe College affiliated to Pokhara University, Kathmandu, Nepal. - 1 - R.S Pradhan / B. Pantha|SEBON Journal-VII May (2019) Barth et al. (2001) found that greater government ownership is associated with less efficient and less developed financial systems. State owned banks have greater proportions of nonperforming loans than other banks. Tehranian et al. (2010) found a positive relationship between government participation in bank ownership and risk. As per these studies, state owned banks have poor loan quality and higher default risk than privately owned banks. Gursoy and Aydogan (2002) examined the impact of ownership structure on performance and risk- taking behaviour of Turkish firms. This study concluded that there is a significant impact of ownership on both performance and risk-taking behaviour of Turkish firms. Higher concentration leads to better market performance. The study also found that the family owned firms seem to have low performance with low risk. Foreign banks are encouraged to enter and expand banking operations in the many countries. The foreign banks are more efficient than local banks (Kamau, 2009). There is a negative relationship between government ownership banks and bank profitability (Antoniadis and Sarrianides, 2010). Tehran an et al. (2010) found that the relationship between government participation in bank ownership and risk is positive and significant. The study concluded that state owned banks have poor loan quality and higher default risk than privately owned banks. Profitability is the major reason behind every one to take greater amount of risk and make business successful. It is the central source of investment fund. In banking sector, the importance
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