Capitalization and profitability: applicability of capital theories in BRICS banking sector

Singhal, Nikita; Goyal, Shikha; Sharma, Divya; Kumari, Sapna; Nagar, Shweta

doi:10.1186/s43093-022-00140-w

Future Business Journal

Table 5 VECM/VAR Granger Causality Test.

From: Capitalization and profitability: applicability of capital theories in BRICS banking sector

Models	Model 1: CAR does not Granger Causes ROA		Model 2: CAR does not Granger Causes ROE		Model 3: CR does not Granger Causes ROA		Model 4: CR does not Granger Causes ROE		Model 5: ROA does not Granger Causes CAR		Model 6: ROE does not Granger Causes CAR		Model 7: ROA does not Granger Causes CR		Model 8: ROE does not Granger Causes CR
Statistics	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.	Coef.	Prob.
Long run
BRICS	0.008	0.847***	0.006	0.349**	− 0.291	0.014**	0.039	0.025*	− 0.151	0.000***	− 1.121	0.000***	− 0.177	0.000***	− 0.122	0.000***
Brazil	− 0.277	0.064*	− 0.405	0.054*	0.227	0.0674*	0.139	0.081*	− 1.823	0.004**	− 1.370	0.004**	− 0.941	0.000***	− 0.888	0.000***
Russia	− 0.277	0.064*	− 0.405	0.054*	0.227	0.0674*	0.139	0.081*	1.355	0.104	1.370	0.104	0.941	0.105	0.888	0.111
India	− 0.130	0.039**	− 0.079	0.053*	− 0.389	0.048**	− 0.411	0.043**	− 0.522	0.039**	− 0.669	0.028**	− 0.178	0.017**	− 0.230	0.023**
China	− 0.742	0.055*	− 0.158	0.000***	− 0.469	0.104	− 0.338	0.002***	0.012	0.867	1.012	0.890	0.020	0.115	0.837	0.203
South Africa	− 0.065	0.030**	− 0.422	0.137	− 1.008	0.011**	− 0.415	0.021**	− 0.065	0.505*	− 0.422	0.0137**	− 1.008	0.011**	− 0.415	0.021**
Short run
BRICS	2.419	0.298	2.242	0.325	3.839	0.146	0.402	0.817	0.233	0.089*	0.609	0.073*	7.222	0.027**	1.045	0.593**
Brazil	0.409	0.814	0.285	0.867	0.243	0.885	0.306	0.857	7.330	0.025**	8.138	0.017**	14.06	0.000***	13.58	0.001***
Russia	0.409	0.814	0.285	0.867	0.038	0.726	0.306	0.857	7.330	0.025**	8.138	0.017**	14.06	0.000***	13.58	0.1001
India	1.373	0.503	1.052	0.590	0.100	0.950	0.097	0.952	1.708	0.425	1.264	0.531	2.058	0.357	2.101	0.349
China	1.527	0.465	2.786	0.248	0.945	0.623	0.551	0.759	2.732	0.255	1.568	0.456	2.550	0.279	2.246	0.325
South Africa	5.128	0.070*	6.111	0.047**	1.850	0.396	1.825	0.401	5.128	0.077*	6.111	0.047**	1.850	0.039*	1.825	0.0401**

^*, **, *** indicates the rejection of the null preposition at the 10%, 5% and 1% significance level

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