Table 7.
Robustness test results for risk governance structure and bank risk management.
| RGV |
ASIZE |
ACIN |
FAEA |
ACMF |
SARC |
EXAQ |
||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (1) |
(2) |
(3) |
(4) |
(5) |
(6) |
|||||||
| Dependent variable: ROE | Coeff | t-stat | Coeff | t-stat | Coeff | t-stat | Coeff | t-stat | Coeff | t-stat | Coeff | t-stat |
| Lag (ROE) | 0.70∗∗∗ | 4.47 | 0.47∗∗∗ | 3.50 | −3.12∗∗∗ | −13.01 | −2.93∗∗∗ | −9.15 | −2.76∗∗∗ | −12.64 | −2.78∗∗∗ | −10.05 |
| Zscore | 0.00 | 0.91 | 0.00 | 0.07 | −0.00 | −0.94 | 0.00 | 0.37 | 0.01∗∗ | 2.03 | 0.00 | 0.28 |
| NPLS | 0.95∗∗ | 1.99 | 0.59∗ | 1.68 | −3.23∗∗ | −2.12 | −0.54 | −0.26 | 2.16∗ | 1.91 | −2.85∗ | −1.79 |
| DROA | −19.60∗ | −1.75 | −4.91∗ | −1.92 | −2.08 | −0.37 | −3.25 | −0.36 | −53.99∗∗ | −2.47 | −4.91∗∗∗ | −2.78 |
| Zscore∗RGV | −0.00 | −1.00 | −0.00 | −0.99 | 0.00 | 0.61 | −0.00 | −0.84 | −0.01∗∗ | −2.57 | −0.00 | −0.59 |
| NPLS∗RGV | −0.19∗ | −1.83 | −0.81 | −1.01 | 6.64∗∗ | 2.20 | 0.08 | 0.28 | −1.70 | −1.04 | 3.99∗∗ | 1.98 |
| DROA∗RGV | 5.18∗ | 1.73 | 5.35∗∗ | 2.08 | −10.44 | −0.81 | −0.61 | −0.33 | 37.16∗ | 1.71 | −12.56 | −0.81 |
| BASI | 0.05 | 1.52 | 0.03∗∗∗ | 3.19 | 0.24∗∗ | 2.06 | 0.08∗ | 1.68 | 0.05 | 0.96 | 0.08 | 0.93 |
| BOSI | −0.00 | −0.22 | −0.00 | −0.41 | 0.03 | 1.04 | 0.06∗ | 1.76 | 0.01 | 0.60 | 0.01 | 0.98 |
| BOIN | −0.09 | −0.90 | 0.01 | 0.10 | 0.22 | 0.57 | 0.07 | 0.15 | −0.08 | −0.49 | −0.59 | −1.13 |
| BAAG | −0.00 | −0.84 | −0.00 | −0.80 | −0.01∗ | −1.87 | −0.00 | −1.34 | −0.00 | −1.07 | −0.00 | −0.15 |
| SOWN | −0.11∗ | −1.77 | −0.02 | −1.43 | −0.38 | −1.34 | −0.23 | −1.16 | −0.11 | −1.53 | −0.21 | −0.80 |
| FOWN | −0.04 | −1.47 | 0.03 | 0.49 | 0.34 | 0.72 | 0.10 | 0.52 | 0.28 | 1.17 | 0.15 | 0.78 |
| GDPC | −0.05 | −0.69 | −0.03 | −0.68 | −0.38∗ | −1.65 | −0.28 | −0.99 | −0.02 | −0.15 | 0.07 | 0.28 |
| CONC | 0.02∗ | 1.77 | 0.02∗∗ | 2.53 | 0.05 | 0.49 | 0.07 | 0.50 | 0.06 | 0.70 | 0.09 | 0.62 |
| Cons | −0.21 | −1.16 | −0.13 | −0.78 | −0.69 | −0.83 | 0.12 | 0.17 | 0.11 | 0.19 | −0.52 | −0.52 |
| AR2 (p-value) | 0.666 | 0.585 | 0.236 | 0.260 | 0.237 | 0.242 | ||||||
| Hansen test (p-value) | 0.353 | 0.284 | 0.176 | 0.116 | 0.126 | 0.163 | ||||||
| No of instrument | 78 | 79 | 77 | 66 | 82 | 84 | ||||||
| Obs | 1101 | 1069 | 1069 | 1049 | 1101 | 1101 | ||||||
Note: This table presents the results of the estimates of Eq. (2) by applying SGMM method for dependent variable ROE. Regression (1) to (7) present the estimation for each of risk governance structure variables and risk governance effectiveness used as interaction variables: It includes audit committee size (1), audit committee independence (2), financial and accounting experts on audit committee (3), audit committee meeting frequency (4), risk committee existence (5) and external audit quality (6) respectively. RGV represents for each of risk governance structure and risk governance effectiveness for each regression. See Table 3 for variable definitions. ∗∗∗p < 0.1, ∗∗p < 0.05 and ∗∗∗p < 0.001.