John-Baptiste Mabejane
Abstract
This study analyses systemic risk in the South African banking industry. It examines the role of bank size in determining whether a bank is a liquidity shock transmitter or receiver in the banking network. The study finds Standard Bank is the most diminutive liquidity risk receiver, and Investec is the least liquidity transmitter. It shows that Investec and FirstRand are the biggest liquidity risk receivers and that ABSA, Nedbank and FirstRand are the network’s most prominent transmitters of liquidity risk. It further finds that bank size is not critical in determining a bank’s systemic risk transmission position in the bank network. The results of the study suggest that the bank’s management and regulators should pay attention to ABSA, Nedbank and FirstRand as the three banks are the most systemically influential in the South African banking network.