Muritala, Taiwo A. | Ijaiya, Muftau A. | Afolabi, Olatanwa H. | Yinus, Abdulrasheed B.
JEL classification: C01, G21, G30, G34, O55;
Keywords: Granger Causality, Fraud, Bank Performance, NDIC, Nigeria;
Abstract: This paper examines the causality between fraud and bank performance in Nigeria over the period
2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and
Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship
between the variables. Bank performance was found to be linked to Granger fraud variables and
vice versa at 10% significant level. This study reveals that there was a direct causal relationship
between bank performance and fraud because increase in fraudulent activities in the banking
sector leads to reduction in bank performance. Hence, this study recommends that internal control
systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets
would be protected.