Document Type : Research Article
1 Asso.Prof., National Economics University (NEU) Vietnam
2 PhD candidate, Banking University HCMC, Ho Chi Minh city Vietnam - International University of Japan, Japan.
3 Trade Union University, Vietnam
Vietnam has reached a low inflation rate of 06% in year 2015, so it is good to see what happen in bank management during the post- low (L) inflation time 2015-2020, in order to propose plans to maintain banking business management sustainability.
Within volatility of multi macro factors, this paper will estimate bank risks with Beta CAPM measurement in the nation in the above selected period.
Next step, we aims to measure and evaluate how much macro factors effects in the market risk of 7 big listed banks with semiannual data. We use synthesis statistics methods, and dialectical materialism method, combined with econometric model with 9 macro variables, and figure out that lending rate and risk free rate have inverse effects on market risk. It implies that increase in lending rate will cause market risk declines whereas increase in Rf will cause beta increases.
Then, we will suggest recommendations for improving bank management capabilities for sustainable bank management and governance. We recognize that modern advanced bank management solutions are needed for incoming periods.
JEL classification numbers: M21, G12, G30, E58, E62
- bank management
- beta CAPM
- macro effects
- low inflation
- banking industry
- Abadi, H.R.D., Fathi, S., and Zare, M. (2012). 'Analyze the impact of financial variables on the market risk of Tehran Stock Exchange companies', Interdisciplinary Journal of Contemporary Research in Business, vol.10, no.3, pp.664-671.
- Adhikari. N. (2015). 'Determinants of Systemic Risk for Companies Listed on Nepal Stock Exchange', Global Journal of Management and Business Research: C Finance,vol.15, no.5, pp. 75-83.
- Akbari P. and Mohammadi E. (2013). 'A Study of the Effects of Leverages Ratio on Systematic Risk based on the Capital Asset Pricing Model Among Accepted Companies in Tehran Stock Market', Journal of Educational and Management Studies, vol.3, no.4, pp. 271-277.
- Al-Qaisi., K.M. (2011). 'The Economic Determinants of Systematic Risk in the Jordanian Capital Market', International Journal of Business and Social Science, vol.2, no.20, pp. 85-95.
- Anderssen, T.G., Bollerslev, T., Diebold, F.X., and Wu, J. (2005). 'A Framework for Exploring the Macroeconomic Determinants of Systematic Risk', Financial Economics, Macroeconomics, and Econometrics, vol.95. no.2, pp. 398-404.
- Arnes, S.K. (2014). 'Impact of Macroeconomic Indicators on Stock Market Performance: The Case of The Istanbul Stock Exchange', Master Thesis, Copenhagen Business School. Retrieved from:https://research-api.cbs.dk/ws/portalfiles/portal/58450158/sibel_arnes.pdf.
- Ahmad, N., and Ramzan, M. (2016). 'Stock Market Volatility and Macroeconomic Factor Volatility', International Journal of Research in Business Studies and Management, 3(7), 37-44. Ahmed, A., Ejaz, A., Ali, R., Ishfaq Ahmad, I. 2018. Sectoral integration and investment diversification opportunities: evidence from Colombo Stock Exchange. Entrepreneurship and Sustainability Issues, vol.5, no.3, pp. 514-527. https://doi.org/10.9770/jesi.2018.5.3(8)
- Basu, Devraj., and Streme, Alexander. (2007). CAPM and Time-Varying Beta: The Cross-Section of Expected Returns, SSRN Working paper series
- Bohachova, O. (2008). 'The Impact of Macroeconomic Factors on Risks in the Banking Sector: A Cross-Country Empirical Assessment', IAW Discussion Papers 44, Institut für Angewandte Wirtschaftsforschung (IAW).
- Bowman, R.G. (1979). 'The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables', The Journal of Finance, vol. 34, no.3, pp. 617-630.
- Butt, B.Z., Rehman, K.U. (2010). 'Do economic factors influence stock returns? A firm and industry level analysis', African Journal of Business Management, vol.4, no.5, pp. 583-593
- Chatterjea, Arkadev., Jerian, Joseph A., and Jarrow, Robert A. (2001). Market Manipulation and Corporate Finance: A new Perspectives, 1994 Annual Meeting Review, SouthWestern Finance Association, Texas, USA.
- Chen RR, Chidambaran NK, Imerman MB, Sopranzetti BJ. (2013). Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis, Fordham School of Business Research Paper No.2279686
- Cheng, L.Y., Wang, M.C., and Chen, K.C. (2014). Institutional Investment Horizons and the Stock Performance of Private Equity Placements: Evidence from the Taiwanese Listed Firms, Review of Pacific Basin Financial Markets and Policies, 17(2).
- Celebi, K., and Honig, M. (2019). 'The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods', International Journal of Financial Studies, vol.7, no.18. doi:10.3390/ijfs7020018
- Claudia, M.P., Sandra, E., and Esteban, P. (2010).'Macroeconomic factors and micro-level bank risk', Discussion Paper Series 1: Economic Studies No 20/2010.
- Curran,M., and Velic, A. (2018). 'The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis',Trinity Economics Papers 0618, Trinity College Dublin, Department of Economics.
- DeGennaro, Ramon P., Kim, Sangphill. (2003). The CAPM and Beta in an Imperfect Market, SSRN Working paper series
- Dimitrov V, Jain PC. (2006). The Value Relevance of Changes in Financial Leverage, SSRN Working Paper
- Emilios, A. 2015, 'Bank Leverage Ratios and Financial Stability: A Micro- and Macroprudential Perspective', Working Paper No.849, Levy Economics Institute
- Eugene FF, French KR. (2004). The Capital Asset Pricing Model: Theory and Evidence, Journal of Economic Perspectives.
- Galagedera, D.U.A. (2007).An alternative perspective on the relationship between downside beta and CAPM beta, Emerging Markets Review
- Galagedera, D.U.A. (2007).'An alternative perspective on the relationship between downside beta and CAPM beta', Emerging Markets Review
- Gay, R.D. (2016). 'Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China', International Business & Economics Research Journal, vol.15, no.3.
- Gizycki, M. (2001). 'The Effect Of Macroeconomic Conditions on Bank Risks and Profitability', Research Discussion Paper 2001-06,System Stability Department Reserve Bank of Australia. Retrieved from: https://www.rba.gov.au/publications/rdp/2001/pdf/rdp2001-06.pdf.
- Gunarathna, V. (2016). How does Financial Leverage Affect Financial Risk? An Empirical Study in Sri Lanka, Amity Journal of Finance, 1(1), 57-66.
- Gunaratha V. (2013). The Degree of Financial Leverage as a Determinant of Financial Risk: An Empirical Study of Colombo Stock Exchange in Sri Lanka, 2nd International Conference on Management and Economics Paper.
- Hojat, S. (2015). 'The Impact of Monetary Policy On the Stock Market', Doctoral dissertation, Walden University. Retrieved from: https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=2602&context=dissertations
- Huey-Yeh, L., Nuraeni, H.F., and Meihua, K. (2016).'The Impact of Macroeconomic Factors on Credit Risk in Conventional Banks and Islamic Banks: Evidence from Indonesia', International Journal of Financial Research, vol.7, no.4.
- Huy, D. T.N., Loan, B. T., and Anh, P. T. (2020). 'Impact of selected factors on stock price: a case study of Vietcombank in Vietnam', Entrepreneurship and Sustainability Issues, vol.7, no.4, pp. 2715-2730. https://doi.org/10.9770/jesi.2020.7.4(10)
- Huy, D.T.N. (2012). Estimating Beta of Viet Nam listed construction companies groups during the crisis, Journal of Integration and Development 15 (1).
- Huy, D. T.N., Dat, P. M., và Anh, P. T. (2020). 'Building and econometric model of selected factors’ impact on stock price: a case study', Journal of Security and Sustainability Issues, vol.9(M), pp. 77-93. https://doi.org/10.9770/jssi.2020.9.M(7)
- Huy D.T.N., Nhan V.K., Bich N.T.N., Hong N.T.P., Chung N.T., Huy P.Q. (2021). 'Impacts of Internal and External Macroeconomic Factors on Firm Stock Price in an Expansion Econometric model—A Case in Vietnam Real Estate Industry', Data Science for Financial Econometrics-Studies in Computational Intelligence, vol.898, Springer. http://doi-org-443.webvpn.fjmu.edu.cn/10.1007/978-3-030-48853-6_14
- Khwaja, Asim Ijaz., and Mian, Atif. (2005). Unchecked intermediaries:Price manipulation in an emerging stock market, Journal of Financial Economics 78, 243 – 241
- Krishna, R.C. (2015). 'Macroeconomic Variables impact on Stock Prices in a BRIC Stock Markets: An Empirical Analysis, Journal of Stock & Forex Trading, vol.4, no.2. https://doi.org/10.4172/2168-9458.1000153
- Kulathunga, K. (2015). Macroeconomic Factors and Stock Market Development: With Special Reference to Colombo Stock Exchange, International Journal of Scientific and Research Publications, vol.5, no.8, pp. 1-7.
- Kumaresan, R. (2019). 'The Effects of Macroeconomics Factors towards the Starbucks Corporation', MPRA Paper No. 97243. Retrieved from:https://mpra.ub.uni-muenchen.de/97243/1/MPRA_paper_97243.pdf
- Patro, D.K., Wald, J., & Wu, Y. (2002). 'The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns', European Financial Management, 8(4):421 - 447. DOI: 10.1111/1468-036X.00198
- Park, J.C, Ali, F.D., & Mbanga, C. (2019). Investor sentiment and aggregate stock returns: the role of investor attention, Review of Quantitative Finance and Accounting, 53(2), 397 - 428.
- Sadia, S., and Noreen, A. 2012, 'Impact of Macroeconomic Factors on Banking Index in Pakistan', Interdisciplinary Journal of Contemporary Research in Business, vol.4, no.6, pp. 1200-1218.
- Saeed, S., and Akhter, N. (2016). 'Impact of Macroeconomic Factors on Banking Index in Pakistan', Interdisciplinary Journal of Contemporary Research in Business, vol.4, no.6.
- Singh, T., Mehta, S., and Versha, M.S. (2010). 'Macroeconomic factors and stock returns: Evidence from Taiwan', Journal of Economics and International Finance, vol.2, no.4, pp. 217-227
- Siregar, E.I., and Diana. (2019). 'The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange-An Approach of Arbritage Pricing Theory (APT)', International Conference on Economics, Management, and Accounting (ICEMA), pp.744–772. DOI: https://doi.org/10.18502/kss.v3i26.5412
- Tahmidi, A. Westlund, S.A., & Sheludchenko, D. (2011). The Effect of Macroeconomic Variables on Market Risk Premium, Working paper, Mälardalen University. Retrieved from: https://www.diva-portal.org/smash/get/diva2:429080/FULLTEXT01.pdf
- Tomuleasa, I.I. (2015). 'Macroprudential policy and systemic risk: An overview', Procedia Economics and Finance, 20, pp.645 – 653.