Document Type : Research Article
- DINH TRAN NGOC HUY 1
- VU THI KIM ANH, PHD 2
- NGUYEN NGOC THACH, PHD 3
- LE DINH HAC, PHD 3
- TRAN TUAN ANH, PHD5 4
- HOANG THANH HANH, PHD 5
1 MBA, PhD candidate (Banking University HCMC, Ho Chi Minh city Viet Nam, MBA, Graduate School of International Management, International University of Japan, Niigata, Japan
2 Trade Union University, Hanoi Vietnam
3 Banking University HCMC, Ho Chi Minh city Vietnam
4 Thai Nguyen University of Economics and Business Administration (TUEBA), Vietnam
5 Academy of Finance Vietnam
Estimating Beta CAPM is a basis for evaluating market risk in the banking sector in Vietnam economy, esp. During pre-low (L) inflation time 2011-2015 and post-L inflation period 2015-2020. The more the economy growing, the more important the role of risk management in commercial bank. Also, the more transparent of financial data, the better the capital flows in the banking and financial market.
This research paper aims to figure out in 7 big listed banks in Vietnam including Vietcombank (VCB), Vietinbank (CTG), Asia Commercial Bank (ACB), Sacombank (STB), Navibank (NVB) now become National Citizen Bank, Eximbank (EIB) and Saigon Hanoi Bank (SHB), how much and what is the Weighted Beta CAPM formula based on firm or bank market value during the period 2011-2020 with semiannual data.
The result will be a measurement which help us to calculate macro effects on market risk in banking industry. Research findings show us that during post-low inflation time, weighted beta CAPM tends to increase higher, so bank system need to prepare to manage risk better.
Last but not least, Our recommendation can be used for reference in many other developing markets.
JEL classification numbers: M21, M1, G12, G30
- market risk management
- weighted beta CAPM
- Market value
- 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., 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
- Nawaz. R., Ahmed, W., Imran, Sabir, S., and Arshad, M. 2017, 'Financial Variables and Systematic Risk', Chinese Business Review, vol. 16, no. 1, pp. 36-46. doi: 10.17265/1537-1506/2017.01.004
- Ozlen., S., and Ergun, U. (2012). 'Macroeconomic Factors and Stock Returns', International Journal of Academic Research in Business and Social Sciences, vol.2, no.9, pp. 315-343.
- Li, L., and Pornchai, C. (2014). Income Structure, Competitiveness, Profitability, and Risk: Evidence from Asian Banks, Review of Pacific Basin Financial Markets and Policies, 17(3).
- Loc, T.D., & Trang, D.T.H. (2014). Mô hình 3 nhân tố Fama-French: Các bằng chứng thực nghiệm từ Sở giao dịch chứng khoán TPHCM, Can Tho scientific journal, 32(4) : 61-68.
- Martin, K., and Sweder, V.W. (2012). On Risk, leverage and banks: Do highly leveraged banks take on excessive risk?, Discussion Paper TI 12-022/2/DSF31, Tinbergen Institute
- Pamane, K., and Vikpossi, A.E. 2014, 'An Analysis of the Relationship between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM', Research in World Economy, vol.5, no.1, pp. 13-28.
- 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
- Perkovic, A. (2011). 'Research of Beta As Adequate Risk Measure - Is Beta Still Alive?', Croatian Operational Research Review (CRORR), vol. 2, pp. 102-111.
- Puspitaningtyas, Z. (2017). 'Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia', Investment Management and Financial Innovations, vol.14, no.1, pp. 46-54. doi:10.21511/imfi.14(1).2017.05
- 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.
- Quan, V.D.H. (2012). Rủi ro hệ thống và vấn đề xác định hệ số bê-ta tại Việt Nam, Tạp chí tài chính, truy cập tại <http://tapchitaichinh.vn/nghien-cuu-trao-doi/rui-ro-he-thong-va-van-de-xac-dinh-he-so-beta-tai-viet-nam-1257.html> [Date access 20/12/2020]
- Robicheck, A.A., and Cohn, R.A. (1974). 'The Economic Determinants of Systematic Risk', The Journal of Finance, Vol. 29, No. 2, pp. 439-447
- Sadeghzadeh, K. (2018). 'The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis', Theoretical and Applied Economics Volume XXV, vol.3, no.616, pp. 113-134
- 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
- Umar. (2011). Profits, Financial Leverage and Corporate Governan