Estimating Market Risk in a Listed Vietnam Bank and what affect Beta Capm of Listed Banks? - A Case of Eximbank

Dinh Tran Ngoc Huy; Nguyen Thi Hoa; Nguyen Thu Thuy; Nguyen Thi Hang; Sylwia Gwoździewicz; Esra Sipahi

doi:10.37421/2169-026X.2021.10.324

Short Communication - (2021) Volume 10, Issue 9

Estimating Market Risk in a Listed Vietnam Bank and what affect Beta Capm of Listed Banks? - A Case of Eximbank

Dinh Tran Ngoc Huy¹^*, Nguyen Thi Hoa², Nguyen Thu Thuy³, Nguyen Thi Hang⁴, Sylwia Gwoździewicz⁵ and Esra Sipahi⁶

^*Correspondence: Dinh Tran Ngoc Huy, MBA, Banking University HCMC Vietnam, GSIM International University of Japan, Japan, Tel: +84936410639, Email:

Author information

¹MBA, Banking University HCMC Vietnam, GSIM International University of Japan, Japan
²Thu Dau Mot University, Binh Duong Vietnam, Vietnam
³Thai Nguyen University of Economics and Business Administration (TUEBA), Vietnam
⁴Thai Nguyen University, University of Information and Communication Technology, Vietnam
⁵Jacob of Paradies University in Gorzow Wielkopolski, Poland
⁶Social Sciences University of Ankara, Turkey

Received: 06-Aug-2021 Published: 27-Sep-2021 , DOI: 10.37421/2169-026X.2021.10.324
Citation: Dinh Tran Ngoc Huy, Nguyen Thi Hoa, Nguyen Thu Thuy, Nguyen Thi Hang, Sylwia Gwoździewicz and Esra Sipahi. "Estimating Market Risk in a Listed Vietnam Bank and what affect Beta Capm of Listed Banks? - A Case of Eximbank." J Entrepren Organiz Manag 10 (2021): 324.
Copyright: © 2021 Dinh Tran Ngoc Huy, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

Abstract

Huy, D.T.N., & Hang, N.T stated we need to estimate macro effects on beta and build better risk model at Vietnam banks. We run OLS regression and selected Eximbank in Vietnam for studying market risk subject with macro determinants.

Banks in Vietnam play a major roles in economic promoting as well as contribute to community activities over years. Huy, D.T.N mentioned we need to enhance risk management in commercial banks.

Our study shows that for external, SP 500 and trade balance have positive relation with beta EIB. Moreover, for internal, We can infer from the above table 11 that:CPI and IM have positive relation with beta.

Then risk policies were suggested.

Keywords

Bank market risk • Vietnam banks • Eximbank • Beta CAPM • Inflation

Introduction

First, we recognize the importance of bank risk management has risen to a new level in recent years.

Therefore, this study will address below research question:

Question: To what extent macro indicators has affected beta CAPM of Eximbank - EIB and implied policies?

Literature Review

First, Khasawneh stated that contradicting to theory of agency cost, between bank performance and debt financing there is negative relation.

Second, Das and Rout [1] mentioned under covid 19 impact, many countries experienced higher volatility than crisis 2008, if risk is measured using Value-at- Risk models.

Moreover, Gupta specified that Information system (IS) is important in almost all the functional areas of any bank.

Kahihu et al said that in Kenya, there is positive impacts from leverage and interest rate on financial performance of MFIs-microfinance [2].

And last but not least, Sibanda mentioned digital technology has transformed banking from classical model to innovative Fintech collaborative model [3].

Methodology

Method and data

This study used synthesis, inductive methods and used explanatory research designs. OLS regression was conducted for quantitative model. The study used data which was collected and analyzed from bank system and Bureau of statistics and stock market from 2011-2020 [4].

Looking at descriptive statistics below, we see that:

- The highest standard dev is belong to VnIndex and the 2nd highest is IM (Table 1).

- Correlation b.t IM and beta higher than that b.t beta and G (Table 2).

- Correlation b.t trade balance and beta higher than that b.t beta and SP 500 (Tables 3 and 4).

Main Results

Overall results

We figure out that:

-CPI, G, IM, Rf and beta EIB have positive correlation see Figures 1, 3,4 and 6.

- Exchange rate, R and beta EIB have negative correlation see Figures 2 and 5.

- VNIndex, trade balance and beta have positive correlation see Figures 7 and 8.

OLS Regression results

Then we figure out that: in a single model

- Between CPI and beta there is positive correlation (Table 5).

- Between exchange rate and beta there is negative correlation (Table 6).

- Between IM and beta there is positive correlation (Table 7).

- R and beta has negative relation but Rf and beta has positive relation (Tables 8 and 9).

entrepreneurship-organization-management-CPI

Figure 1. CPI vs. BETA_EIB.

entrepreneurship-organization-management-EX-RATE

Figure 2. EX_RATE vs. BETA_EIB.

entrepreneurship-organization-management-G

Figure 3. G vs. EX_RATE.

entrepreneurship-organization-management-IM

Figure 4. IM vs. BETA_EIB.

entrepreneurship-organization-management-R

Figure 5. R vs. BETA_EIB.

entrepreneurship-organization-management-RF

Figure 6. RF vs. BETA_EIB.

entrepreneurship-organization-management-TRADEBALANCE

Figure 7. TRADEBALANCE vs. BETA_EIB.

**Table 1.** EIB beta and other factors descriptive.
	Beta EIB	CPI	G	IM	R	Rf	Vn Index
Mean	1.2	004	0.05	162.0	0.1	0.05	680.2
Media	1.13	0.03	0.05	150.0	0.1	0.05	606.6
Max	4.7	0.18	0.07	267.2	0.1	0.13	1067.5
Min	-0.4	0.006	0.01	117.4	0.08	0.01	351.5
Std.dev	1.10	0.04	0.01	36.9	0.03	0.02	226.7
Jarque- Bera	18.5	19.4	9.1	8.6	6.9	4.0	1.7
Prob	0.00009	0.00005	0.01	0.01	0.03	0.13	0.42

**Table 2.** EIB beta and other internal factors correlation.
	Beta EIB	CPI	G	IM	R	Rf	Vn Index
Beta EIB	1	0.2	0.1	0.3	-0.2	0.2	0.18
CPI	-	1	0.03	0.1	0.5	0.6	-0.5
G	-	-	1	0.2	-0.04	0.06	0.01
IM	-	-	-	1	0.1	-0.01	0.05
R	-	-	-	-	1	0.4	-0.7
Rf	-	-	-	-	-	1	-0.8
VnIndex	-	-	-	-	-		1

**Table 3.** EIB beta and other external factors descriptive.
	Beta EIB	Ex rate	SP500	Trade balance
Mean	1.2	22394	2245	-75.1
Median	1.13	22700	2138	-125
Max	4.7	23230	3703	498
Min	-0.4	20618	1292	-1162
Std.dev	1.10	837	685	402
Jarque- Bera	18.5	2.7	0.8	2.08
Prob	0.00009	0.2	0.6	0.3

**Table 4.** EIB beta and other external factors descriptive.
	Beta EIB	Ex rate	SP500	Trade balance
Beta EIB	1	-0.2	0.02	0.2
Ex rate	-	1	0.7	0.04
SP500	-	-	1	0.3
Trade balance	-	-	-	1

**Table 5.** EIB beta and OLS for CPI.
Variable	Coefficient	Std error
CPI	6.2	5.5
C	0.9	0.3
R squared	0.06	-
Akaike info criteria	3.1	-

**Table 6.** EIB beta and OLS for Exchange rate.
Variable	Coefficient	Std error
Ex rate	-0.0003	0.0003
C	8.7	6.7
R squared	0.06
Akaike info criteria	3.1

**Table 7.** EIB beta and OLS for IM.
Variable	Coefficient	Std error
IM	0.009	0.006
C	-0.3	1.11
R squared	0.09	-
Akaike info criteria	3.08	-

**Table 8.** EIB beta and OLS for R,Rf.
Variable	Coefficient	Std error
R	-21.05	8.1
Rf	23.2	9.02
R squared	0.34	-
Akaike info criteria	2.8	-

**Table 9.** EIB beta and OLS for G, VnIndex.
Variable	Coefficient	Std error
G	10.2	18.8
VNIndex	0.0008	0.001
R squared	0.04	-
Akaike info criteria	3.2	-

**Table 10.** EIB beta and OLS for 3 external factors.
Variable	Coefficient	Std error
Ex Rate	-0.0006	0.0004
SP500	0.0005	0.0006
Trade balance	0.0002	0.0007
C	15.4	9.39
R squared	0.16	-
Akaike info criteria	3.2	-

**Table 11.** EIB beta and OLS for 6 internal factors.
Variable	Coefficient	Std error
CPI	5.08	5.1
G	-3.1	12.6
IM	0.008	0.005
R	-5.6	11.2
Rf	43.9	12.8
VNIndex	0.005	0.002
C	-5.4	2.9
R squared	0.6	-
Akaike info criteria	2.4	-

Analysis

We can infer from the above table 10 that: for external, SP 500 and trade balance have positive relation with beta EIB.

Moreover, We can infer from the above table 11 that:CPI and IM have positive relation with beta [5].

Discussion and Conclusion

Because SP 500 and trade balance have positive relation with beta EIB And from the above table 11:CPI and IM have positive relation with beta: we suggest that agencies need to control trade balance and IM, and reduce CPI to reduce risk.

Limitation of Research

We can expand our research model for other industries and other markets.

References

Das N Moni and Rout S Bhabani. “Impact of COVID-19 on Market Risk: Appraisal with Value-at-risk Models.” The Indian Economic J 68 (2020): 396-416.
Ajinkya Bijal and Kumar Mahesh. “Taxation aspects of Mergers and Acquisitions.” Asia-Pacific Tax Bulletin (2012).
Bancel Franck and Mittoo Usha R. “Financial Flexibility and the Impact of the Global Financial Crisis: Evidence from France.” Int J Manag Finance 7 (2011): 179-216.
Duong Thi Tinh, Nguyen Thu Thuy and Dinh Tran Ngoc Huy. “Doing Business Research and Teaching Methodology for Undergraduate, Postgraduate and Doctoral Students-Case in Various Markets Including Vietnam.” Elementary Education Online 20 (2021): 1414-1418.
Dinh Tran Ngoc Huy and Nguyen Thi Hang. “Factors that affect stock price and Beta CAPM of Vietnam Banks and Enhancing Management infomation system Case of Asia Commercial Bank.” Manag Innovation Technol 11 (2021): 302-308.