Managing risks of listed banks in Vietnam under impacts of macro indicators - Case of NVB and ACB

ABSTRACT:

The period from the low inflation year of 2015 to the US-China trade war in 2020 had experienced impacts of macro factors on market risk measured by Beta CAPM of big banks in Vietnam. The qualitative and regression OLS methods were used to analyze two big banks, namely Navibank (NVB) which became National Citizen Bank (NCB) later, and Asia Commercial Bank (ACB). This research is to figure out effects of macro indicators on Beta CAPM of these 2 banks and compare effects during the period 2015-2020 with semiannual data. The research’s results indicate that the CPI and GDP have negative correlations with Beta CAPM of ACB and NVB while tthe Risk free rate (Rf) has a positive correlation with Beta CAPM of these banks. It implies that the increase in inflation, together with the decrease in Rf will decrease the market risk.

Keywords: market risk management, beta CAPM, low inflation, commercial banks, Vietnam, policy.

1.  Introduction

Big banks in Vietnam such as ACB and NVB (or NCB) need to improve financial risk management models and corporate governance after restructuring and impacts from trade war and Covid-19. This is the first reason we conduct this research paper.

This study will calculate and figure out not only inflation but other macro factors, both internal and external, such as GDP growth, risk free rate, lending rate, SP500, trade balance and exchange rate, etc. affecting the market risk level during the low inflation time (2015-2020).

We structure the study with introduction, research issues then literature review and methodology. Next is main research findings/results, discussion and conclusion and policy suggestion.

2.  Literature review

There many researches done to explore macro effects on risks, however there are 2 new perspectives of our study including:

- first, we measure macro effects on beta CAPM, a traditional model, both internal and external impacts

- second, we estimate in special period post-low inflation (L) time until China-US commerce war 2015-2020

Wang et all (2014) presented results showing that firms with long-term institutional investors receive significantly positive abnormal returns around the offering announcement. 

Then, Gunarathna (2016) revealed that whereas firm size negatively impacts on the financial risk, financial leverage and financial risk has positive relationship.

Hami (2017) showed that financial depth has been affected negatively by inflation in Iran during the observation period. 

And Kumaresan (2019) Indicates that compared to internal corporate factors, macroeconomic factors (exchange rate) have a greater effect on firm performance.

2.1 Methodology

We use the data from the stock exchange market in Viet Nam (HOSE and HNX) during the low inflation period 2015-2020 and China-US commerce war to estimate systemic risk results. We perform both fundamental data analysis and financial techniques to calculate beta CAPM values. Beta CAPM is a function with 9 macro variables (x1: GDP growth rate (g), x2: Risk-free rate Rf (i), x3: Loan interest rate (r), x4: Exchange rate (ex-rate), x5: S&P 500, x6: VNIndex, x7: trade balance, x8: industrial production index, x9: CPI). We use OLS regression.

3.  Main Results

3.1 General Data Analysis

First we look at the below figure for NVB case, we find out correlation matrix of external and internal variables. We see that Increase in industrial manufacturing index will cause Beta CAPM increases while decrease in CPI will make it decreases.

Second, we figure out, in ACB case, correlation matrix of external and internal variables. We see that Increase in lending rate will cause Beta CAPM increases while decrease in risk free rate will make it decreases.

3.2 Empirical Research Findings and Discussion

In the below section, data used are from 2015-2020 with weekly data for stock price of ACB and NVB, live data on VN stock exchange (HOSE and HNX mainly). Different scenarios are created by comparing 2 scenarios: macro internal factors impacts and macro external variables effects.

Using OLS regression from Eviews, we find out in NVB case: Balance of trade and VNIndex and Risk free rate have positive correlation with market risk of NVB while SP500, CPI and GDP growth have negative correlation with Beta CAPM of NVB. Looking at the below table we see external and internal effects on Beta CAPM of ACB: GDP growth and risk free rate and lending rate have higher impacts on ACB Beta CAPM, then CPI. If risk free rate increases, market risk will increase. Besides, coefficient of CPI, G and lending rate in case NVB have higher impacts than those in case ACB.

Table 1 - Both internal and External impacts on Beta CAPM

- Case NVB vs ACB

4. Discussion for further researches

We can continue to analyze risk factors behind the risk scene (FDI, public debt, etc.) in order to recommend suitable policies and plans to control market risk better.

5. Conclusion and Policy suggestion

As shown from the above regression model and equation, Government and Ministry of Finance need to increase GDP growth and control CPI for lower market risk.

This research paper provides evidence that the market risk is affected much more by CPI, GDP growth, risk free rate and lending rate. It means that the role of bank system in trying to control credit growth and rates reasonably.

Our model also shows that other macro factors such as SP500, VNIndex and exchange rate just have slight impact on Beta CAPM. And macro internal factors have much more effects on market risk of banks.

Specifically, for banks and companies listed on Vietnam's stock market:

- Building a Beta CAPM /market risk measurement model as described above through the stages to monitor risks of key financial services industries including listed banks on Vietnam stock market

- Building a model to analyze the impact of macro variables on Beta CAPM for the financial services sector as described above.

Moreover, the government and relevant bodies such as Ministry of Finance and State Bank of Vietnam need to consider proper policies (including a combination of fiscal, monetary, exchange rate and price control policies) aiming to reduce the risk volatility and hence, help the bank system as well as the whole economy become more stable in next development stage. 

ACKNOWLEDGEMENTS:

I would like to take this opportunity to express my warm thanks to Board of Editors, my family, colleagues, and brother in assisting convenient conditions for my research paper.

REFERENCES :

1. 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).
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,7, no.18. doi:10.3390/ijfs7020018
3. 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.
4. Curran,M., and Velic, A. (2018). 'The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis',Trinity Economics Papers0618, Trinity College Dublin, Department of Economics.
5. DeGennaro, Ramon P., Kim, Sangphill. (2003). The CAPM and Beta in an Imperfect Market, SSRN Working paper series
6. Huy, D.T.N. (2012). Estimating Beta of Viet Nam listed construction companies groups during the crisis, Journal of Integration and Development, 15(5).
7. 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, 2715-2730. https://doi.org/10.9770/jesi.2020.7.4(10).
8. 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.
9. 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.
10. Tahmidi, A. Westlund, S.A., & Sheludchenko, (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.
11. Tomuleasa, I.I. (2015). 'Macroprudential policy and systemic risk: An overview', Procedia Economics and Finance, 20, pp.645 - 653.

Quản trị rủi ro của các ngân hàng niêm yết tại Việt Nam dưới các tác động vĩ mô: Trường hợp của Ngân hàng TMCP Quốc Dân (NVB) và Ngân hàng TMCP Á Châu (ACB)

ThS. Đinh Trần Ngọc Huy

Cao học viên Đại học Ngân hàng TP. Hồ Chí Minh

ThS. Lê Thị Hân

Đại học Ngân hàng TP. Hồ Chí Minh

ThS. Phạm Thị Hồng Nhung

Cao đẳng Công nghệ Thông tin TP. Hồ Chí Minh

Vũ Thị Kim Anh

Đại học Công đoàn

Bùi Minh Chuyên

Trường Bồi dưỡng Cán bộ Tài chính

TÓM TẮT:

Trong nghiên cứu này, rủi ro thị trường của các ngân hàng lớn tại Việt Nam trong giai đoạn từ năm 2015 vốn có mức lạm phát thấp đến năm 2020 - thời điểm xảy ra cuộc chiến tranh thương mại Mỹ - Trung Quốc được đo lường bằng hệ số Beta trong mô hình định giá tài sản vốn (CAMP). Mô hình hồi quy OLS và phân tích định tính đã được áp dụng trong nghiên cứu này để phân tích Ngân hàng TMCP Quốc Dân (NVB, trước đây là ngân hàng Navibank) và Ngân hàng TMCP Á Châu (ACB). Nghiên cứu này nhằm phân tích tác động của các chỉ số vĩ mô đến hệ số Beta CAPM của 2 ngân hàng trên và so sánh các ảnh hưởng trong giai đoạn từ năm 2015 đến năm 2020 với các số liệu bán niên. Kết quả nghiên cứu chỉ ra rằng chỉ số CPI và GDP có mối quan hệ nghịch chiều với chỉ số Beta CAPM của ngân hàng NVB và ngân hàng ACB. Trong khi đó, mức lãi suất phi rủi ro (Rf) có mối quan hệ thuận chiều với chỉ số Beta CAPM của các ngân hàng trên. Điều này cho thấy sự gia tăng lạm phát cùng với sự suy giảm của Rf sẽ làm giảm rủi ro thị trường.

Từ khóa: quản trị rủi ro thị trường, beta CAPM, lạm phát thấp, ngân hàng thương mại, Việt Nam, chính sách.

[Tạp chí Công Thương - Các kết quả nghiên cứu khoa học và ứng dụng công nghệ, Số 2, tháng 1 năm 2021]