Measuring the Volatility of Market Risk of Vietnam Banking Industry After the Low Inflation Period 2015–2017

Nguyen Ngoc Thach, Nguyen Van Bao, Dinh Tran Ngoc Huy, Bui Dan Thanh (), Le Thi Viet Nga (), Truong Thu Ha () and Nguyen The Binh ()
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Nguyen Ngoc Thach: Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam
Nguyen Van Bao: Faculty of Finance and Commerce, Ho Chi Minh City University of Technology (HUTECH), Ho Chi Minh City, Vietnam
Dinh Tran Ngoc Huy: Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam3International University of Japan, Japan
Bui Dan Thanh: Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam
Le Thi Viet Nga: Thuongmai University, Hanoi, Vietnam
Truong Thu Ha: University of Economics and Business, Hanoi, Vietnam
Nguyen The Binh: Banking University of Ho Chi Minh City, Ho Chi Minh City, Vietnam

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2020, vol. 23, issue 04, 1-13

Abstract: The Vietnam economy has gained lots of achievements after the financial crisis 2007–2011, until it reached a low inflation rate of 0.6% in 2015. This paper measures the volatility of market risk in Vietnam banking industry after this period (2015–2017). The main reason is the vital role of the bank system in Vietnam in the economic development and growth in recent years always goes with risk potential and risk control policies.This research paper aims to figure out the increase or decrease in the market risk of Vietnam banking firms during the post-low inflation period 2015–2017.First, by using the quantitative combined with comparative data analysis method, we find out the risk level measured by equity beta mean in the banking industry is acceptable, although it is little higher than (>) 1.Then one of its major findings is the comparison between risk level of banking industry during the financial crisis 2007–2009 compared to those in the post-low inflation time 2015–2017. In fact, the research findings show us market risk level during the post-low inflation time has increased much. We compare beta in two periods because we want to figure out the reason underlying the fact beta has increased. One of the reasons is that the accumulated banking risks during the longer time and criteria to meet Basel 2 have been partially contributing to increasing market risk.Finally, this paper provides some ideas that could provide companies and government more evidence in establishing their policies in governance. This is the complex task but the research results show us warning that the market risk might be higher during the post-low inflation period 2015–2017. Our conclusion part will recommend some policies and plans to deal with it.

Keywords: Risk management; asset beta; financial crisis; banking industry; policy (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S0219091520500290

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