Enhancing Roles of Banks and the Comparison of Market Risk and Risk Policy Implications in Group of Listed Vietnam Banks During 2 Stages: Pre and Post-Low Inflation Period

Authors

  • Phung Tran My Hanh
  • Nguyen Thi Hang
  • Dinh Tran Ngoc Huy
  • Le Ngoc Nuong

DOI:

https://doi.org/10.47059/revistageintec.v11i2.1794

Abstract

By classifying period 2011-2020 into 2 stages: pre-low (L) inflation stage (2011-2015) and post-low inflation stage (2015-2020), we can compare market risk in total 7 listed big banks in Vietnam including: Previous SOEs banks (including VCB and CTG) and Previous Private banks (including STB, SHB, NVB, EIB and ACB). Authors then use combination of quantitative methods (statistics, calculation formulas) and qualitative methods including synthesis, inductive and explanatory methods, esp. Authors use comparison methods for analyzing and evaluating beta CAPM (Stand for market risk) of banks in 2 special stages. The research findings tell us that In groups of banks (SOEs previously) VCB and CTG we find out: beta mean GAP of CTG higher than beta mean GAP of VCB case (0.24 > 0.19), and GAP of beta mean is positive in this case for both periods. In groups of joint stock banks (private banks) SHB, STB, NVB, ACB and EIB we figure out: beta mean GAP of STB is the highest (0.68) while only 1 case SHB, in which beta mean GAP is negative (-0.26). Besides, this study also give out recommendations for risk policy implications for bank system and for the country.

Downloads

Published

2021-06-04

Issue

Section

Articles