1144 factors affecting the liquidity risk of joint stock commercial banks on stock exchanges in viet nam bachelor luận văn tcnh nguyen thu ngan supervisor

Chuyên khảo phân tích 1144 factors affecting the liquidity risk of joint stock commercial banks on stock exchanges in, đánh giá các khía cạnh quan trọng, đề xuất hướng nghiên cứu

• Tác giả: Nguyễn Thu Ngân
• Người hướng dẫn: Assoc. Prof. Đặng Văn Dân
• Trường học: Banking University of Ho Chi Minh City
• Chuyên ngành: Banking and Finance
• Đề tài: Factors Affecting The Liquidity Risk Of Joint Stock Commercial Banks On Stock Exchanges In Vietnam
• Loại tài liệu: Graduation Dissertation
• Năm xuất bản: 2020
• Địa điểm: Ho Chi Minh City

Mục lục chi tiết

• ABSTRACT
• SUMMARY
• ASSURANCE LETTER
• THANK YOU LETTER
• INDEX
• 1. CHAPTER 1: INTRODUCTION
• 1.1. Research subjects and scope
• 1.2. Contribution of the study
• 2. CHAPTER 2: THEORETICAL FRAMEWORK
• 2.1. Theory of liquidity risk of join-stock commercial banks
• 2.2. Joint stock Commercial banks
• 2.3. Bank liquidity risk
• 2.4. Liquidity risk impacts
• 2.5. Previous studies on factors affecting liquidity risk of joint-stock commercial banks
• 2.6. SUMMARY OF CHAPTER 2
• 3. CHAPTER 3: RESEARCH MODEL
• 3.1. Research model and hypothesis
• 3.2. SUMMARY OF CHAPTER 3
• 4. CHAPTER 4: RESEARCH RESULTS
• 4.1. Correlation analysis of variables
• 4.2. Multi-collinearity test
• 4.3. SUMMARY OF CHAPTER 4
• 5. CHAPTER 5: CONCLUSION AND RECOMMENDATION
• 5.1. For commercial banks
• 5.2. For the Government
• 5.3. Limits and extensive researches
• 5.3.1. Limits of the research
• 5.3.2. Direction for extensive research
• 5.4. SUMMARY OF CHAPTER 5
• Joint-stock Commercial Banks list
• Regression results with Stata
• Panel data description
• Pooled-OLS regression
• Pooled-OLS, FEM, REM regression
• Multi-collinearity test
• Regression result of FGLS
• Regression result of FGLS after excluding ineffective variables
• LIST OF ACRONYMS
• LIST OF TABLES
• LIST OF GRAPHS

Tóm tắt

I. Tổng quan về các yếu tố ảnh hưởng đến rủi ro thanh khoản ngân hàng

Rủi ro thanh khoản là một trong những vấn đề quan trọng mà các ngân hàng thương mại cổ phần tại Việt Nam phải đối mặt. Trong bối cảnh kinh tế hiện nay, việc hiểu rõ các yếu tố ảnh hưởng đến rủi ro thanh khoản là rất cần thiết. Nghiên cứu này sẽ phân tích các yếu tố chủ yếu như quy mô ngân hàng, tỷ lệ vốn chủ sở hữu và các chính sách tài chính có liên quan.

1.1. Định nghĩa và tầm quan trọng của rủi ro thanh khoản

Rủi ro thanh khoản đề cập đến khả năng của ngân hàng trong việc đáp ứng các nghĩa vụ tài chính khi đến hạn. Việc quản lý rủi ro thanh khoản không chỉ ảnh hưởng đến sự ổn định của ngân hàng mà còn tác động đến toàn bộ hệ thống tài chính.

1.2. Tình hình rủi ro thanh khoản tại ngân hàng thương mại cổ phần

Trong những năm gần đây, nhiều ngân hàng thương mại cổ phần tại Việt Nam đã gặp khó khăn trong việc duy trì thanh khoản. Các yếu tố như lãi suất, tình hình kinh tế và chính sách tài chính đã ảnh hưởng lớn đến khả năng thanh toán của họ.

II. Các thách thức chính đối với rủi ro thanh khoản ngân hàng thương mại cổ phần

Ngân hàng thương mại cổ phần tại Việt Nam đang phải đối mặt với nhiều thách thức trong việc quản lý rủi ro thanh khoản. Những thách thức này bao gồm sự biến động của thị trường tài chính, áp lực từ các ngân hàng nước ngoài và các quy định của chính phủ.

2.1. Biến động của thị trường tài chính

Sự biến động của thị trường tài chính có thể dẫn đến sự thay đổi nhanh chóng trong nhu cầu và cung cấp thanh khoản. Điều này tạo ra áp lực lớn lên các ngân hàng trong việc duy trì mức thanh khoản cần thiết.

2.2. Áp lực từ các ngân hàng nước ngoài

Sự gia tăng cạnh tranh từ các ngân hàng nước ngoài đã tạo ra áp lực lớn lên các ngân hàng thương mại cổ phần trong việc cải thiện khả năng thanh khoản và dịch vụ khách hàng.

III. Phương pháp quản lý rủi ro thanh khoản hiệu quả cho ngân hàng

Để giảm thiểu rủi ro thanh khoản, các ngân hàng thương mại cổ phần cần áp dụng các phương pháp quản lý hiệu quả. Những phương pháp này bao gồm việc tăng cường quản lý tài sản và nợ, cũng như cải thiện quy trình ra quyết định.

3.1. Tăng cường quản lý tài sản và nợ

Quản lý tài sản và nợ hiệu quả giúp ngân hàng duy trì mức thanh khoản cần thiết. Việc theo dõi và điều chỉnh tỷ lệ vốn chủ sở hữu cũng là một yếu tố quan trọng trong quản lý rủi ro thanh khoản.

3.2. Cải thiện quy trình ra quyết định

Cải thiện quy trình ra quyết định trong việc cấp tín dụng và đầu tư có thể giúp ngân hàng giảm thiểu rủi ro thanh khoản. Việc sử dụng các mô hình phân tích dữ liệu để dự đoán nhu cầu thanh khoản là rất cần thiết.

IV. Ứng dụng thực tiễn từ nghiên cứu về rủi ro thanh khoản

Nghiên cứu này đã chỉ ra rằng các yếu tố như quy mô ngân hàng và tỷ lệ vốn chủ sở hữu có ảnh hưởng tích cực đến rủi ro thanh khoản. Những phát hiện này có thể được áp dụng để cải thiện hiệu quả hoạt động của các ngân hàng thương mại cổ phần tại Việt Nam.

4.1. Tác động của quy mô ngân hàng đến rủi ro thanh khoản

Nghiên cứu cho thấy rằng ngân hàng lớn thường có khả năng duy trì thanh khoản tốt hơn nhờ vào sự hỗ trợ từ thị trường liên ngân hàng. Điều này phù hợp với lý thuyết 'quá lớn để sụp đổ'.

4.2. Tác động của tỷ lệ vốn chủ sở hữu đến rủi ro thanh khoản

Tỷ lệ vốn chủ sở hữu cao giúp ngân hàng có một lớp bảo vệ chống lại các rủi ro thanh khoản. Khi tỷ lệ này giảm, rủi ro thanh khoản cũng có xu hướng tăng lên.

V. Kết luận và hướng đi tương lai cho ngân hàng thương mại cổ phần

Kết luận từ nghiên cứu cho thấy rằng việc quản lý rủi ro thanh khoản là rất quan trọng đối với sự ổn định của ngân hàng thương mại cổ phần tại Việt Nam. Các ngân hàng cần phải chủ động hơn trong việc cải thiện khả năng thanh khoản của mình.

5.1. Đề xuất cho các ngân hàng thương mại cổ phần

Các ngân hàng cần tăng cường hệ thống kiểm soát nội bộ và đảm bảo rằng họ có các kế hoạch cụ thể để ứng phó với các tình huống rủi ro thanh khoản.

5.2. Đề xuất cho chính phủ trong quản lý ngân hàng

Chính phủ cần có các chính sách hỗ trợ để giúp các ngân hàng thương mại cổ phần cải thiện khả năng thanh khoản và ổn định hệ thống tài chính.

Trích đoạn nội dung tài liệu

MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY NGUYEN THU NGÂN FACTORS AFFECTING THE LIQUIDITY RISK OF JOINT STOCK COMMERCIAL BANKS ON STOCK EXCHANGES IN VIETNAM GRADUATION DISSERTATION SPECIALIZED: BANKING AND FINANCE CODE: 52340201 HO CHI MINH CITY, JANUARY 2020 MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY NGUYEN THU NGÂN FACTORS AFFECTING THE LIQUIDITY RISK OF JOINT STOCK COMMERCIAL BANKS ON STOCK EXCHANGES IN VIETNAM GRADUATION DISSERTATION SPECIALIZED: BANKING AND FINANCE CODE: 52340201 INSTRUCTOR: ASSOC.D Ð NG VĂN DÂN HO CHI MINH CITY, JANUARY 2020 i ABSTRACT Liquidity problems are re-emphasised as Vietnamese commercial banks are making an effort in deploying Basel II for hoping a greater stability and decrease the likelihood of repeating the financial crisis events in 2007. Therefore, the aim of this research is to identify factors that affect liquidity risk of 17 Joint-stock commercial banks listed on stock exchanges in Vietnam and the data covers the period from 2010 to 2018. Multivariate regression models (Pooled-OLS, FEM, REM) were used to test the effects and levels of determinants; and after being selected by F-test and Hausman test, REM was the most appropriate. However, REM had heteroscedasticity in variance of error and plus, autocorrelation in the dataset.

Therefore, FGLS regression model is used to fix autocorrelation and unconstant variance of error to ensure a consistent and effective estimation. The result reveals that from 2010 to 2018, size of the bank and the ratio of equity to total assets have positive effects on liquidity risk and this can be explained by the famous “too big to fail” theory that big banks are seemed to secure against liquidity risk exposure not by holding high liquidity, but by assistance from interbank market or Lender of Last Resort (Vodova, 2013); plus, equity is considered as one of the last defense, a shield that against many kinds of risk. If banks see themselves as “big banks”, their motivation to hold liquidity is limited. Besides, the relation between liquidity risk and return on equity, non-performing loan ratio and provision credit losses ratio is ambiguous.

From the result obtained, the study proposes conclusions and a number of recommendations to banks themselves to increase the efficiency and improve the liquidity of Vietnamese commercial banks, as well as to the Governement on the management of the banking system in the coming period. ii SUMMARY In recent year, along with the emergence of globalization and free trade, economic individuals have created an environment of growth and competition. Financial markets are no exception, particularly the commercial banks – intermediaries that connect individuals, companies and other institutions together, keep the economy going. In addition to competition from domestic financial institutions, banks also face foreign financial ones which enter Vietnam gradually.

Banking industry is obviously one of the most sentimental activities not just in Vietnam but worldwide and plays an extremely important role in economic development. Banks not only influence but also promote the integration of economic activities such as resource mobilization, development activities, allocation of public finance and even social welfare distribution. The administration of banking is therefore always a matter of particular concern for the government to carry out its management and supervisory activities. Banks need to adapt, thrive and evolve effectively to survive in harsh environments, if they do not, they will be eliminated.

With a default of one bank, it could lead to the collapse of the entire financial and economic system due to its interconnectability. Global financial crisis that happened in 2007 could be a typical example of the banks’ strong influence on the economy that led to a series of bankruptcy, pushing the economic stagnation to its peak. Besides, the stock market in Vietnam is still quite young, the financial system is not really healthy and open, creating difficulties and barriers for banking activities. Thus, as liquidity problems are re-emphasised as Vietnamese commercial banks are making an effort in deploying Basel II for hoping a greater stability and decrease the likelihood of repeating the financial crisis events in 2007.

Moreover, after joining the ASEAN Economic Community in 2015, Vietnam has committed itself to alleviating restrictions in the banking sector, giving this sector many oppoturnities; but also many challenges such as competitive pressure from regional iii banks and international banks, in particular with regard to the limited financial potential of Vietnam compared to other banks in other countries. Therefore, the aim of this research is to identify factors that affect liquidity risk of Joint-stock commercial banks listed on stock exchanges in Vietnam. If the banks have strong liquidity, this not only helps to stabilize the financial market but also helps to grow the economy in Vietnam. Thus, to determine and evaluate the level of impact of these determinants and give conclusions and recommendation from the obtained results.

This research systematized the theoretical framework including theory definitions and liquidity risk impacts to the customers, the bank itself and the economy; and then evaluated the factors affecting liquidity risk in Vietnamese commercial banks and give empirical evidence based on previous studies. There are two basic types of determinants of liquidity risk which are objective factors and subjective factors. However, due to limited time, the author only focused on subjective factors without considering the affect of factors on “market” level and government policies on bank liquidity. Model of this research is based on Vodova (2011) and Trương Quang Thông (2013) panel data regression models as follows: 𝐿𝑅i𝑡 = 𝛽0 + 𝛽1𝐸𝑇𝐴i𝑡 + 𝛽2𝑁𝑃𝐿i𝑡 + 𝛽3𝑅𝑂𝐸i𝑡 + 𝛽4𝐿𝑛𝑆𝐼𝑍𝐸i𝑡 + 𝛽5𝑃𝐶𝐿i𝑡 + si𝑡 In which, LR is liquidity risk as a dependent variable; ETA, NPL, ROE, LnSIZE, PCL is ratio of equity to assets, non-performing loan ratio, return on equity, size of the bank, provision for credit losses respectively as independent variables; s is error term; 𝑡 is the 17 joint-stock commercial banks according to the list on the Government’s website; i is the year from 2010 to 2018.

The data was collected from financial statements of 17 Join-stock commercial banks that listed on stock exchanges in Vietnam. The estimated effects have also been presented with a positive correlation between LR and ROE, LnSIZE, PCL and a negative correlation between LR and ETA, NPL. iv Stata software was then used to describe statistically the dataset and test the correlation matrix between variables and the result was that ETA has a negative correlation with LR, whereas ROE and LnSIZE has a positive correlation with LR. Multivariate regression models (Pooled-OLS, FEM, REM) were used to test the effects and levels of determinants; and after being selected by F-test and Hausman test, REM was the most appropriate.

Although REM did not have multi-collinearity phenomenon, it still had heteroscedasticity in variance of error and plus, autocorrelation in the dataset. Therefore, FGLS was used to fix autocorrelation and unconstant variance of error to ensure a consistent and effective estimation. The result is as follows: 𝐿𝑅i𝑡 = −0.0712 𝐿𝑛𝑆𝐼𝑍𝐸i𝑡 + si𝑡 Due to the characteristics of FGLS, the R 2 value does not count as meaningful when it comes to measure the suitability of the model, however, it can be used to calculate statistical values as above. Whereby, both ETA and LnSIZE has positive effects on LR.

Firstly, the higher bank’s size, the higher liquidity risk exposure which is consistent with hypothesis H4. This result can be explained by the “Too big to fail” theory as big banks are seemed to secure against liquidity risk exposure not by holding high liquidity, but by assistance from interbank market or Lender of Last Resort (Vodova, 2013). Secondly, there is a strong positive effect of the ratio of equity-to-assets to liquidity risk meaning when the ratio of equity-to-assets decreases, liquidity risk will decrease as well. This result is inconsistent with hypothesis H1, but suprisingly consistent with the result on the influence of the bank’s size on liquidity risk.

Equity is considered as one of the last defense, a shield that against many kinds of risk. If banks see themselves as “big banks”, their motivation to hold liquidity is limited. This result is in line with the result of Trương Quang Thông (2013). However, the relation between liquidity risk and return on equity, non-performing loan ratio and provision credit losses ratio is ambiguous.

v From the result obtained, the study proposes a number of conclusions and recommendations to increase the efficiency and improve the liquidity of Vietnamese commercial banks in the coming period. Particularly, due to banks’ reliance too much on the Gorvernment, the Government has enacted the Law Amendments to some articles of the Law on Credit Institutions (Law No. 17/2017/QH14), is effective from January 15, 2018 that banks can be able to go bankrupt if they are poorly operating and are put under special control by the Government, which has changed entire situation. Therefore, banks need to rely more on themselves than on passive strategies as they used to, which is why the author then gave some recommendations to banks themselves to improve their liquidity and operational management, as well as some recommendations to the Governement on the management of the banking system.

In particular, banks need to strengthen internal control system, ensure capital mobilization, prepare specific plans for upcoming risk cases from the best to the worst. The Government needs to their leadership role for banks, inspect and control banking activities effectively, improve the organizational structure and apply effectively the Basel’s principles on managing liquidity. However, there still exists some limits of this research such as: this research is only conducted on join-stock commercial banks, not the whole banking system in Vietnam; the author only used one measurement to measure liquidity of the bank; the result of FGLS model can not be given out R-squared value to measure the suitability of the model; this study only conducted internal determinants. Therefore, the author hopes to study further to provide a more general measurement of liquidity risk, plus to build a better model to make it a more useful reference for students’ extensive researches.

vi ASSURANCE LETTER I assure that the “factors affecting liquidity risk of joint-stock commercial banks on stock exchanges in Vietnam” dissertation is my own report. The figures and sources of information in this research are derived clearly and honestly from the banks' consolidated financial statements. In addition, the tests were conducted publicly and transparently with no intervention to correct the results of regression models, in which there are no previously published content or content made by others except for full citations in the report. Author Nguy n Thu Ng n vi THANK YOU LETTER I would like to thank the teachers and friends in the Banking University in Ho Chi Minh city; and with the deepest gratitude, I would like to send to the personnel in the Department of Finance and Department of Banking the most sincere thanks for the knowledge and dedication, who has devoted to us during our school time.

Especially in the program of implementing the graduation dissertation with the guidance of Association Professor and Doctor of Philosophy Ð ng Văn Dân, I have been helped a lot in choosing the topic, writing the research, as well as in-depth guidance in how to work properly. Finally, I would like to thank my family, friends and relatives who have always been there to support and encourage me to complete my graduation dissertation. I sincerely thank! vi INDEX ABSTRACT.ii ASSURANCE LETTER. vi THANK YOU LETTER.viii LIST OF ACRONYMS.xii LIST OF TABLES.xiii LIST OF GRAPHS.xiv CHAPTER 1 INTRODUCTION.5 Research subjects and scope.7 Contribution of the study.

6 CHAPTER 2 THEORETICAL FRAMEWORK.1 Theory of liquidity risk of join-stock commercial banks.1 Joint stock Commercial banks.2 Bank liquidity risk.3 Liquidity risk impacts.2 Previous studies on factors affecting liquidity risk of joint-stock commercial banks. 12 SUMMARY OF CHAPTER 2.16 CHAPTER 3 RESEARCH MODEL.3 Research model and hypothesis.21 SUMMARY OF CHAPTER 3.24 CHAPTER 4 RESEARCH RESULTS.2 Correlation analysis of variables.1 Multi-collinearity test.35 SUMMARY OF CHAPTER 4.36 x CHAPTER 5 CONCLUSION AND RECOMMENDATION.