VIETNAM NATIONAL UNIVERSITY UNIVERSITY OF ECONOMICS AND BUSINESS GRADUATION THESIS SUPERVISOR: PhD. Vu Thi Loan STUDENT: Nguyen Thi Anh Thu STUDENT CODE: 19050737 CLASS: TCNH CLC4 QH2019 E Hanoi, 2023 VIETNAM NATIONAL UNIVERSITY UNIVERSITY OF ECONOMICS AND BUSINESS GRADUATION THESIS THE EFFECTS OF BANK’S CAPACITY ACCORDING TO CAMEL SYSTEM ON THE VOLATILITY OF BANK SHARE PRICES IN VIETNAM SUPERVISOR: PhD. Vu Thi Loan STUDENT: Nguyen Thi Anh Thu STUDENT CODE: 19050737 CLASS: TCNH CLC4 QH2019 E Hanoi, 2023 PROMISE This is my senior thesis, I hereby state. The research findings and data are authentic and were not plagiarized.
The study also includes a number of references that have been noted and clearly cited. Before the department, faculty, and school, I would like to fully accept responsibility for this promise. Hanoi, May 14, 2023 Confirmation of student: Confirmation of instructor: Nguyen Thi Anh Thu PhD. Vu Thi Loan ACKNOWLEDGEMENT A completed study would not be done without any assistance.
Therefore, the author who conducted this research gratefully gives acknowledgement to their support and motivation during the time of doing this research as a requirement of completing my thesis. The author would like to thank the Board ofthe University of Economics and Business - Vietnam National University for creating favorable conditions for the author to complete this thesis. The author also would like to thank the lecturers of the Faculty of Finance and Banking, University of Economics and Business - Vietnam National University for their help the author in the thesis implementation process. In particular, i would like to express my endless thanks and gratefulness to my supervisor PhD.
Vu Thi Loan. Her kindly support and continuous advice went through the process of completion of my thesis. Her encouragement and comments had significantly enriched and improved my work. Without her motivation and instructions, the thesis would have been impossible to be done effectively.
Thank you very much! Hanoi, May 2023 Table of contents I3):490)/09)3Ẻ N5. 7 LIST OF TABLES 1111757. Objectives, research tasks and research Questions. Objectives of the StUdy.- -- Án HT HH Hà TT HT HT nh HT TT HH TH 11 VN Ð (aôôaôa g.aưAAiIđiđitẳẢỎẢỎẢÕỐẢỔẢỒẢẦỶ.
Questions Of the Study 00. Scope Of the 0n. Methodology of the StUdy. - Án TH TH TH HH HH TT Thọ TH TH HH Hà Tưng hệt 12 5.
Expected contribution of the study. - Á- SG 1212 S* SH TT TH TH TH H rkey 12 CHAPTER 1: LITERATURE REVIEW AND THEORETICAL FRAMEWORK. Overview of foreign studleS.- -- 6 cà HH HH HT nh Tho TT HH Hàng rệt 14 1. Overview of research in Vieft'a1m.
--- --- 5 HH TH HH TH TT TH TH HH HH TT TT HH HH tư Tư hệt 17 1. Theory of factors affecting Stock Prices 0. Theoretical foundations of commercial banks and shares of commercial banks. Overview of Banking Capacity.-- - - Gà HH HH HT HT TH TT Hà Hàn HH giết 24 CHAPTER 2: RESEARCH METHODOLOGY.
5 + 21 19121 911511 1103 T1 TH TH TH nghệ 29 2.1, Research Gesign oo. Research sample and data collection method. - -- -- 6 1 St 219119119020 HH HH HT TT TH HH HH HH hờ 30 2. Description of the research variaÌ;;.
TH TH TH TH ng Hưng rry 32 2.- --- 5 6 sọ TT TH TH HH HH TH 32 2. nh nh Thọ Tho TT nh TH TH HH nh nh 33 2.-- --- 6 cà TH HH HH Hà HT Thọ Thọ TT TH TH HH Hư HH Tư rh 39 CHAPTER 3: EMPIRICAL RESŨ LÏT,.- --- 27 52 52 22 2211212311211 11 112 1H10 HT TT TT TH TH HH HH 41 3. Overview of the capacity of commercial banks in Vietnam. Overview of bank stocks on Vietnam stock marKet.
Statistical results describing the variables .--- «6 Sàn HH Hiệp 50 3. Regression model analysis F€SIÏLS. --- -- G + 1S nh nh nh TT HH Hàn Hàng 51 3. Research data test F€SUÏS.---- 5 Ghi HH Hàng hệt 51 3.
Regression model r€SuÏfS .- --- G6 + S4 112 1 3111 1T HT Hàn nh HT Hành 56 4. - (TT HT Thọ TT TH TH HH HH HT TT Ti HH HH Hà cư tư kt 62 4. Recommendations for investors, securities issuers and managerS.1 FOr ÏIV€SĂOTFS. For those who issue S€CUFÏĂÏ€S.-- Án TH TH TH HH TH TH HH 64 4.
For the maI'I4BT. - G5 1n TH TH TT HH HH TH TT TH HH hư 65 4. Limitations of research and development orientationn. 70 LIST OF ABBREVIATIONS Capital Adequacy Ratio Risk-Weighted Assets Cost to Income Ratio Non performing loan Profit after tax Cash ratio Return on equity Return on assets Net interest margin Foreign ownership Random effect model International Monetary Fund LIST OF TABLES Table name Number of pages Table 2.
Dummy variables of BIG4 37 Table 3. Statistical results describing the variables 47 Table 3. Analysis of Variance ANOVA 48 Table 3. Model Summary 49 Table 3.
Coefficient results 50 Table 3. Table Coefficients after removing 5 variables violating 51 multicollinearity Table 3. Summary table of regression model results 54 LIST OF FIGURE Figure name Number of pages Figure 2. Research design 26 Figure 2.
Role of controlled variables 36 Figure 3. Profit growth of Vietnamese commercial banks in 2022 39 Figure 3.TOI structure 39 Figure 3. LDRs of all banks increased significantly compared to 40 2021 Figure 3. NIM evolution by bank 41 Figure 3.
Credit expense ratio until the end of 2022 41 Figure 3. CAR of Vietnamese commercial banks (data updated at 42 the end ofthe second quarter of 2022) Figure 3. Changes in bank prices at the end of 2022 compared to 43 the beginning ofthe year Figure 3. Bank share capitalization as at December 30, 2022 (Unit: 44 Billion Dong) Figure 3.
Foreign banking transactions in 2022 45 Figure 3. Changes in bank stock prices, changes in the bad debt 46 ratio of the whole industry INTRODUCTION 1. Reasons for the study The gauge that receives the most attention on the stock markets from both investors and researchers is always the stock price. The group of banking stocks is part ofa unique industrial group among the variety of industries represented on the stock market because of the sensitive nature and commercial traits of the banking sector.
Compared to many other listed firms, these are large-cap companies. The banking sector is one of those in the economy that receives the strictest regulation, especially in developing nations like Vietnam, where listed banks are required to strictly abide by the rules of the State Securities Commission and the State Bank of Viet Nam. The banking sector is generally regarded as a key sector to ensure the smooth operation of the national economy, so this sector is of particular interest to the governments of the countries. As a result, bank stocks are also crucial in driving and supporting the market.
In Vietnam, bank stocks are regarded as the "king" stock both in terms of share count and the share of the banking sector in the overall market capitalization. The overall capitalization of banks as of December 2022 was 1.55 trillion dong, or around 25% of the market capitalization. This serves to stabilize the market against abnormal movements and bring the VNIndex to a level of balance. The evidence on the Vietnamese stock market supports this claim.
For instance, in early 2022, real estate equities on the Vietnamese stock market concurrently fell rapidly, causing the VnIndex to fall as much as 20 points. However, the green color has now steadily returned due to the banking market's demand, bringing the Vnindex to a stable level. The 2019 Decision No. 242 on the Project "Restructuring the Stock Market and Insurance Market to 2020 and orientation to 2025" approval underlines the significance of banking sector stocks once more.
Therefore, the research of bank stocks and the evaluation of the elements that produce bank stock price changes are of greater importance than ever in order to govern and stabilize the stock market. However, it is obvious that banks and bank stocks have different features. As a result, while examining bank stocks, investors may need to apply more criteria and particular evaluations rather than just financial statistics. 10 On the other hand, the CAMEL framework has been formally used in the Vietnamese banking system since 2006 as a flexible instrument to analyze the performance and capacity of banks in order to supervise the banking sector.
Although CAMEL is a collection of dependable and synthetic indexes, there are currently few studies and other pieces of data that show how these indexes relate to the stock market, particularly the volatility of banking stock prices. Therefore, based on the CAMELS capacity assessment, the study will offer a foundation and empirical evidence on the relationship between the parameters indicating the bank's capacity and the volatility of that bank's stock price. Studying the relationship between bank capacity variables and the price of bank shares on the Vietnamese stock market will give investors and other stakeholders a better understanding of the situation and a solid foundation for making decisions that will promote the steady rise of bank stock prices in particular and the stock market in general. On that basis, the author chose the topic “The effects of bank’s capacity according to CAMEL system on the volatility of bank share prices in Vietnam” as the topic of my thesis.
Objectives, research tasks and research questions 2. Objectives of the study Determine how the CAMEL assessment framework's elements that show the bank's capabilities affect the volatility of bank stock prices on the Vietnamese stock market. Tasks of the study Organize the theoretical underpinnings of the stock market and the variables illustrating the bank's capability that influence the share price of the bank. Gather information, assess, examine, and test the impact of specific banking industry indicators on the market and the price of the bank's shares.
Give advice to market participants on how to decide whether or not to trade securities. Questions of the study How does the bank's capacity affect the bank's share price? Which of the factors representing the bank's capacity according to the CAMEL framework affects the bank's share price? What are the recommendations for investors, issuers, regulators, the Ministry of Finance and the State Securities Commission? 3. Scope of the study The analysis covered 27 commercial banks that were listed on three Vietnamese stock markets between 2013 and 2023: HOSE, HNX, and UPCOM. Methodology of the study The study combines two qualitative research techniques with one quantitative technique: Qualitative method: To obtain in-depth knowledge about the research object, the author will first go to gather credible materials and consult prior research papers relevant to the research issue.
so creating a sound theoretical foundation and line of reasoning for the subject. Quantitative method: The team will test and model the capacity variables according to the CAMEL framework that affect stock prices by multivariate regression model, to see which bank characteristics cause stock prices to move the most over a specific time period, once they have sufficient basic data and a large enough data set. Expected contribution of the study In reality, there are numerous variables that influence stock prices, making it challenging for investors, particularly novice ones, to choose the most crucial information. As a result, the author suggests the CAMEL model as a tool to assist investors in making decisions more easily based on 5 characteristics that represent the capability of the bank.
The study, which uses historical data from 27 commercial banks listed on the stock market in Vietnam, reveals the average price fluctuation in each quarter in light of the market's various historical contexts and develops a number of rules for how the share price is 12 mobilized in relation to factors like capital adequacy, asset quality, governance capability, cost of income, and bank liquidity.