Using External Financing in a One Factor Model Measuring the Volatility of Market Risk of Vietnam's Banking Industry During and After the Global Crisis

Artikel

This paper evaluates the impact of external financing on market risk for the listed firms in Vietnam's banking industry, especially during and after the financial crisis 2009-2011. First of all, by using quantitative and analytical methods to estimate asset and equity beta of total 9 listed companies in Vietnam banking industry with a proper traditional model, we found out that the beta values, in general, for many institutions are acceptable. Second, under 3 different scenarios of changing leverage (in 2011 financial reports, 30% up and 20% down), we recognized that the risk level, measured by equity and asset beta mean, decreases when leverage increases to 30% and increases more if leverage decreases down to 20%. Third, by changing leverage in 3 scenarios, we recognized the dispersion of risk level, measured by equity beta var, increases from 0,108 to 0,181 if the leverage increases to 30% whereas decreases to 0,073 if leverage decreases to 20%. But the dispersion measured by asset beta var decreases to 0,007 (leverage up 30%), showing leverage impact. Finally, this paper provides some outcomes that could provide companies and the government with more evidence in establishing their policies in governance.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Central Banking Theory and Practice ; ISSN: 2336-9205 ; Volume: 8 ; Year: 2019 ; Issue: 2 ; Pages: 173-187 ; Warsaw: De Gruyter Open

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; General Financial Markets: General (includes Measurement and Data) ; Corporate Finance and Governance: Other
• Subject: equity beta ; financial structure ; financial crisis ; risk ; external financing ; banking industry

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Huy, Dinh Tran Ngoc
• Event: Veröffentlichung
• (who): De Gruyter Open
• (where): Warsaw
• (when): 2019

Further information

• DOI: doi:10.2478/jcbtp-2019-0019
• Handle: http://hdl.handle.net/10419/217680
• Last update: 10.03.2025, 11:42 AM CET