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The Determinants Of Systematic Risk In Vietnam

Author

Listed:
  • Tung Dang-Thanh Nguyen

    (Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam)

  • Anh The Vo

    (Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam)

  • Duc Hong Vo

    (Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam)

Abstract

The capital asset pricing model is generally considered as a cornerstone in modern finance since its inception because it is extensively used in both financial management and portfolio management for estimating a return on equity. Within its framework, a systematic risk, generally termed as beta, plays an essential role. However, the determinants affecting the level of systematic risk of firms have been largely ignored in the current literature, in particular for emerging markets such as Vietnam. This paper is conducted to examine the determinants of systematic risk of listed firms in Vietnam. Data from 532 listed firms in Vietnam are used for the period from 2008 to 2017. The empirical findings from this paper indicate that financial leverage, profit margin on total assets, operational efficiency of enterprises, inflation and economic growth rate have a negative relationship with the system risk of listed firms in Vietnam whereas firm size is positively correlated with a systematic risk. The paper fails to establish a robust link between liquidity and firm growth rate and the level of the systematic risk. Robustness checks have also been conducted by utilizing analyses at the industry level of listed firms. It is the claim of this paper that empirical studies on systematic risks should be conducted at the economy wide level. Findings from this paper indicate that listed firms in Vietnam are encouraged to consider fundamental determinants to ensure that the systematic risk will not cause a major concern for their operations.

Suggested Citation

  • Tung Dang-Thanh Nguyen & Anh The Vo & Duc Hong Vo, 2019. "The Determinants Of Systematic Risk In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 15-36, June.
    • Handle: RePEc:aag:wpaper:v:23:y:2019:i:2:p:15-36
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    References listed on IDEAS

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    Cited by:

    1. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
    2. Kim-Hung Pho & Ngoc-Hien Nguyen & Huu-Nhan Huynh & Wing-Keung Wong, 2021. "A Detailed Guide on How to Use Statistical Software R for Text Mining," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 92-110, September.
    3. Nguyen, Hoai Thi Thanh & Tram, Huong Thi Xuan & Nguyen, Linh Thi Thuy, 2023. "Interest rates and systemic risk:Evidence from the Vietnamese economy," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    4. Le Ngoc Thuy Trang & Do Thi Thanh Nhan & Nguyen Thi Nhu Hao & Wing-Keung Wong, 2021. "Does Bank Liquidity Risk Lead To Bank'S Operational Efficiency? A Study In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 46-88, December.

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    More about this item

    Keywords

    Systematic risk; determinants; capital asset pricing model; listed firms; Vietnam;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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