Factors Affecting Liquidity Risks of Joint Stock Commercial Banks in Vietnam

• 발행기관: 한국유통과학회
• 저자명: Hoang Chung NGUYEN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』The Journal of Asian Finance, Economics, and Business Vol. 9 No.4, 197~212쪽, 전체 16쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.04.30

영문 초록

The study uses the audited financial statements of 26 Vietnamese commercial banks listed on the Ho Chi Minh City Stock Exchange (HOSE) and Hanoi Stock Exchange (HOSE) during the 2008-2018 period to estimate the system GMM model, which provides empirical evidence on the effect of the variables of customer deposit to total assets (DEPO) ratio, loan to assets (LTA) ratio, liquidity of commercial banks (LIQ), credit development (CRD) ratio, external funding (EFD) ratio, and credit loss provision (LLP) ratio on liquidity risk. The study confirms that commercial banks’ internal factors play the most important role, and there is no empirical evidence on macro variables that affect liquidity risk. Finally, in accordance with the theoretical framework, the study uses an estimation method with the R language and the bootstrap methodology to give empirical proof of the nonlinear correlation and U-shaped graph between commercial bank size and liquidity risk. The importance of commercial bank size in absorbing and moderating the effects of liquidity shocks is demonstrated, however, excessive growth in commercial bank size would increase liquidity risk in commercial bank operations.

목차

1. Introduction

2. Literature Review

3. Research Methods

4. Results and Discussion

5. Conclusion

References

키워드

Commercial Bank Liquidity Risk Total Assets Liquidity GMM System