Impact of macroeconomic factors and interaction with institutional performance on Vietnamese bank share prices

  • Received February 4, 2021;
    Accepted March 15, 2021;
    Published March 22, 2021
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/bbs.16(1).2021.12
  • Article Info
    Volume 16 2021 , Issue #1, pp. 127-137
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Shares of listed banks in Vietnam gain a lot of interest from investors and regulators. It is important to study the primary drivers of the banks’ share prices. In this context, Gross Domestic Product (GDP), Gold Price (GP), Ninety-day Interbank Interest Rate (R), and USD/VND Exchange Rate (FX) are selected as representatives for macroeconomic variables. A new contribution of this study is the application of interactive factors between macroeconomics and bank performance (i.e., Equity Capital (E), Deposit Аmounts (D), Loan Amounts (L), Non-performing Loans (NPLs), Leverage (LEV), Capital Adequacy Ratio (CAR), Return on Assets (ROA), and Stock Beta (Beta)) in evaluating their impact on bank share prices. Applying the econometric method of Two-Stage Least Square (2SLS) and the quarterly financial data of 13 listed banks from Q1/2009 to Q3/2020, the regression results show that GDP improvements can foster an increase in bank share prices, and this impact is strengthened if banks have good performance of ROA, CAR, and with strict control of NPLs. The R also has a positive impact on bank share prices, and the price level increases if NPLs, LEV, and Beta are controlled at optimal levels. However, empirical evidence drawn from the study also suggests that an increase in FX and GP is not a significant contributor to bank share prices, especially if the bank does not manage NPLs and LEV. Moreover, the impact of E, D, and L on the movements of bank share prices is not significant.

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    • Table 1. Variables used in the study
    • Table 2. Descriptive statistics for variables used in the study
    • Table 3. Correlations among variables used in the models
    • Table 4. Effects of macroeconomics and bank performance on bank share prices
    • Conceptualization
      Nguyen Phu Ha
    • Data curation
      Nguyen Phu Ha
    • Formal Analysis
      Nguyen Phu Ha
    • Investigation
      Nguyen Phu Ha
    • Methodology
      Nguyen Phu Ha
    • Resources
      Nguyen Phu Ha
    • Supervision
      Nguyen Phu Ha
    • Validation
      Nguyen Phu Ha
    • Visualization
      Nguyen Phu Ha
    • Writing – original draft
      Nguyen Phu Ha