Bank liquidity sensitivity after the impact of the bank-run phenomenon: The moderating role of state ownership

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The article investigates the impact of commercial banks’ liquidity sensitivity following the bank-run phenomenon. Using data from 25 Vietnamese commercial banks from 2010 to 2022, the Sys.GMM estimation results reveal that banks with more considerable equity capital and total assets exhibit higher liquidity sensitivity after a bank run. Additionally, larger banks are more likely to adopt liquidity management strategies that involve borrowing. The study also finds that banks with more substantial financial performance, higher loan-to-deposit ratios, and a more extensive spread between loan and deposit interest rates demonstrate lower liquidity sensitivity after experiencing a bank run, suggesting that these banks have more effective liquidity risk management strategies. Notably, for banks with a high proportion of state ownership, the liquidity sensitivity of all factors decreases following the bank-run event. The findings suggest several policy implications for bank managers regarding liquidity management and developing strategies to mitigate the effects of bank runs.

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    • Figure 1. Testing normal distribution
    • Table 1. Descriptive statistics
    • Table 2. Correlation matrix and multicollinearity test
    • Table 3. Model selection test, heteroskedasticity test, and autocorrelation test
    • Table 4. Test of endogenous variables
    • Table 5. SysGMM estimation results
    • Table 6. State ownership interaction results
    • Conceptualization
      Chi Diem Ha Le, Nam Hai Pham
    • Investigation
      Chi Diem Ha Le
    • Project administration
      Chi Diem Ha Le
    • Supervision
      Chi Diem Ha Le
    • Writing – original draft
      Chi Diem Ha Le
    • Writing – review & editing
      Chi Diem Ha Le
    • Data curation
      Nam Hai Pham
    • Formal Analysis
      Nam Hai Pham
    • Funding acquisition
      Nam Hai Pham
    • Methodology
      Nam Hai Pham