Luận án Chiến lược đa dạng hóa, rủi ro và hiệu quả hoạt động ngân hàng: Bằng chứng thực nghiệm tại Việt Nam
Purpose – This dissertation investigates the impacts of asset, funding, and income
diversification strategies and their combinations on the banking system’s
performance and risk in Vietnam, especially during the financial crisis. The
research also evaluates the role of ownership structure upon diversification-risk
and performance nexus.
Methodology – Using panel data collected from 34 Vietnamese commercial banks
from 2005 to 2019, with modern econometrics technique – two-step system GMM
estimator method described by Arellano and Bover (1995), are employed to
achieve research objectives. The data was collected manually from the bank's
audited financial statements, obtained from reliable sources.
Findings – The empirical results indicate that, in general, diversification practices
in banking sectors are effective in improving banks’ risk-return profile, especially
during the financial crisis. However, using them in combinations is only effective
for income and funding diversifications. These results are robust regarding the use
of alternative measures of diversification level. The results also indicate that this
impact varies across different types of bank ownership: State-owned banks,
domestic private banks, and foreign banks.
Contribution – This dissertation fills the gap in empirical literature by
systematically examining the nexus between diversification strategies, bank risk,
and performance, conditioned upon financial crisis and ownership structure. In this
sense, the findings of this dissertation provide bank managers and regulators
important information about the diversification strategy effectiveness to maintain
the stability of the banking system and financial market.
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Tóm tắt nội dung tài liệu: Luận án Chiến lược đa dạng hóa, rủi ro và hiệu quả hoạt động ngân hàng: Bằng chứng thực nghiệm tại Việt Nam
MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY --------------------------- PHAM KHANH DUY DIVERSIFICATION STRATEGIES, BANK RISK AND PERFORMANCE: EMPIRICAL EVIDENCE FROM VIETNAM Major: Finance and Banking Code: 9340201 DOCTORAL DISSERTATION ACADEMIC ADVISOR: Assoc. Professor Dr. TRUONG THI HONG Ho Chi Minh City - 2021 i STATEMENT OF AUTHENTICATION I solemnly declare that this dissertation, “Diversification strategies, bank risk and performance: Empirical evidence from Vietnam”, is my own research. Except for the references cited in this dissertation, I hereby guarantee that the whole or any part of this dissertation has never been published or used to obtain a degree elsewhere. Any products/studies of other authors that have been used in this dissertation were properly cited. This dissertation has never been submitted to any university or institution. Ho Chi Minh City, 2021 ii ACKNOWLEDGEMENT In completing this dissertation, I would like to express my gratitude to the University of Economics Ho Chi Minh City (UEH), which provides an ideal environment and financial support for my research journey. At UEH, I have gained valuable academic knowledge and research skills as a lecturer and as a Ph.D. candidate. My utmost appreciation is to my academic supervisor, Assoc. Prof. Dr. Truong Thi Hong, for dedicated, whole-heartedly coaching and guidance throughout the completion of my thesis. My gratitude also goes to my dearest colleagues at the School of Banking and the School of UEH Graduate for their continuously dedicated support, contributions, and guidance, for me in writing this dissertation. I want to thank Prof. Vo Xuan Vinh for the preliminary research ideas and suggestions. My special thanks to Dr. Nguyen Huu Huan, Dr. Ngo Minh Vu, Dr. Phan Chung Thuy, Dr. Hoang Hai Yen, and Dr. Ngo Minh Hai for their best efforts in helping me with various challenges during my Ph.D. candidature. Saying thank you is just simply not enough for what they have offered me. Finally and most importantly, my beloved family and best friends have always been by my sides, with unconditional love, encouragement, and endless support. Without them, this dissertation would have never been written. Thank you all for the most profound appreciation. Ho Chi Minh City, October 2021 Pham Khanh Duy iii TABLE OF CONTENTS STATEMENT OF AUTHENTICATION ........................................................... i ACKNOWLEDGEMENT ................................................................................... ii TABLE OF CONTENTS .................................................................................... iii ABBREVIATION LIST .................................................................................... vii LIST OF TABLES ............................................................................................ viii LIST OF FIGURES ............................................................................................ ix ABSTRACT .......................................................................................................... x TÓM TẮT ............................................................................................................ xi CHAPTER 1 INTRODUCTION ........................................................................ 1 1.1. Research motivation ................................................................................. 1 1.2. Research background ................................................................................ 8 1.3. Research gap identification .................................................................... 11 1.4. Research objectives ................................................................................ 12 1.5. Research questions ................................................................................. 14 1.6. The scope of research ............................................................................. 15 1.7. Research procedure and methodology .................................................... 15 1.8. Research contributions ........................................................................... 17 1.9. Structure of the dissertation .................................................................... 19 CHAPTER 2 LITERATURE REVIEW AND HYPOTHESES DEVELOPMENT .............................................................................................. 22 iv 2.1. Bank diversification definition .................................................................. 22 2.2. Classification of bank diversification strategies ........................................ 24 2.2.1. Asset diversification in the banking sector ......................................... 28 2.2.2. Income diversification in the banking sector ...................................... 30 2.2.3. Funding diversification in the banking sector .................................... 32 2.3. Theories of bank diversification ................................................................ 35 2.3.1. Theories of diversification .................................................................. 35 2.3.2. Theories of bank diversification ......................................................... 40 2.4. Concept and measurement of bank risk and performance ........................ 43 2.4.1. Concept and measurement of bank risk .............................................. 43 2.4.2. Concept and measurement of bank performance ............................... 46 2.5. Theoretical overview of banking crisis ..................................................... 47 2.6. The impact of diversification on bank risk and performance .................... 50 Although the concern on the impact of diversification on banks' risks and performance is discussed in various articles, the conclusion of this topic is still unclear. ............................................................................................................. 50 2.6.1. Asset diversification, bank risk, and performance ............................. 52 2.6.2. Income diversification, bank risk, and performance .......................... 56 2.6.3. Funding diversification, bank risk, and performance ......................... 60 2.6.4. Combinations of diversification strategies ......................................... 61 2.6.5. Bank diversification, risk and performance in the financial crisis ..... 62 2.6.6. Role of ownership structure in the nexus between diversification, risk and performance ........................................................................................... 64 2.7. Summary .................................................................................................... 67 v CHAPTER 3 DATA AND METHODOLOGY ............................................... 68 3.1. Data sample ............................................................................................... 68 3.2. Construction of variables ........................................................................... 70 3.2.1. Dependent variables – Bank risk and performance ............................ 70 3.2.2. Key explanatory variables - Bank diversification measures ............... 72 3.2.3. Control variables ................................................................................. 74 3.2.5. The role of financial distress and bank ownership ............................. 76 3.3. Econometric models .................................................................................. 79 3.4. Robustness check....................................................................................... 83 3.5. Conclusion ................................................................................................. 86 CHAPTER 4 EMPIRICAL RESULTS AND DISCUSSION ....................... 87 4.1. Descriptive statistics .................................................................................. 87 4.2. Correlation matrix ..................................................................................... 89 4.3. Empirical results ........................................................................................ 91 4.3.1. Diversification strategies, bank’s risk and performance .................... 91 4.3.2. Diversification strategy combination, bank risk and performance ... 102 4.3.3. Diversification, bank risk and performance during the crisis ........... 105 4.3.4. The role of bank ownership structure ............................................... 109 4.4. Robustness check results ......................................................................... 117 4.5. Conclusion ............................................................................................... 117 CHAPTER 5 CONCLUSION ......................................................................... 118 5.1. Summary of research findings ................................................................. 118 5.2. Contributions ........................................................................................... 119 vi 5.3. Policy implications .................................................................................. 120 5.4. Limitations ............................................................................................... 122 LIST OF PUBLICATION .................................................................................... i REFERENCES ..................................................................................................... ii APPENDIX ......................................................................................................... xv vii ABBREVIATION LIST ASEAN Association of Southeast Asian Nations BSI The banking stability index CPI Consumer Price Index DEA Data envelopment analysis FOB Foreign-owned bank GDP Gross domestic product GMM Generalized Method of Moments HHI Herfindahl-Hirschman Index JPoD Joint Probability of Distress JSB Joint-stock bank NIM Net Interest Margin NPL Non-performing Loan PB Policy Bank POLS Pooled Ordinary Least Squared RBV Resources Based View SBV State Bank of Vietnam SGMM System Generalized Method of Moments SOB State-owned Bank US The United States of America WTO World Trade Organisation viii LIST OF TABLES Table 1.1: Descriptive number of banks in Vietnam, 2005-2019 .......................... 5 Table 2.1: Summary of hypotheses associated with research questions .............. 66 Table 3.1: Definition of Variables ....................................................................... 78 Table 3.2: The expected sign of variables ............................................................ 79 Table 3.3: Testing steps for the hypotheses associated with the research question ..................................................................................... ... t, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 17.46 Prob > chi2 = 0.232 l Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 365 Time variable : yr Number of groups = 33 Number of instruments = 21 Obs per group: min = 6 F(6, 32) = 24.78 avg = 11.06 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ sdroa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- astdiv | .0001664 .0033444 0.05 0.961 -.006646 .0069788 eta | .0147252 .0031916 4.61 0.000 .0082241 .0212263 lnasset | -.0006763 .0002373 -2.85 0.008 -.0011596 -.000193 llp | .0791803 .0357368 2.22 0.034 .0063869 .1519737 gdp | -.0291879 .0153491 -1.90 0.066 -.060453 .0020772 inf | .0048582 .0020795 2.34 0.026 .0006225 .009094 _cons | .0146057 .004595 3.18 0.003 .005246 .0239654 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).astdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.46 Pr > z = 0.143 Arellano-Bond test for AR(2) in first differences: z = 0.53 Pr > z = 0.593 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 9.60 Prob > chi2 = 0.791 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 18.19 Prob > chi2 = 0.198 (Robust, but weakened by many instruments.) li Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 393 Time variable : yr Number of groups = 34 Number of instruments = 21 Obs per group: min = 6 F(6, 33) = 151.27 avg = 11.56 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ sdroa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- incdiv | .0104691 .0023758 4.41 0.000 .0056354 .0153028 eta | .0174833 .004122 4.24 0.000 .0090971 .0258696 lnasset | -.0008753 .0002749 -3.18 0.003 -.0014346 -.0003159 llp | .0741405 .0354625 2.09 0.044 .0019915 .1462895 gdp | -.0309636 .0266183 -1.16 0.253 -.0851188 .0231917 inf | .0085212 .0020395 4.18 0.000 .0043719 .0126706 _cons | .0165253 .0059049 2.80 0.009 .0045117 .0285389 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).incdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.75 Pr > z = 0.079 Arellano-Bond test for AR(2) in first differences: z = 0.42 Pr > z = 0.676 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 9.61 Prob > chi2 = 0.790 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 18.77 Prob > chi2 = 0.174 (Robust, but weakened by many instruments.) lii Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 393 Time variable : yr Number of groups = 34 Number of instruments = 21 Obs per group: min = 6 F(6, 33) = 209.46 avg = 11.56 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ sdroa | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fundiv | .0022956 .0024996 0.92 0.365 -.0027898 .0073811 eta | .0209437 .0036511 5.74 0.000 .0135156 .0283719 lnasset | -.0007705 .0003173 -2.43 0.021 -.0014161 -.0001248 llp | .1061839 .0356864 2.98 0.005 .0335793 .1787884 gdp | .0027413 .0217793 0.13 0.901 -.041569 .0470516 inf | .0029437 .0023557 1.25 0.220 -.0018491 .0077365 _cons | .0128031 .0072349 1.77 0.086 -.0019165 .0275227 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).incdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.61 Pr > z = 0.108 Arellano-Bond test for AR(2) in first differences: z = 0.63 Pr > z = 0.526 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 19.77 Prob > chi2 = 0.138 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 17.60 Prob > chi2 = 0.226 (Robust, but weakened by many instruments.) liii Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 365 Time variable : yr Number of groups = 33 Number of instruments = 21 Obs per group: min = 6 F(6, 32) = 42.24 avg = 11.06 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ zscore | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- astdiv | 4.011716 2.858082 1.40 0.170 -1.810007 9.833438 eta | 81.13133 11.84624 6.85 0.000 57.00132 105.2613 lnasset | .4110081 .4300376 0.96 0.346 -.4649499 1.286966 llp | 28.04954 46.74314 0.60 0.553 -67.16313 123.2622 gdp | -35.14264 23.42719 -1.50 0.143 -82.86226 12.57698 inf | 13.373 2.61239 5.12 0.000 8.05173 18.69426 _cons | -.8199364 8.261271 -0.10 0.922 -17.6476 16.00772 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).astdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -1.47 Pr > z = 0.141 Arellano-Bond test for AR(2) in first differences: z = -0.24 Pr > z = 0.813 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 66.90 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 16.95 Prob > chi2 = 0.259 (Robust, but weakened by many instruments.) liv Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 393 Time variable : yr Number of groups = 34 Number of instruments = 21 Obs per group: min = 6 F(6, 33) = 35.45 avg = 11.56 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ zscore | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- incdiv | 6.825339 1.47893 4.62 0.000 3.816434 9.834245 eta | 69.86351 12.09566 5.78 0.000 45.2547 94.47232 lnasset | -.449885 .4031173 -1.12 0.272 -1.270033 .3702633 llp | -11.83756 59.1028 -0.20 0.842 -132.0831 108.408 gdp | -46.40584 21.96854 -2.11 0.042 -91.10116 -1.710515 inf | 13.9932 3.573093 3.92 0.000 6.723683 21.26271 _cons | 18.46875 7.374461 2.50 0.017 3.465293 33.4722 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).incdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -0.65 Pr > z = 0.513 Arellano-Bond test for AR(2) in first differences: z = -0.19 Pr > z = 0.848 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 38.57 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 19.10 Prob > chi2 = 0.161 (Robust, but weakened by many instruments.) lv Dynamic panel-data estimation, two-step system GMM ------------------------------------------------------------------------------ Group variable: id Number of obs = 393 Time variable : yr Number of groups = 34 Number of instruments = 21 Obs per group: min = 6 F(6, 33) = 35.49 avg = 11.56 Prob > F = 0.000 max = 15 ------------------------------------------------------------------------------ zscore | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- fundiv | 13.50463 4.653364 2.90 0.007 4.037294 22.97197 eta | 83.37977 10.6052 7.86 0.000 61.80332 104.9562 lnasset | .213859 .5386394 0.40 0.694 -.882011 1.309729 llp | 45.91352 37.97608 1.21 0.235 -31.34939 123.1764 gdp | 14.69974 23.97777 0.61 0.544 -34.0834 63.48288 inf | 5.903287 3.275631 1.80 0.081 -.7610338 12.56761 _cons | -4.447661 10.39861 -0.43 0.672 -25.6038 16.70848 ------------------------------------------------------------------------------ Instruments for orthogonal deviations equation Standard FOD.(eta lnasset llp gdp inf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/14).incdiv collapsed ------------------------------------------------------------------------------ Arellano-Bond test for AR(1) in first differences: z = -0.98 Pr > z = 0.327 Arellano-Bond test for AR(2) in first differences: z = -0.18 Pr > z = 0.854 ------------------------------------------------------------------------------ Sargan test of overid. restrictions: chi2(14) = 37.92 Prob > chi2 = 0.001 (Not robust, but not weakened by many instruments.) Hansen test of overid. restrictions: chi2(14) = 14.45 Prob > chi2 = 0.417 (Robust, but weakened by many instruments.)
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