Khóa luận tốt nghiệp factors influencing the liquidity of commercial banks in vietnam

THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HO CHI MINH UNIVERSITY OF BANKING HOANG DANG KHAI FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM GRADUATION THESIS MAJOR: BANKING AND FINANCE CODE: 7340201 SUPERVISOR: DR NGUYEN DUY LINH HO CHI MINH CITY – 2022 THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HO CHI MINH UNIVERSITY OF BANKING HOANG DANG KHAI STUDENT CODE: 050606180154 HQ6-GE04 FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM GRADUATION THESIS MAJOR: BANKING AND FINANCE CODE: 7340201 SUPERVISOR: DR NGUYEN DUY LINH HO CHI MINH CITY – 2022 ABSTRACT The topic " FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM" is based on previous researches related to factors affecting the liquidity of Vietnamese commercial banks; The scope of the study is 25 Vietnamese commercial banks in the period 2012-2021 Besides, research data is secondary data collected from audited consolidated financial statements of commercial banks, General Statistics Office and World Bank The topic uses a univariate regression model with the dependent variable being bank liquidity and the independent variables being Bank size (SIZE), Equity ratio (CAP), Loan-to-deposit ratio (LDR), Return on equity (ROE), Non-performing loan (NPL), Economic growth (GDP), Inflation rate (INF) Through the regression models Pooled-OLS, FEM, REM, FGLS, along with some tests to find a complete model and have statistical significance The model estimation results show that the variables LDR, NPL, and GDP have a negative impact on the liquidity of the bank; in contrast, the variables SIZE, CAP, ROE, and INF have a positive impact on the liquidity of banks However, only variables such as LDR, ROE, and INF are statistically significant Based on the research results, the study contributes to providing suggestions and policy implications for bank administrators to both manage the liquidity of Vietnamese banks and meet both profitability TABLE OF CONTENTS ABSTRACT TABLE OF CONTENTS DECLARATION OF AUTHENTICITY ACKNOWLEDGEMENT LIST OF ABBREVIATIONS LIST OF TABLES LIST OF GRAPHS CHAPTER 1: INTRODUCTION 1.1 INTRODUCTION 1.2 THE NOVELTY OF THE TOPIC 1.3 THE AIM OF THE THESIS 1.3.1 Overall objectives 1.3.2 Particular objectives 1.4 THE RESEARCH QUESTIONS 1.5 SUBJECT AND SCOPE OF THE RESEARCH 1.6 METHODOLOGY 1.7 RESEARCH CONTENT 1.8CONTRIBUTION OF THE THESIS 1.9 THE PROPOSED LAYOUT OF THE THESIS SUMMARY OF CHAPTER 3 3 4 5 CHAPTER 2: THEORETICAL FRAMEWORK 2.1 LIQUIDITY OF COMMERCIAL BANKS 2.1.1 Liquidity concept 2.1.2 Bank liquidity 2.1.3 Supply and demand of liquidity and net liquidity position 2.2 LIQUIDITY MEASUREMENT METHOD 11 2.2.1 Liquidity gap measurement method 11 2.2.2 Liquidity ratio measurement method 12 2.3 FACTORS INFLUENCING BANK LIQUIDITY 13 2.3.1 Group of factors inside the bank 13 2.3.2 Group of factors outside the bank 15 2.4 EMPIRICAL RESEARCH OVERVIEW 16 2.4.1 Foreign research 16 2.4.2 Domestic research 18 2.4.3 The research gaps 19 SUMMARY OF CHAPTER 20 CHAPTER 3: RESEARCH MODEL 21 3.1 ANALYSIS PROCESS 21 3.2 SAMPLES AND RESEARCH DATA 23 3.2.1 Research samples 23 3.2.2 Research data 23 3.2.3 Research tools 23 3.3 METHODOLOGY 24 3.3.1 Qualitative method 24 3.3.2 Quantitative method 24 3.4 RESEARCH MODEL AND HYPOTHESIS 25 3.4.1 Research model 25 3.4.2 Description of variables and hypotheses 26 SUMMARY OF CHAPTER 30 CHAPTER 4: RESEARCH RESULTS 31 4.1 DESCRIPTIVE STATISTICS 31 4.2 RESEARCH RESULTS 33 4.2.1 Correlation analysis 33 4.2.2 Multicollinearity test 35 4.3 REGRESSION RESULTS OF THE RESEARCH MODEL 36 4.3.1 Comparison of regression results between two models, Pooled OLS and FEM 37 4.3.2 Comparison of regression results between two models, FEM and REM 37 4.3.3 Defect tests 38 4.3.4 Final model 39 4.4 SUMMARY 40 4.4.1 Bank size (SIZE) 40 4.4.2 Equity ratio (CAP) 41 4.4.3 Loan-to-deposit ratio (LDR) 41 4.4.4 Return on equity (ROE) 42 4.4.5 Non-performing loan ratio (NPL) 42 4.4.6 Economic growth rate (GDP) 42 4.4.7 Inflation rate (INF) 43 SUMMARY OF CHAPTER 44 CHAPTER 5: CONCLUSION AND POLICY IMPLICATIONS 45 5.1 CONCLUSION 45 5.2 POLICY IMPLICATIONS 46 5.2.1 For commercial banks 46 5.2.2 For the State Bank of Vietnam 47 5.3 LIMITATIONS OF THE THESIS 48 5.4 PROPOSING DIRECTIONS FOR FURTHER RESEARCH 49 SUMMARY OF CHAPTER 50 REFERENCES 51 APPENDIX 53 APPENDIX A LIST OF COMMERCIAL BANKS IN VIETNAM IN THE RESEARCH SAMPLE 53 APPENDIX B CALCULATED DATASET 55 APPENDIX C REGRESSION RESULTS WITH STATA 16.0 69 DECLARATION OF AUTHENTICITY I declare that this is my independent thesis The data used in the thesis are of clear origin and published following the law The research results in the thesis are my research and analysis, honestly, objectively, and by following the reality of Vietnam These results have not been published in any previous papers Ho Chi Minh City, November 2022 The Author Hoang Dang Khai ACKNOWLEDGEMENT Firstly, I would like to send my profound gratitude to all the lecturers at Banking university, in the Office of Academic Affairs, and especially to the Department of Finance and the Department of Banking lecturer while studying for a bachelor’s degree at the Ho Chi Minh University of Banking Secondly, I would like to express my sincerest and most profound thankfulness to Dr Nguyen Duy Linh for his guidance and patience in giving me valuable recommendations during my study period I am happy and fortunate to carry out this study under his supervisor Lastly, I would like to thank my family for their support during my study and life Without encouragement and sacrifice, I would not have finished this thesis, so I express my special love and gratitude to them In the implementation process, mistakes are inevitable despite consulting, exchanging, and absorbing suggestions from teachers and friends With the effort to improve more and more, I look forward to receiving valuable advice from teachers and friends I sincerely thank! LIST OF ABBREVIATIONS CPI Consumer Price Index FEM Fixed Effects Model FGLS Feasible Generalized Least Squares GSO General Statistics Office JSCBs Joint Stock Commercial Banks NLP Net Liquidity Position POLS Pooled Ordinary Least Square REM Random Effects Model SBV State Bank Of Vietnam VIF Variance Inflation Factor LIST OF TABLES Table 2.1: Banking activities forming the supply and demand for liquidity .10 Table 3.1: Description of variables in the research model 26 Table 4.1: Variable Statistics 31 Table 4.2: Correlation matrix 33 Table 4.3: Multicollinearity test 35 Table 4.4: Regression results of models 36 Table 4.5: F-test test 37 Table 4.6: Hausman test 37 Table 4.7: Modified Wald test 38 Table 4.8: Wooldridge test 38 Table 4.9: Regression result of FGLS 39 Table 4.10: Summary of expected hypothesis and experimental results .40 ... bank''s liquidity 1.3.2 Particular objectives  Determining the factors impacting the liquidity of commercial banks in Vietnam  Measuring and assessing the impact direction of each factor influencing. .. COMMERCIAL BANKS IN VIETNAM" is based on previous researches related to factors affecting the liquidity of Vietnamese commercial banks; The scope of the study is 25 Vietnamese commercial banks in the. . .THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HO CHI MINH UNIVERSITY OF BANKING HOANG DANG KHAI STUDENT CODE: 050606180154 HQ6-GE04 FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL