The influence of corporate financial variables on systemic risk: A study in the Vietnamese banking sector

Tóm tắt

This study examines the influence of corporate financial variables on
 systematic risk using data from a panel of 18 banks listed on the Ho Chi Minh City Stock
 Exchange and Ha Noi Stock Exchange stock markets during the period from 2017 to
 2022. The research employs three estimation models: Ordinary Least Squares (OLS),
 Random Effects Model (REM), and Fixed Effects Model (FEM). The test results indicate
 that the REM model is the most appropriate. To enhance the reliability and effectiveness
 of the model, tests for model misspecification are conducted. The results reveal the
 presence of autocorrelation, and the Generalized Least Squares (GLS) model is used to
 address this issue. Experimental results on banks in the HOSE and HNX stock markets
 indicate that return on assets (ROA), bank size (SIZE), and volatility (VOL) have positive
 impacts on systemic risk, while growth rate (GROW) exerts a negative influence.