DETERMINANTS OF SYSTEMATIC RISK IN VIETNAMESE COMMERCIAL BANKS

Abstract

This study examines the determinants of systematic risk in Vietnamese commercial banks during the period 2019–2024. Using a balanced panel dataset of 25 listed banks, systematic risk is measured by the beta coefficient derived from the Capital Asset Pricing Model (CAPM). The analysis employs panel data regression techniques, with model selection tests favoring the fixed effects specification. To address econometric issues related to heteroskedasticity, autocorrelation, and cross-sectional dependence, Driscoll–Kraay robust standard errors are applied. The empirical results indicate that bank-specific factors play a central role in shaping banks’ exposure to market-wide risk. Bank size, income diversification, cost-to-income ratio, funding cost, and inflation are found to have positive and statistically significant effects on systematic risk. In contrast, operating costs and non-performing loans exhibit significant negative relationships with beta, while capital adequacy and GDP growth are not statistically significant. These findings suggest that managerial decisions, funding structures, and macroeconomic instability are key channels through which systematic risk is transmitted in the Vietnamese banking system. Overall, the study contributes new evidence from an emerging market and offers important implications for bank managers and regulators in designing strategies to mitigate market risk and enhance financial stability.