Ước lượng hệ số beta vốn chủ và beta tài sản của ngành dịch vụ tài chính và đầu tư ở Việt Nam thời kỳ hậu lạm phát thấp 2015-2017

Tạp chí Nghiên cứu Tài chính – Marketing số 56, 04/2020
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ASSET AND EQUITY BETA OF VIET NAM INVESTMENT AND 
FINANCIAL SERVICE INDUSTRY AFTER LOW INFLATION 
PERIOD 2015-2017
ƯỚC LƯỢNG HỆ SỐ BETA VỐN CHỦ VÀ BETA TÀI SẢN CỦA 
NGÀNH DỊCH VỤ TÀI CHÍNH VÀ ĐẦU TƯ Ở VIỆT NAM 
THỜI KỲ HẬU LẠM PHÁT THẤP 2015-2017
Đinh Trần Ngọc Huy1
Ngày nhận bài: 02/9/2019 Ngày chấp nhận đăng: 28/10/2019 Ngày đăng: 05/04/2020
Tóm tắt
Bài báo này ước lượng sự biến động của rủi ro thị trường trong nhóm các công ty Dịch vụ tài chính 
và đầu tư Việt Nam sau thời kỳ lạm phát thấp (2015-2017). Lý do chính là vai trò thiết yếu của hệ 
thống nhóm Công ty Dịch vụ tài chính và Đầu tư trong sự phát triển và tăng trưởng kinh tế trong 
những năm qua luôn đi đôi với các chính sách rủi ro và kiểm soát rủi ro.
Do vậy, bài nghiên cứu này hướng đến việc xác định đo lường mức tăng, giảm rủi ro thị trường 
của các công ty thuộc nhóm Dịch vụ tài chính và Đầu tư trong môi trường hậu lạm phát thấp 2015-
2017. Đầu tiên, bằng cách sử dụng phương pháp định lượng kết hợp với phân tích dữ liệu so sánh, 
chúng tôi tìm ra mức rủi ro được đo bằng giá trị trung bình beta trong ngành Dịch vụ tài chính và 
Đầu tư là chấp nhận được, vì nó thấp hơn 1.
Bên cạnh đó, một trong những phát hiện chính của bài nghiên cứu là so sánh giữa mức độ rủi ro của 
ngành Dịch vụ tài chính và Đầu tư với các hệ số rủi ro ngành đầu tư chứng khoán. Trên thực tế, kết 
quả nghiên cứu cho chúng ta thấy mức độ rủi ro thị trường của nhóm công ty Dịch vụ tài chính và 
Đầu tư trong thời kỳ hậu lạm phát thấp là thấp hơn (giá trị trung bình beta = 0.412 < 0.622). Cuối 
cùng, bài viết này cung cấp một số ý tưởng cho các công ty và Chính phủ nhiều bằng chứng hơn 
trong việc thiết lập các chính sách của họ trong quản trị. Đây là nhiệm vụ tương đối phức tạp nhưng 
kết quả nghiên cứu cho chúng ta cảnh báo rằng biến động rủi ro thị trường cần được kiểm soát tốt 
hơn trong giai đoạn hậu lạm phát thấp 2015-2017. Trong phần kết luận của chúng tôi sẽ đề xuất một 
số chính sách và kế hoạch để đối phó với nó. Chẳng hạn như các công ty cần nhận diện, đo lường 
và kiểm soát rủi ro tốt hơn cả từ môi trường bên trong và bên ngoài. 
Từ khóa: Quản trị rủi ro, beta tài sản, khủng hoảng, lạm phát thấp, nhóm ngành dịch vụ đầu tư, 
chính sách
____________________________________________________
1 Trường Đại học Ngân hàng, Thành phố Hồ Chí Minh
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active in the capital market, together with loan 
growth of banking system about 16-18% per 
year (see exhibit 2) and strong efforts of stock 
investment firms. Vietnam companies need not 
only loans from banks, but also medium to long 
term capital from investment funds.
Investment & Development Companies have 
been affected by inflation (see more in the below 
conceptual theories part). In general, central 
banks aim to maintain inflation around 2% to 
3%. Increases in inflation significantly beyond 
this range can lead to possible hyperinflation, 
a devastating scenario in which inflation rises 
rapidly out of control, and therefore harm the 
investment industry. Looking at exhibit 1, we 
1. Introduction 
Throughout many recent years (2006 
until now), Viet Nam Investment Company 
group is evaluated as one of active markets, 
providing financial service, consulting as well 
as economic and market analysis to connect 
capital supply and demand, which has certain 
positive effect for the economy and become one 
of vital players in the financial system of the 
nation. These companies are diversifying their 
portfolio and performing careful due diligence 
to increase their net worth or return on equity.
Vietnam GDP growth is around 6 - 7% 
per year which shows a positive sign for 
investment companies to participate more 
Abstract
This paper measures the volatility of market risk in Viet Nam Investment & Development Company 
group after this period (2015-2017). The main reason is the necessary role of the of Investment 
Company group system in Vietnam in the economic development and growth in recent years always 
go with risk potential and risk control policies. 
Hence, this research paper aims to figure out how much increase or decrease in the market risk of 
Vietnam of Investment Company group firms during the post-low inflation environment 2015-2017.
First, by using quantitative combined with comparative data analysis method, we find out the risk 
level measured by equity beta mean in the investment & development industry is acceptable, as it 
is lower than (<) 1.
Then, one of the major findings is the comparison between risk level of stock investment industry 
compared to those of Investment & Development Company group in the post-low inflation time 
2015-2017. In fact, the research findings show us market risk level of investment group during the 
post-low inflation time is lower (equity beta mean = 0.412 < 0.622). 
Finally, this paper provides some ideas that could provide companies and government more evidence 
in establishing their policies in governance. This is the complex task but the research results show 
us warning that the market risk need to be controlled better during the post-low inflation period 
2015-2017. And our conclusion part will recommend some policies and plans to deal with it. For 
instance, these investment companies need to enhance their corporate governance structure to 
reduce internal and external risks.
JEL classification numbers: G010, G390
Keywords: Risk management, asset beta, financial crisis, Investment Company group, policy
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leverage and higher loss absorption capacity of 
capital. Zhi et al. (2012) argue that the empirical 
evidence against the capital asset pricing 
model (CAPM) based on stock returns does 
not invalidate its use for estimating the cost of 
capital for projects in making capital budgeting 
decisions. Najeb (2013) suggested a positive 
relationship between efficient stock markets 
and economic growth, both in short run and 
long run and there is evidence of an indirect 
transmission mechanism through the effect of 
stock market development on investment.
Yener et al. (2014) found evidence showing 
that unusually low interest rates over an 
extended period of time contributed to an 
increase in banks’ risk.
Emilios (2015) mentioned that bank leverage 
ratios are primarily seen as a microprudential 
measure that intends to increase bank 
resilience. Yet in today’s environment of 
excessive liquidity due to very low interest 
rates and quantitative easing, bank leverage 
ratios should also be viewed as a key part of 
the macroprudential framework. As such, 
it explains the role of the leverage cycle in 
causing financial instability and sheds light on 
the impact of leverage restraints on good bank 
governance and allocative efficiency.
Atousa and Shima (2015) found out the 
econometric results indicate that life insurance 
sector growth contributes positively to 
economic growth. Then, Gunarathna (2016) 
revealed that financial leverage positively 
correlate with financial risk. However, firm 
size negatively affects the financial risk. 
Aykut (2016) suggested two main findings: 
(i) Credit risk and Foreign exchange rate have 
a positive and significant effect, but interest 
rate has insignificant effect on banking sector 
profitability, (ii) credit and market risk have a 
positive and significant effect on conditional 
bank stock return volatility. 
can see the Vietnam economy has controlled 
inflation well. Additionally, investment firms 
tend to have a “risk-reward” viewpoint in their 
strategy, higher risk requires higher return, but 
sometimes higher risks lead to lower reward.
This study will calculate and figure out 
whether the market risk level during the 
post-low inflation time (2015) has increased 
or decreased, compared to those statistics 
in the stock investment industry. Estimation 
of the volatility of market risk will give us a 
risk measurement point on how much is risk 
tolerance for investors’ selected portfolio. 
Research Issues 
The scope of this study are:
Issue 1: Whether the risk level of Investment 
& Development firms under the different 
changing scenarios in post-low inflation period 
2015-2017 high or low, compared to those in 
stock investment industry?
Issue 2: Because Viet Nam is an emerging 
and immature financial market and the stock 
market still in the starting stage, whether the 
dispersed distribution of beta values become 
large in the post-low inflation period in the 
Investment & Development Company group.
The paper is organized as follows: after the 
introduction it is the research issues, literature 
review, conceptual theories and methodology. 
Next, section 3 will cover main research 
findings/results. Section 4 gives us some risk 
analysis, then section 5 presents discussion and 
conclusion and policy suggestion will be in the 
section 6. 
2. Body of manuscript
2.1. Literature review 
First, Martin and Sweder (2012) pointed out 
that incentives embedded in the capital structure 
of banks contribute to systemic fragility, and 
so support the Basel III proposals towards less 
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measure asset and equity beta in these 2 
industries and proposes some policies to 
reduce risk. 
2.2. Conceptual theories during low 
inflation environment
Positive sides of low inflation: Low (not 
negative) inflation reduces the potential 
of economic recession by enabling the 
labor market to adjust more quickly in a 
downturn, and reduces the risk that a liquidity 
trap prevents monetary policy from stabilizing 
the economy. This is explaining why many 
economists nowadays prefer a low and stable 
rate of inflation. It will help investment, 
encourage exports and prevent boom economy. 
The central bank can use monetary policies, 
for instance, increasing interest rates to reduce 
lending, control money supply or the Ministry 
of finance and the government can use tight 
fiscal policy (high tax) to achieve low inflation. 
Negative side of low inflation: it leads to 
low aggregate demand and economic growth, 
recession potential and high unemployment. 
Production becomes less vibrant. Low inflation 
makes real wages higher. Workers can thus 
reduce the supply of labor and increase rest 
time. On the other hand, low product prices 
reduce production motivation. The central 
bank might consider using monetary policy 
to stimulate the economic growth during 
low-inflation environment. It means that an 
expansionary monetary policy can be used to 
increase the volume of bank loans to stimulate 
the economy. 
Financial and credit risk in the bank 
system can increase when the financial market 
becomes more active and bigger, esp. with 
more international linkage influence. Hence, 
central banks, commercial banks, organizations 
and the government need to organize data to 
analyze and control these risks, including 
market risk.
Next, Riet (2017) mentioned that after the 
euro area crisis had subsided, the Governing 
Council of the ECB still faced a series of 
complex and evolving monetary policy 
challenges. As market volatility abated, but 
deflationary pressures emerged, the main task as 
from June 2014 became to design a sufficiently 
strong monetary stimulus that could reach 
market segments that were deprived of credit 
at reasonable costs and to counter the risk of 
a too prolonged period of low inflation. Hami 
(2017) showed that inflation has a negatively 
significant effect on financial depth and also 
positively significant effect on the ratio of total 
deposits in banking system to nominal GDP in 
Iran during the observation period.
In addition to, Chizoba et al. (2018) revealed 
that inflation rate had a positive but insignificant 
effect on insurance penetration of the Nigerian 
insurance industry. The implication is that the 
macroeconomic variable (inflation) increase 
the level of insurance penetration in Nigerian 
insurance industry but it increase was not 
significant. And Miguel et al. (2018) found 
a consistently negative and nonlinear effect 
of price increases on financial variables; in 
particular, it is statistically significant in the full 
sample of countries, significant in developing 
countries, and insignificant in developed 
countries.
Finally, research results show that market 
risk indicators have a negative and significant 
influence on the companies’ financial 
performance. Therefore, decision-makers and 
managers should mitigate market risk through 
appropriate strategies of risk management, 
such as derivatives and insurance techniques. 
(Kassi et al. 2019).
Hence, there are no researches so far which 
have been done in measuring and comparing 
market risk in investment industry and stock 
investment industry. This paper helped to 
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summary method to generate analytical results 
from data calculated.
Finally, we use the results to suggest 
policy for both these enterprises, relevant 
organizations and government. Macro policies 
and business policies for investment companies 
play a directive role in reducing internal and 
external risks.
3. Main Findings
3.1. General Data Analysis 
We get some analytical results form the 
research sample with 7 listed firms in the 
Investment & Development Company group 
with the live date from the stock exchange. 
There are several more investment companies 
in the Viet Nam financial market, however, our 
study scopy is selecting 7 investment firms 
who are listed in Viet Nam stock exchange to 
analyze asset and equity beta.
3.2. Findings and Discussion 
In the below section, data used are from total 7 
listed Investment & Development companies on 
VN stock exchange (HOSE and HNX mainly). 
Different scenarios are created by comparing the 
calculation risk data between 2 groups: Stock 
firms and investment firms during the post – low 
inflation environment 2015-2017.
Market risk (beta) under the impact of tax 
rate, includes: 1) equity beta; and 2) asset beta. 
We model our data analysis as in the below figure:
For the investment industry, high inflation 
may harm the investment companies and cause 
higher losses and increase the operational costs. 
In case of low inflation, interest rates may 
fall and hence, it is not a benefit for insurers’ 
investment portfolio. Hence, risk assessment 
and control mechanisms are necessary for 
insurers to reduce these losses.
Moreover, as market risk or beta is a kind 
of systematic risk or undiversifiable risk which 
affects the overall market, the role of measuring 
equity and asset beta in a specific industry such 
as investment group is acceptable.
2.3. Methodology and data
We use the data from the stock exchange 
market in Viet Nam (HOSE and HNX) during 
the post – low inflation time 2015-2017 to 
estimate systemic risk results. We perform 
both fundamental data analysis and financial 
techniques to calculate equity and asset beta 
values. 
In this study, analytical research method 
and specially, comparative analysis method is 
used, combined with quantitative data analysis. 
Analytical data is from the situation of listed of 
Investment & Development firms in Viet Nam 
stock exchange. 
Specifically, stock price data is from live 
data on HOSE stock exchange during 3 years 
2015-2017, which presents the low inflation 
environment. Then, we use both analytical and 
Table 0. Analyzing market risk under two (2) groups of firms during post – low inflation 
period 2015-2017 
Post – low inflation period Risk level 
(equity beta)
Risk level 
(asset beta)
Other 
measures
Gap
Investment and 
Development group
Scenario  Scenario .. Scenario .. Analysis
Stock investment group
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Table 1. The Volatility of Market Risk (beta) of Investment & 
Development Company group in the post - low inflation environment 2015-2017
 2015-2017 (post - low inflation)
Order No.
Company 
stock code
Equity beta 
Asset beta (assume 
debt beta = 0)
Note
1 FDC -0.629 0.091
assume debt beta = 0; 
debt ratio as in F.S 2015
2 FID 0.816 0.088
3 FIT 2.423 0.085
4 SJF -0.515 0.091
5 FTM 0.210 0.090
6 HHS 0.510 0.089
7 BII 0.072 0.090
Table 2. The Statistics of Volatility of Market Risk (beta) of Investment & 
Development Company group in the post- low inflation environment 2015-2017
 2015-2017 (post - low inflation)
Statistic results Equity beta Asset beta (assume debt beta = 0)
MAX 2.423 0.091
MIN -0.629 0.085
MEAN 0.412 0.089
VAR 1.0530 0.0000
Note: Sample size : 7 (We just take a sample of 7 firms to make comparison)
Table 3. The Comparison of Statistics of Volatility of Market Risk (beta) of Investment 
& Development Company group and those in Stock industry in the post - low inflation 
environment 2015-2017 and the financial crisis 2007-2009
 Stock investment group Investment and 
development group
GAP (+/-) Investment 
compared to Stock group
Statistic 
results
Equity 
beta 
Asset beta 
(assume debt 
beta = 0)
Equity 
beta 
Asset beta 
(assume debt 
beta = 0)
Equity 
beta 
Asset beta 
(assume debt 
beta = 0)
MAX 1.104 0.835 2.423 0.091 1.320 -0.743
MIN -0.169 -0.069 -0.629 0.085 -0.460 0.154
MEAN 0.622 0.404 0.412 0.089 -0.209 -0.315
VAR 0.156 0.077 1.053 0.000 0.897 -0.077
Note: Sample size: 7
Based on the above calculation result table, 
we analyze data as follows:
Firstly, we note in the table 1 that there 
is only 1 investment firm (over 7 selected 
investment companies) have equity beta value 
much higher (>) than 1 (2.423) while there are 4 
companies with beta <1 (FID, FTM, HHS, BII), 
which means risk level acceptable. And 2 firms 
with negative equity beta values.
Then, table 2 provides evidence for us to see 
that equity beta mean of the sample is 0.412, 
quite lower than (<) 1. It is acceptable. Also, all 
asset beta values of firms are quite small.
Furthermore, table 3 tells us value of equity 
beta mean of investment group in the post-low 
inflation 2015-2017 is lower (<) than those 
of stock investment industry. However, the 
risk fluctuation measured by equity beta var 
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Compared to stock investment group, Equity 
beta max and equity beta var are much higher 
than in the investment industry while asset 
and equity beta mean values are lower. The 
average risk in the whole investment industry 
is acceptable despite of high equity beta max 
(2.423).
in investment group is much higher (1.053 > 
0.156). It means that the level of risk in the 
post – low inflation period 2015-17 is lower in 
average.
In addition to, looking at the below chart 1- , 
we can find out:
1.104 
0.835 
0.622 
0.404 
0.1559 0.0772 
2.423 
0.091 
0.412 
0.089 
1.053 
0.000 
0.000
0.500
1.000
1.500
2.000
2.500
3.000
Equity
Beta Max
Asset
Beta Max
Equity
Beta
Mean
Asset
Beta
Mean
Equity
Beta VAR
Asset
Beta VAR
Stock investment group
Investment & Develop. Group
Chart 1. Statistics of Market risk (beta) in VN stock investment industry in the post – low 
inflation period 2015-2017 compared to those in Investment & Development group
4. Risk analysis
Inflation can affect negatively on market 
capitalization, but low inflation could be 
beneficial to economic recovery and might have 
benefits for financial system as investors can 
perform more transactions. Risk attitude affects 
investment firms’ behavior, although higher 
risk needs higher reward, but the riskier, the 
costlier for them. Once again, as we see from 
the above chart 1, risk tends to decline (shown 
by equity and asset beta mean) in investment 
group, but when investors invest more money, 
they still need to measure and control these 
risks. Furthermore, looking at exhibit 4, we see 
that bank lending rate is also stable and declines 
little during low inflation time 2015-17, it also 
reduce financial risk for firms and vice versa, 
they will demand more benefits from investment 
firms. So investment firms need to handle this 
challenge also.
5. Discussion for further researches
We can continue to analyze risk factors 
behind the risk scene (risk increasing as above 
analysis) in order to recommend suitable 
policies and plans to control market risk better. 
Also, the role of risk management and risk 
managers need to be developed more. 
6. Conclusion and Policy Implication
In general, Investment & Development 
group system in Vietnam has been contributing 
significantly to the economic development 
and GDP growth rate of more than 6-7% 
in recent years (see Exhibit 2). The above 
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more stable in next development stage. 
An academic and practical contribution of 
this paper is that investors may select proper 
investee, in an investment portfolio, with 
low suitable risk level (and avoid high risk 
investment), but with growth potential and 
ROI. The combination of risk appraisal and 
profits evaluation from firm strategy will help 
investors to ensure expected ROI.
Finally, this study opens some new 
directions for further researches in risk control 
policies in Investment & Development group, 
bank system as well as in the whole economy. 
For instance, how increasing inflation and 
deflation affects the risk level of Investment & 
Development group and how much inflation is 
sufficient for financial system and economic 
development.
ACKNOWLEDGEMENTS 
I would like to take this opportunity to 
express my warm thanks to Board of Editors 
and Colleagues at Citibank –HCMC, SCB and 
BIDV-HCMC, Dr. Chen and Dr. Yu Hai-Chin 
at Chung Yuan Christian University for class 
lectures, also Dr Chet Borucki, Dr Jay and my 
ex-Corporate Governance sensei, Dr. Shingo 
Takahashi at International University of Japan. 
My sincere thanks are for the editorial office, 
for their work during my research. Also, my 
warm thanks are for Dr. Ngo Huong, Dr. Ho 
Dieu, Dr. Ly H. Anh, Dr Nguyen V. Phuc, 
Dr Le Si Dong and my lecturers at Banking 
University – HCMC, Viet Nam for their help.
Lastly, thank you very much for my family, 
colleagues, Dad and Mum and brother in 
assisting convenient conditions for my research 
paper. 
analysis shows us that most of risk measures 
(equity beta max, mean and var) are decreasing 
during the post-low inflation period. However, 
Investment & Development group in Vietnam 
need to continue to increase their corporate 
governance system, structure and mechanisms, 
as well as their competitive advantage to 
control risk better. For instance, Investment 
& Development group might consider proper 
measures and plans to manage bad scenarios in 
future. Another way is increasing productivity 
while reducing management or operational 
costs. Furthermore, these firms need to invest 
into selective investment portfolio and choose 
a suitable investment strategy over long term 
to reduce risk. 
This research paper provides evidence that 
the market risk potential has been lower in 
2015-2017 post-low inflation period (looking 
again chart 1 – equity beta mean values), while 
the Exhibit 3 also suggests that the credit growth 
rate increased in 2016 and slightly decrease in 
later years (2017-2018). It means that the local 
economy is trying to control credit growth 
rationally and logically, however we need to 
analyze risk factors more carefully to reduce 
more market risk. 
Last but not least, different from stock 
investment industry, as it generates the result 
that the risk volatility or fluctuation level 
became higher in the post-low inflation 
period, the government and relevant bodies 
such as Ministry of Finance and State Bank 
of Vietnam, as well as board of these firms 
need to consider proper policies (including a 
combination of fiscal, monetary, exchange rate 
and price control policies) aiming to reduce/
control the risk better and hence, help the stock 
market as well as the whole economy become 
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Chizoba, P.E., Eze, O.R.,& Nwite, S.C., (2018), Effect of Inflation Rate on Insurance Penetration of Nigerian 
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Exhibit
Exhibit 1 – Inflation, CPI over past 10 years (2007-2017) in Vietnam
Exhibit 2 – GDP growth rate past 10 years (2007-2018) in Vietnam
Tạp chí Nghiên cứu Tài chính – Marketing số 56, 04/2020
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Exhibit 3 – Loan/Credit growth rate in the past years (2012-2018) in Vietnam
 Exhibit 4 – Deposit and lending interest rates in the past 12 years (2005-2018) 
in Vietnam
8.2% 
9% 
10% 
16% 
10% 
14% 14% 
12% 
8.50% 
7.2% 7.7% 7.2% 6.90% 7.60%
10% 
14% 
20% 
11% 
20% 20% 
11% 
12% 
10% 10.50% 10%
8.86% 8.90% 8.40% 
6.60% 
12.60% 
22% 
6.88% 
11.75% 
18% 
6.81% 6.04%
4.09% 
0.60% 
4.74% 
3.53% 3.54% 
0%
5%
10%
15%
20%
25%
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Basic rate
Deposit rate
Lending rate
Inflation