Các yếu tố ảnh hưởng đến lợi nhuận của các ngân hàng thương mại cổ phần Việt Nam: Khóa luận đại học chuyên ngành tài chính ngân hàng / Nguyễn Thị Thùy Linh ; người hướng dẫn khoa học Nguyễn Thị Mỹ Hạnh

NGÂN HÀNG NHÀ NƢỚC VIỆT NAM BỘ GIÁO DỤC VÀ ĐÀO TẠO

TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP. HỒ CHÍ MINH

-----------------------------------------

NGUYỄN THỊ THÙY LINH

CÁC YẾU TỐ ẢNH HƢỞNG ĐẾN LỢI NHUẬN CỦA CÁC

NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN VIỆT NAM

KHÓA LUẬN TỐT NGHIỆP

Chuyên ngành: Tài chính – Ngân hàng

Mã ngành: 7340201

NGƢỜI HƢỚNG DẪN KHOA HỌC

ThS. NGUYỄN THỊ MỸ HẠNH

TP. Hồ Chí Minh, tháng 01 - 2020

NGÂN HÀNG NHÀ NƢỚC VIỆT NAM BỘ GIÁO DỤC VÀ ĐÀO TẠO

TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP. HỒ CHÍ MINH

-----------------------------------------

NGUYỄN THỊ THÙY LINH

CÁC YẾU TỐ ẢNH HƢỞNG ĐẾN LỢI NHUẬN CỦA CÁC

NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN VIỆT NAM

KHÓA LUẬN TỐT NGHIỆP

Chuyên ngành: Tài chính – Ngân hàng

Mã ngành: 7340201

NGƢỜI HƢỚNG DẪN KHOA HỌC

ThS. NGUYỄN THỊ MỸ HẠNH

TP. Hồ Chí Minh, tháng 01 - 2020

i

TÓM TẮT

Bài nghiên cứu phân tích các yếu tố ảnh hƣởng đến lợi nhuận của các ngân

hàng thƣơng mại cổ phần tại Việt Nam trong giai đoạn từ năm 2012 đến năm 2018

và số liệu dùng trong bài đƣợc lấy từ báo cáo tài chính của 30 ngân hàng thƣơng

mại cổ phần đang hoạt động. Tác giả đã phân tích các yếu tố thông qua việc xây

dựng ba mô hình hồi quy cho bộ dữ liệu theo phƣơng pháp bình phƣơng nhỏ nhất

(Ordinary Least Squares – OLS), mô hình tác động cố định (Fixed Effects Model –

FEM), mô hình tác động ngẫu nhiên (Random Effects Model – REM), sau đó thực

hiện các kiểm định nhƣ F – test và Hausman để chọn đƣợc mô hình phù hợp nhất,

đồng thời tiến hành một số kiểm định khác để kiểm tra xem mô hình đang mắc phải

các khuyết tật nào và đƣa ra phƣơng pháp khắc phục hoàn thiện mô hình. Sau khi sử

dụng phƣơng pháp bình phƣơng nhỏ nhất tổng quát (generalized least squares –

GLS) để khắc phục hiện tƣợng phƣơng sai thay đổi và đa cộng tuyến của mô hình

thì kết quả nghiên cứu thu đƣợc là trong 9 yếu tố có 7 yếu tố tác động cùng chiều

đến lợi nhuận quy mô ngân hàng, tỷ lệ an toàn vốn, tỷ lệ cho vay, rủi ro thanh

khoản, tăng trƣởng tín dụng, lạm phát và tốc độ tăng trƣởng, trong khi hai biến tỷ lệ

tiền gửi và rủi ro tín dụng tác động ngƣợc chiều đến lợi nhuận. Với kết quả đạt đƣợc

sẽ phần nào giúp các ngân hàng và các cơ quan liên quan khác trong việc đánh giá,

quản lý và hoạt động hiệu quả hơn, cũng nhƣ đóng góp thêm một nghiên cứu thực

nghiệm cho tƣơng lai.

ii

ABSTRACT

The banking system is the most important section of the economy. Banks

play a very important role in providing capital, demand deposits, making loans and

providing other services for the public. The health of the country‟s economy is

closely related to the soundness of banking system. Therefore, profit maximization

is an important target that always concerned by all companies in general and joint

stock commercial banks in Viet Nam in particular. The profitability of a bank is

affected by numerous factors, including internal elements of financial institutions

and several external factors of the economy. Therefore, the author has chosen the

research topic „Factors affecting Vietnamese commercial banks‟ profitability‟ in the

hope of making some recommendations for bankers in Vietnam.

The author used two theories in this study: the Efficiency Structure theory

(ES) and the Market Power theory (MP). The ES hypothesis, which written by

Smirlock (1985), demonstrates a direct relationship between market concentration,

competition and efficiency. This hypothesis that efficient firms can reduce

production costs and thus gain higher profits and greater market share. There are

two distinct approaches: the X – efficiency and Scale – efficiency theory. According

to the X – efficiency approach, more efficient companies are more profitable

because they have lower costs. According to the Scale – efficiency approach, the

relation between market share and efficient firm will be explained by scale. Larger

companies can obtain lower cost and higher profit than others. With MP theory,

there are also two distinct approaches: the Struture – conduct – performance (SCP)

and the Relative market power theory (RMP). SCP theory indicates that

performance is determined by the characteristics of a market structure because

market structure influences a company's behavior which will affect the results

achieved in the market. RMP theory that companies with a large market share

combined with differences in products can make a profit without too much

competition.

iii

In this thesis, the author will analyse factors affecting the profitability of

Vietnamese joint stock commercial banks of in the period from 2012 to 2018, with

collect statistical data from 30 banks. By building regression models with three

methods: the pooled regression model (Ordinary Least Squares - OLS), Fixed

Effects models (FEM) and Random effects models (REM), the author also carry out

the inspection as F - test and Hausman to choose the best model and perform some

testing to check defects of the model to take remedial measures to help improve the

research results th.

The research model is built based on financial theories, domestic and

international studies. In this study, author will base on models of Sehrish Gul, Faiza

Irshad, Khalid Zaman (2011), “Factors affecting bank profitability in Pakistan”.

Model as follows:

However, the author only chooses two indicators, ROA and ROE as

dependent variables, which the most commonly used factors and change some

independent variables in models research:

ROA = X0 + X1*Sizei,t + X2*Capitali,t + X3*Loani,t + X4*Depositi,t + X5*LQi,t

+ X6*CRi,t + X7*LGi,t + X8*GDPi,t + X9*INFi,t + ui,t

ROE = X0 + X1*Sizei,t + X2*Capitali,t + X3*Loani,t + X4*Depositi,t + X5*LQi,t

+ X6*CRi,t + X7*LGi,t + X8*GDPi,t + X9*INFi,t + ui,t

ROA is a ratio calculated by dividing the net income on total assets, which

used in most of the studies about profitability of banks. A higher ROA shows that

the company is more efficient in using its resources.

iv

ROE is a measure of financial performance calculatied by dividing net

income by shareholders‟ equity. The higher ROE indicates that the higher the profit

generated and the better the capital management.

SIZE: Bank size is calculated by log (total assets). Larger banks will generate

more profits than small banks. A positive relationship is expected between size and

bank‟s profit.

CAPITAL is a ratio of equity capital to total assets, which is expected to

have a positive relationship with profitability of joint stock commercial banks.

LOAN is the main source of income for banks and is expected to have a

positive effect on banks performance.

DEPOSIT is taken as the ratio of total deposits to total assets, which are the

main source of bank funding. A positive relationship is expected between deposit

and profitability of banks.

LQ: Liquidity risk is a ratio calculated by cash and cash equivalent on total

assets and expected to have a positive relationship with bank‟s profit.

CR: Credit risk is a ratio calculated by loan loss reserves to gross loans and

assumed have a negative effect on profitability.

LG: Loan growth is calculated by dividing total loans (previous loans) by

previous loans. LG will affect nagetive to banks‟s profit.

GDP: Real gross domestic product is the most frequently used

macroeconomic indicators. When GDP growth, demand for credits or loans

increased as well as the quality of asset, so bank can make higher profit. GDP

growth has a positive impact on profitability of banks.

INF: Inflation is the rate at which the general level of prices for goods and

services is increasing in economy overtime. If banks can adjust interest rate timely

when inflation rate rises, the revenues of banks will increase. Therefore, the author

expected to INF has a positive relationship with bank profitability.

v

The next step is to carry out descriptive statistics for all the variables in this

study. The author will compare to average value, mean value, standard deviation,

minimum and maximum values between 210 observations collected from period

2012 to 2018. After that, the pearson‟s correlation matrix analysis will help to make

an examination of correlation of dependent variables and independent variables.

The author conducted a regression analysis for all independent variables of the

study by VIF. The results of the test are that all VIF value of these variables less

than 10, so the research models do not have multicollinearity.

Firstly, using F – test to choose a model between OLS and FEM, both ROA

and ROE models, p value equals 0.0000 so FEM model will be chosen. Secondly,

Hausman test will be carried out to compare FEM and REM. Because p value

equals 0.0000 less than 1%, so FEM is the best suit model for all ROA and ROE.

Thirdly, the author will check heteroscedasticity by Wald test and autocorrelation

by Wooldrige test. The results of test, p values were 0.0000 lesst than 1%

significance level, indicating that both ROA and ROE models are existed

heteroscedasticity and autocorrelation, so the author used to GLS method to make

good these flaws. In conclusion, the analysis showed that there are seven factors,

including size, capital ratio, loan ratio, liquidity risk, loan growth, GDP and INF,

which had a benefit impact on bank‟s profit, while only two factors, deposit ratio

and credit risk had a negative impact.

Based on the above findings, the study recommends that bankers would

encourage revenue diversifications, reduce the cost of operation, banking system

will have to follow stricter rules in crediting process to minimize credit risk and

make them more accountable for their decisions.

This thesis would be useful for many parties, like government, regulators,

bankers and other researchers, to understand determinants that affect banks‟

profitability performance so that they could make informed decisions.