The dissertation focus research on derivatives transactions, derivatives transactions at Vietnamese commercial banks, key elements affecting developments of derivative transactions at commercial banks Vietnam.
Trang 1CHAPTER 1: DISSERTATION INTRODUCTION
1.1 Rationale of the topic
1.1.1 The necessity of research
In recent years, the world financial market has had many changes,
derivatives instruments become more and more important and it is a
necessary tools for investors and businesses This is enormous
improvements in financial market, it successfully provides efficient
tools for risk management and at the same time, it is a tool to make
profit for investors and businesses in financial market In today market,
commercial banks always want to reduce the risks, increase the
efficiency of business operation, build up its reputation and strengthen
its competitiveness in world market With the current economic
globalization trend, the commercial banks could get many benefits from
economic integration opportunities, but they also have to face quite a lot
of risks The development of derivatives instruments – one of methods
to manage and reduce the risks and optimize profitability is essential and
it always receives attention among The State Bank of Vietnam and
Commercial banks Besides, with the broadly integration level of
commercial banks, the development of this modern derivatives is
inevitable since this financial instruments become more popular and
grow faster, total market value increases continuously over the years
Coming from the essentials of current situation, the topic:
“Develop financial derivatives transactions at the commercial banks
in Vietnam” is chosen This research will look into factors that have
impact on development of derivatives transaction, it also evaluate
impact level of factors, and from that make recommendations and
solutions to develop derivatives transactions at commercial banks in
Vietnam, to help commercial bank to integrate deeply in derivatives
market and in world financial market, to diversify its products and
services, to reduce risks, to increase competitiveness and to increase the
business operation effectively in commercial banks
1.1.2 The purpose of research
Use qualitative and quantitative analysis methods to analyze elements affecting development of derivatives transaction at Vietnamese commercial banks during research period, evaluate the results and limitations as well as to determine the causes of limitations Based on the theoretical and practical research, the dissertation provides proposals, solutions and conditions to develop derivatives transactions at Vietnamese commercial banks
1.1.3 Subject and scope of research
1.1.3.1 Subject of research: The dissertation focus its research on
derivatives transactions, derivatives transactions at Vietnamese commercial banks, key elements affecting developments of
derivative transactions at commercial banks in Vietnam
1.1.3.2 Scope of research
Area: Commercial banks: VCB, BIDV, Vietinbank, ACB, Techcombank, Eximbank, Sacombank, SCB
Period: The project collected and used data during 10 years period from 2006-2015
1.2 Overview of related research projects
1.2.1 Foreign research projects
The publication ”What motivates banks to use derivatives: Evidence from Taiwan” (Yung-Ming Shiu and associates, 2005) researched banks in Twain for the period from 1998 to 2005 about factors affecting usage of derivatives and effect of derivatives to bank’s potential risks concluded: there are positive connection between usage level of derivative transaction with each bank’s characters, bank size, ability to issue preferred shares, currency risk , however, there is negative between usage level of derivative instruments with bank’s revenue diversification The research of (Katie Hundman, 1998) about
”An Analysis of the Determinants of Financial Derivative used by
commercial banks ” with research model Derivative Volume = C+α
Trang 2Exposure to Interest Rate Risk+α Non-Current Loans + α Loan-Loss
Allowance + α Profit + α Bank Size + α Capital to Assets + α GDP + ε
indicated that derivatives value depends on interest rate risk, non-current
loan, Loan – Loss Allowance, bank size, GDP (Ibrahima Kassory
Fofana, 2001)[59] stated that the development of derivatives in
developing countries that is having major change in production, price,
exchange rates, interest rates is necessary and he also recommended
some solutions to develop derivative market such as: increase
connections between banks, establish a comprehensive regulatory
framework; create accounting system thoroughly and a center to control
and regulate derivatives is needed
A research about factors that have effect on use of derivatives
instruments by (Alat Afza and Atia Alam – 2011) in businesses in
Pakistan indicated the correlation between use of derivatives
instruments and total assets, import-export value, exchange rate,
interest rates, ownership management and foreign exchange rate
In addition, other factors such as transparency, legislative
environment, regulation and management from state bank are also
important parts influencing countries’ derivatives markets This was
found out and publicly stated in research: ”Derivatives – Renovation
of basic finance”(Viral and associates, 2009)
1.2.2 Research projects in Vietnam There are some research projects
about derivatives transactions in Vietnam such as: Derivatives
transactions study - Ho Thuy Ai, 2007) – analyzed use of foreign
exchanges derivatives instruments to hedge foreign exchange risk,
Discussion about development of derivatives instruments in foreign
exchange markets in Vietnam, (Dinh Thi Thanh Long, 2014) mentioned
current situation of foreign exchanges derivatives instruments in VN
Besides, there are also studies about financial derivatives transactions in
VN, Việt Bảo, 2007 research studied current development of derivatives
in VN, Nguyen Thi Mai Chi, 2014 analyzed derivatives activities situation at commercial banks in VN (VCB, BIDV, Vietinbank) and from her research, realizing requirements needed to develop derivatives instruments, the disadvantages of commercial banks over foreign banks and recommended solutions to develop derivatives market in VN
1.3 Gap in researches
Some of prior researches focused on analyzing a specific derivative instrument of a particular underling asset but have not yet researched financial derivatives as a whole Some other studies examined in depth derivatives roles to revenue, risk of banks but not yet considered whether
it necessary to develop derivatives or not and if it is, which factors have effect on development of those transactions Some researches analyzed development of derivatives which focused on particular bank but have not yet examined on a broader area which is overall banking system in one country The lack of research mentioned above will be the study area of this dissertation, through examining factors influencing development of derivatives at commercial banks in VN to propose solutions for development of derivatives transactions at banks in VN in near future
1.4 Research questions Management question: Which factors affects the development of derivatives transaction at commercial banks?
Research questions: (1) What is the development of derivatives
transactions at commercial banks? Which indicators measure size of development?(2)Objective factors (How economic environment, legislatives system, regulatory framework for derivatives, customers, competitors would have impact on development of derivatives transactions
in banks in VN.) (3) Subjective factors belonging to banks (How technology, reputation, business strategy etc have effect on development of derivatives transactions in banks in VN)
1.5 Research methods
Trang 31.5.1 Data collection methods
To collect data for research purpose, author used both 2 types
of data which are primary data and secondary data
1.5.1.1: Secondary data: Annual financial reports of commercial
banks in VN, data from annualy reports of State bank of VN
1.5.1.2 Primary data
Author conducted a survey and interviews to collect answers
and opinions from 350 surveys The survey content is to examine
level of agreement from survey participants about factors affecting
developments of derivatives transactions at commercial banks in VN
1.5.2 Analyzing and data collection methods
1.5.2.1 Secondary data collection and analysis method: Financial
report of banks, Financial reports of State bank of VN
1.5.2.2 Primary data collection and analysis method: Descriptive statistics
method and Inferential statistic method; A tau-equivalent reliability
measurement model Cronbach’s Alpha; Exploratory Factor Analysis
Method; Analysis of variance (ANOVA); Regression analysis models
1.6 Research contribution: The dissertation builds research model to
analysis impact factors on derivatives transactions value in correlation
with other factors (banks size, liability, liquidity, changes in currency
exchange rates, changes in interest rates) and factors affects development
of derivatives transactions in commercial banks in VN Through
analyzing the results, the study clarify elements have influences on the
derivatives transactions and based on that proposing solutions for
development of derivatives transactions at Vietnamese commercial banks
CHAPTER 2: THEORETICAL FOUNDATION FOR
DERIVATIVES TRANSACTIONS AND DEVELOPMENT OF
DERIVATIVES TRANSACTIONS AT BANKS
2.1 Theoretical foundation about derivatives transactions
2.1.1 History and development of derivatives transactions
The very first derivatives instrument was traced back to ancient Greece and used first time by Thales – a Greek philosopher in ancient Greek philosophy, later in mid-17th century, option contracts officially were traded with Tulip bulbs products The earliest recognized futures trading exchange is the Dojima Rice Exchange, established in 1730 in Japan In 1848, a first official commodity futures trading exchange was created in Chicago, United States It is the Chicago Board of Trade (CBOT), the oldest organized future market still operating in the world In
1975, the Chicago Board of Trade introduced the first interest rate futures contracts, based on underlying asset which are recourse loan of the Government National Mortgage Association or Ginne Mae (GNMA) In
1977, The Chicago Board of Trade Building was designated a Chicago Landmark and officially used as trading exchange In December, 2007 The Bank for International Settlements reported “the derivatives contracts trading on exchanges increases 27%, reach $681 trillion” And at the end
of 4th quarter 2013, volume of derivatives transactions on whole wide world reached $1,200 trillion, double after 6 years
2.1.2 Derivatives definition
2.1.2.1 Definitions of derivatives and financial derivatives
Derivatives instruments include commodity derivatives and financial derivatives Commodity derivatives are derivatives transaction in which the underlying assets are commodity (agricultural products, oil products, gas, metals…) Financial derivatives are derivatives transactions
in which the underlying assets are financial assets (interest rates, foreign exchanges rate, security and stocks market indexes…)
Financial derivatives instruments are financial instruments whose value is derived from the value or performance of the underlying financial instruments such as stocks index, currencies, interest rates…
2.1.2.2 Definition of financial derivatives transaction:
Derivatives transaction is a contractual agreement between two or
Trang 4more parties Derivatives can be used for a number of purposes,
including insuring against price movements (hedging), risk
management and seeking profit (speculator) 4 most common
types of derivative contracts include: Forwards, Swaps, Options
and Futures with underlying assets are financial assets
2.1.3 Financial derivatives market
2.1.3.1 Financial derivatives market classification: Official
Exchange; Over the counter (off-exchange)
2.1.3.2 Characteristics financial derivatives market: Big
transactions volumes; more flexible than other markets; Diversified
products; Affected heavily by price movements of underlying assets;
Diversified participants of parties and investors; High risk potential
2.1.3.3 Functions and Roles of financial derivative market
a Functions: Risk management of price movements; Speculate and
make profit through price difference if the value of the underlying
asset moves the way they expect; Predict value and price of
underlying asset in future; Stabilize the price; Shift the risk from the
buyer to the seller and as such are very effective risk management
tools; Improve the liquidity of the underlying assets
b Roles: To economy as a whole; To businesses; To banks
2.1.3.4 Parties and Purposes of trading financial derivatives
transactions: There are 3 parties in derivatives market: Hedger,
Speculator, Arbitrage
2.1.4 Classification of financial derivatives transactions
2.1.4.1 Forward: A forward contract is a customized contract between
two entities, where settlement to buy and sell a specific underlying asset
takes place on a specific date in the future at today’s pre-agreed price
2.1.4.2 Future: A futures contract is an agreement between two
parties to buy or sell a specific underlying asset of standardized
quantity and quality in a certain time at a certain price with delivery
and payment occurring at a specific future date
2.1.4.3 Swaps: A swap contracts are agreements between two parties to
exchange cash flows in the future according to a prearranged formula The two commonly used Swaps are: Interest Rate Swaps and Currency Swaps
2.1.4.4 Option: An option is a contract which gives the buyer (the owner) the right, but not the obligation, to buy or sell a given quantity of the underlying asset or instrument, at a specified strike price on or before a given future date
2.2 Development of derivatives transactions at commercial banks
2.2.1 Definition of developing derivatives transactions at commercial banks
Developing derivatives transactions at commercial banks means the banks increase transactions volumes, increase number of types of financial derivatives instruments and improve quality and accessibility of financial derivatives in order to obtain and reach its business operation’s goals and objectives: reduce risk and operation cost, increase profit and improve the competitiveness of banks in market during specific period
2.2.2 Indicators to evaluate the development of derivatives transactions of commercial banks
2.2.2.1 Quantitative indicators
a Growth rate in number of derivatives instruments and the diversification of derivatives transactions
b Increase in number of clients and components of business parties
c Derivatives transactions volumes and growth rate of derivatives transactions
d Investment cost for derivatives transactions
e Profit from derivatives transactions
2.2.2.2 Qualitative indicators: Quality of derivatives transactions; The comprehensives of products.
CHAPTER 3: CURRENT SITUATION OF DERIVATIVES TRANSACTIONS AT VIETNAMESE COMMERCIAL BANKS
Trang 53.1 Fundamental issues about Vietnamese commercial banks
3.2 Current development of derivatives transactions at
commercial banks in Vietnam
3.2.1 Current situation of derivatives transactions at commercial
banks in Vietnam
Derivatives transactions have been used at many commercial
banks in Vietnam Some complex derivatives transactions have
appeared, however the volumes is very limited
Table 3.1: Original Contract value and Book value of derivatives
transactions of Vietnamese commercial banks
(Vietnamese Dong in billions)
Bank
Contract
Value
Book Value Contract Value
Book Value Contract Value
Book Value Vietin
bank 8,374,922.0 164,374.0 7,651,242.0 415,778.0 9,103,168.0 117,892.0
BIDV 13,098,911.0 161,393.0 10,732,848.0 232,369.0 11,542,855.0 254,192.0
VCB 20,119,071.0 136,725.0 16,339,721.0 -75,278.0 16,728,377.0 628.0
ACB 2,597,230.0 150.0 4,858,394.0 21,307.0 4,658,335.0 42,256.0
Tech 17,053,803.0 -73,157.0 43,174,940.0 -18,409.0 37,071,259.0 -85,891.0
Exim 16,544,733.0 7,190.0 15,789,397.0 13,435.0 19,752,170.0 30,797.0
SCB 31,115,061.0 6,056.0 18,430,275.0 -133,018.0 18,118,086.0 295,339.0
Sacom 7,907,407.0 957.0 15,674,364.0 2,499.0 23,992,268.0 3,982.0
Source: Annual report of Vietnamese commercial banks
3.2.1.1 Forward contract
Table 3.2: Forward contract value at Vietnamese commercial banks
(Vietnamese Dong in millions)
Bank
Contract
Value
Book Value Contract Value
Book Value Contract Value
Book Value Vietinbank 436,213.0 78,808.0 1,562,008.0 428,012.0 1,089,623.0 23,589.0
BIDV 2,998,980.0 78,808.0 2,808,169.0 7,166.0 3,272,145.0 152,937.0
VCB 10,817,048.0 77,742.0 8,168,235.0 -128,457.0 7,784,153.0 -88,571.0
ACB 450,959.0 -4,080.0 769,174.0 4,264.0 157,743.0 -1,739.0
Techcombank 8,760,283.0 32,717.0 17,133,993.0 -131,411.0 14,453,007.0 -73,730.0
Eximbank 11,847,527.0 -4,237.0 6,155,514.0 6,482.0 3,809,583.0 29,012.0
SCB 29,530,417.0 13,143.0 8,196,872.0 -135,448.0 3,809,707.0 -27,260.0
Sacombank 771,607.0 594.0 1,022,485.0 1,023.0 5,711,963.0 3,982.0
Tổng 65,613,034.0 273,495.0 45,816,450.0 51,631.0 40,087,924.0 254,192.0
Source: Annual report and Financial report of Vietnamese commercial banks 3.2.1.2 Future contract: Foreign exchange futures contract have not
been carried out in Vietnam yet Commercial banks are allowed to use commodity futures contracts with underlying products are: coffee, tea, soybeans; rubber…However, banks only have role as an intermediary party helping businesses and companies to execute commodity future contracts in foreign exchanges
3.2.1.3 Swap contract: Swap market was founded in 1998 along with the establishment of forward market, however, swap transactions were only traded between State Bank and commercial banks or traded on Inter-bank market in order to cover the temporary deficit in liquidity of commercial banks Swap contracts values at banks have been increased over the years which demonstrates that this type of derivative contracts is also necessary to banks
Table 3.3: Swap contracts value at Vietnamese commercial banks
(Vietnamese Dong in Millions)
Bank
Contract Value
Book Value Contract Value
Book Value Contract Value
Book Value Vietinbank 7,938,709.0 82,585.0 6,089,234.0 -12,234.0 8,013,545.0 94,303.0
BIDV 10,099,931.0 82,585.0 7,924,679.0 225,203.0 8,270,710.0 101,255.0
VCB 9,302,023.0 58,983.0 8,171,486.0 53,179.0 8,944,224.0 89,199.0
ACB 2,146,271.0 4,230.0 1,887,542.0 10,157.0 2,545,303.0 49,342.0
Techcombank 8,293,520.0 -105,874 26,040,947.0 113,002.0 22,618,252.0 -12,161.0
Eximbank 4,697,206.0 11,427.0 9,633,883.0 6,953.0 15,942,587.0 1,785.0
SCB 1,584,644.0 -7,087.0 10,233,403.0 2,430.0 14,308,379.0 322,599.0
Sacombank 4,012,984.0 363.0 12,353,596.0 1,476.0 15,982,023.0 0.0
Tổng 48,075,288.0 127,212.0 82,334,770.0 400,166.0 96,625,023.0 646,322.0
Source: Annual report of Vietnamese commercial banks 3.2.1.4 Option Contract
Option contract transactions was first applied in Vietnam are currency option contracts starting from 2004 in accordance with regulation code 1452/2004/QĐ-NHNN Currently, foreign exchange options are not as popular as other foreign exchange derivatives transactions in Vietnam
Table 3.4: Currency Options Value at ACB and Sacombank
(Vietnamese Dong in Millions)
Bank
Contract Value Book Value Contract Value Book Value Contract Value Book Value ACB 443,497.0 -8,326.0 2,201,678.0 6,886.0 1,955,289.0 -
Sacombank 3,122,816.0 - 2,298,283.0 - 2,298,282.0 -
Source: Annual report of Vietnamese commercial banks
Trang 63.2.2 Profit from derivatives transactions of Vietnamese
commercial banks
Profit from derivatives transactions counts only less than 8%
of total profit in most of banks This indicates that the banks have not
sufficiently paid attention to derivatives transactions as well as
companies have not had enough information and knowledge about
those derivatives transactions
3.2.3 Model of factors affecting derivatives transactions value at
commercial banks
3.2.3.1 Researches on factors affecting derivatives transactions value
at commercial banks
3.2.3.2 Research model and hypotheses
Graph 3.1: Model of factors affecting derivatives transactions
value at commercial banks
3.2.3.3 Analysis results of factors affecting derivatives transactions
value at commercial banks
Dissertation uses technique in regression analysis model in
order to analyze relationship and impact of variables such as: Bank
size, Bank’s liquidity, Interest rate fluctuations, Exchange rates
fluctuations to derivatives transactions value at Vietnamese
commercial banks during period 2006-2015
Correlation coefficient factor represents the relationship
between two random independent variables is low and Variance
inflation factor – VIF are very small (< 10) shows that those
independent variables do not have strong relationship, therefore there
Bank size
Interest rate
fluctuations
Bank liquidity
Exchange rates
fluctuations
Derivatives transactions value +
+
-
+
are not multiple linear correlation The results of analysis models have been shown that all fours factors have high reliability with more than 95% (P>/z/ < 0.005) Linear regression equation based on
analysis results as follow: LN(TRD) = - 4.0320 + (- 5.3566)LIQ + 1.1294 SIZE + 10.4373 abs(EXR) + 3.7113 abs(IRT)
Among 04 independent variables of models: Foreign exchange rates fluctuations variable has the most impact on derivatives transactions value, followed by liquidity variable, interest rates fluctuations variable and lastly bank size factor Liquidity variable is the only element that have negative correlation with derivatives transactions value, three other variables (bank size, foreign exchange rates, interest rates) have positive correlation with derivatives transactions value
3.2.4 Evaluate current situation of derivatives transactions at Vietnamese commercial banks
3.2.4.1 Achievements: Popularizing and making derivatives accessible to
domestic companies; Increase competitiveness between banks; Encourage development of banking operations; Prevent potential risks for commercial banks and companies as well as stabilize the economy
3.2.4.2 Difficulties and reasons
a Difficulties: Parties participating into derivatives market is little; value of derivatives contract is still small; derivatives products have not yet fully emerged in VN
b Reasons: Have not had official derivatives exchange; Derivatives products are still quite new for Vietnamese companies and have not yet established reputation on international market; Lack of sophisticated investors that understand advantages of derivatives instruments as well as techniques used in derivatives market; incomplete regulatory framework; Inefficiencies in advertising; complicated transactions conditions and high cost
Trang 73.3 Experiences from development of derivatives transactions in
some foreign banks and lessons for Vietnamese commercial banks
3.3.1 Overview of world derivatives market
At the end of 4th quarter, 2015, total derivatives transactions
volumes traded on exchange worldwide reached $1,400 trillion,
double after 8 years, transaction value of global derivatives market is
more than 10 times the size of bonds and stocks market
Table 3.28: Derivatives transactions trading value of banks
worldwide (Classified according to type of contract)
(US Dollars in billions)
Market
value 2012 2013
Change
2014 Change
2015 Change Total value
Futures &
Forwards
146,229 157,217 10,988 7.5% 168,829 11,612 7.4% 172,744 3,915 2.3% 667,619
Swaps 573,931 611,175 37,244 6.5% 543,675 -67,500 -11.0% 580,881 37,206 6.8% 2,279,406
Options 128,643 143,135 14,492 11.3% 133,238 -9,897 -6.9% 137,520 4,282 3.2% 547,131
Credit
Derivatives
56,862 60,546 3,684 6.5% 54,865 -5,681 -9.4% 51,389 -3,476 -6.3% 221,665
Total 905,664 972,074 66,410 7.3% 900,607 -71,467 -7.4% 942,536 41,929 4.7% 3,715,824
Source: OCC’s Quarterly Report on Bank Trading and
Derivatives Activities
3.3.2 Experiences from development of financial derivatives
transactions in some foreign banks in the world
- Experiences from development of derivatives transactions in US banks
- Experiences from development of derivatives transactions in Chinese banks
- Experiences from development of derivatives transactions in Indian banks
3.3.3 Lessons for Vietnamese banks
Through high standardized US derivatives market, we would
recognize that to develop a well establish derivatives markets, we
need to focus on development of exchanges, official trading centers
specialized for derivatives instruments as well as for other
underlying assets such as stocks, commodity, gold…Among of
important requirements for development of exchanges are: modern
information technology, updating information continuously,
accessibility to international transactions products, providing requirements for electronic connection and e-commerce 24/24 (possibility of using GLOBEX system and Project A as references) From Indian market, we would realize that technology is one
of major factors in development of OTC derivatives market especially when transactions requires using complicated technology and completely through electronic system The necessity of E-commerce trading which is established over the whole country and need to be facilitated for development
China has achieved certain success in rapidly transition from experiment to developing comprehensively derivatives transactions
at all its commercial banks Especially, the regulatory law allows using derivatives instruments for three different purposes (Hedging, Speculation, and Arbitrage) but not limited to hedging only
CHAPTER 4: RESEARCH MODEL AND EMPIRICAL RESULTS 4.1 Determinants of derivatives development of Vietnamese commercial banks
4.1.1 Existing Empirical studies on Determinants of Banking Derivatives Development
In this part, we review some different existing studies on Determinants of Banking Derivatives Development The results from empirical experiments suggested different factors as the determinants of Banking Derivatives Development Those determinants were categorized into internal factors (commercial bank characteristics) and external factors
4.1.2 Research Model and Research Hypotheses
Trang 84.1.3 Formal questionnaire design
The 5-point linkert scale ranging from 'strongly disagree' to
'strongly agree' was chosen to measure the respondents' opinion
Business Strategy of
Commercial Bank
+ +
+ +
+ + + + +
Derivatives Development
in Commercial Banks
Information system,
Accounting, Risk
management
Technology
Financial Resource
Reputation,
Trademark
Human Resource
Internal
Factors
+
External
Factors
Policy and Legal
Framework
Customers
Economic
Environment
Competitors
about the important of each factor that impacts on derivatives development of Vietnamese commercial banks
The questionnaire was initially designed with 33 questions corresponding to 33 factors (variables) that maybe impact on derivatives development of Vietnamese commercial banks
4.1.4 Data Collection
With 33 variables are used in the research, the author needs to survey at least 150 respondents to obtain the efficient analysis The quantitative research method uses online survey technique by Google forms on http://docs.google.com and use of some paper forms for face-to-face interview The author sent 350 questionare forms in total and collected 220 forms from the respondents
4.2 Regression Result of Vietnamese Commercial Banks’s derivatives development Model
4.2.1 Statistical hypothesis testing result Table 4.4: Descriptive Statistics of Vietnamese commercial
Banks’ derivative development Descriptive Statistics
Source: Author’s Survey data
From descriptive analysis results in table 4.4 above, means
of all determinants are within range of 4.37 to 4.58 with 5-point Linkert scale, this result also indicates most of people agree with the author’s opinions of Vietnamese commercial banks’ derivative development situation
Trang 94.2.2 Determinants of Vietnamese commercial Banks’ derivatives
development
4.2.2.1 Descriptive Statistics:
The result of descriptive statistics (See the Appendix 1) show
that all 33 factors are high value: larger than 4 points with 5-point
Linkert scale Besides, the standard deviations are small which
reflecting most of the respondents have same assesments on
determinants of banking derivative development
4.2.2.2 Scale Reliability:
All the scales have high Cronbach’s Alpha Reliability
Coefficient (min = 0.647 and max = 0.892) and all the observable
variables have correlation coefficient – with total correlation values
are larger than 0.3 Within internal factors group, CQ1 variable has
correlation value smaller than 0.3, therefore the author eliminated it
from model and reevaluated reliability of remaining 9 variables from
CQ3 to CQ10 and reached the above result table
4.2.2.3 Exploratory Factor Analysis
- Exploratory Factor Analysis of independent variables:
Table 4.6: KMO & Bartlett’s Test
Bartlett's Test of Sphericity
The KMO measures the sampling adequacy (which determines
if the responses given with the sample are adequate or not) which
should be close than 0.5 for a satisfactory factor analysis to proceed
Table 4.6 presents that the KMO measure is 0.850 (> 0.5) From the
same table, we can see that the Bartlett’s Test is significant (sig =
0.000), the significance level is small enough to reject the null hypothesis Therefore, the sample satisfies factor analysis
Using the Extraction Method Principal Component Analysis, Rotation Method Varimax with Kaiser Normalization, the exploratory factor analysis of independent variables is showed in Appendix 4 And from the Rotated component matrix in Appendix 5, the insignificant factors are omitted are CS2, CQ7, MTKT4 Finally, the model includes 7 main variables: CS, MTKTA, MTKTB, KH, DTCT, CQA, CQB
- Exploratory Factor Analysis of dependent variable:
Table 4.7: KMO and Bartlett’s Test
Bartlett's Test of Sphericity
See the Table 4.7, the KMO = 0.623 (> 0.5) and the Bartlett’s Test is significant (sig = 0.000) indicate that the dependent variable data is consistent with factor analysis And the factor analysis is illustrated in Appendix 6
4.2.3 Empirical Model
The model is built based on the existing studies and the result of exploratory factor analysis above As discussion in literature review part, Vietnamese commercial banks’ derivative development is impacted by five main factors: Policy and Legal Framework, Economic environment, Customers, Competitors and internal factors of commercial bank themselves And the exploratory factor analysis gives
us 7 main variables: CS, MTKTA, MTKTB, KH, DTCT, CQA, CQB
Therefore, the multiple linear regression model is described as below:
PTGDPS = β 0 + β 1 CS + β 2 KH + β 3 MTKTA + β 4 CQA + β 5 MTKTB +
β 6 CQB + β 7 DTCT
Trang 104.2.4 Variables correlation
Table 4.10 Correlation Matrix
MTKTA .784 ** 506 ** 507 ** 1
CQA .644 ** 598 ** 454 ** 613 ** 1
MTKTB .573 ** 375 ** 451 ** 538 ** 402 ** 1
CQB .622 ** 442 ** 461 ** 604 ** 637 ** 393 ** 1
DTCT .608 ** 423 ** 487 ** 568 ** 500 ** 452 ** 523 ** 1
** Correlation is significant at the 0.01 level (2-tailed)
The simple coefficients of Correlation between Derivatives
development (PTGDPS) and Independent variables are relatively high
4.2.5 Variables selection and Regression Model
The multiple linear regression technique will be employed to
examine the effects of internal and external determinants as
explanatory variables on commercial banks’ derivatives development
as dependent variables The regression equation is presented below:
PTGDPS = β 0 + β 1 CS + β 3 MTKTA + β 5 MTKTB + β 6 CQB + β 7 DTCT
4.2.6 Assessing Goodness-of-Fit of the Regression Model
The Adjusted R2 (adjusted R- Squared) value equals 0.746,
which means that 74.46% of the variance in the PTGDPS variable
explaining collectively with five independent variables (MTKTA,
CS, DTCT, MTKTB, CQB) The adjusted R- Squared value also
measures the strength of the relationship between the model and the
data, this model fits the data at 74.46%
4.2.7 Test the Accuracy of the Regression Model
The ANOVA test gave the Sig value = 0.000 so we can reject the null
hypothesis, this also means the factors are independent or the interaction
effect does not exist and the regression Model is accordant at 74.6%
4.2.8 The regression result and empirical analysis
Table 4.14: The regression Result
Explanatory Variables
Coef
(Beta) Std.Error
Standardized Coefficients T value
P>|t|
(Sig.) Toleran
Dependent Variable: PTGDPS; *: significant at 1 percent
See the Table 4.14, all the Tolerances are smaller than 1 and the Collinearity diagnostics with VIF (Variance inflation factor) of all independent variables are smaller than 10, therefore, the problem
of multi-collinearity can be ignored in this research
Empirical Analysis: The result indicates that all of the regression coefficients are statistically significant at 99 per cent level
of confidence and more importantly, all have expected signs We have the regression equation as below:
PTGDPS = -0.07 + 0.272CS + 0.400MTKTA + 0.117MTKTB + 0.141CQB + 0.115DTCT
Regarding the important level of factors used in equation: by evaluating standardized coefficients values from large to small, it is shown that economic environmental factors have the most impact, followed by policy and legal framework factors, come after are internal factors of banks themselves and finally competitors’ factors Overall the model performed fairly well with all five independent variables being significant Any change in any factors will have impact on development of derivatives transaction at Vietnamese commercial banks