Tác động của vốn trí tuệ đến rủi ro của các ngân hàng thương mại tại Việt Nam
Ngày xuất bản:
25/02/2022
Ngày xuất bản Online:
25/02/2022
Chuyên mục:
Bài nghiên cứu
Nội dung chính của bài viết
Tóm tắt
Nghiên cứu này nhằm phân tích tác động của vốn trí tuệ đến rủi ro của 30 ngân hàng Việt Nam với dữ liệu bảng không cân bằng, bao gồm 353 quan sát từ năm 2007 đến năm 2019. Nghiên cứu sử dụng phương pháp GMM (Generalized method of moments). Kết quả cho thấy tỷ lệ nợ xấu có mối tương quan nghịchvới hệ số giá trị gia tăng trí tuệ. Tuy nhiên, kết quả cũng nhấn mạnh rằng, mối quan hệ giữa hệ số giá trị gia tăng trí tuệ và rủi ro ngân hàng là mối quan hệ phi tuyến (hình chữ U). Ngoài ra, khi quan sát các thành phần của hệ số giá trị gia tăng trí tuệ, có thể nhận thấy rằng hiệu quả sử dụng nguồn nhân lực có quan hệ tích cực với tỷ lệ nợ xấu và hiệu quả cấu trúc vốn có ảnh hưởng tiêu cực đến rủi ro của các ngân hàng. Trong đó, ảnh hưởng của hiêu quả cấu trúc vốn là đáng kể. Do đó, các ngân hàng cần nâng cao hiệu quả cấu trúc vốn của ngân hàng để hạn chế rủi ro.
Abstract
This study aims to analyze the impact of intellectual capital on the risk of 30 Vietnamese banks with unbalanced panel data, including 353 observations from 2007 to 2019, using the GMM (Generalized method of moments). The results show that the bad debt ratio is negatively correlated with the intellectual value-added coefficient. However, the results also emphasize that the relationship between value-added intelligence coefficient and bank risk is nonlinear (U-shaped). In addition, when observing the components of the value-added intelligence coefficient, it can be found that the efficiency of using human resources has a positive relationship with the bad debt ratio, and capital structure efficiency harm the risk of banks. In which, the effect of capital structure efficiency is significant. Therefore, banks need to improve the efficiency of their capital structure to limit risks
Từ khóa
Ngân hàng thương mại Việt Nam; Rủi ro ngân hàng; Vốn trí tuệ
Chi tiết bài viết
Tài liệu tham khảo
Alihodžić, A., & Ekşi̇, İ. H. (2018). Credit growth and non-performing loans: evidence from Turkey and some Balkan countries. Eastern Journal of European Studies, 9(2), 229-249.
Amit, R., & Schoemaker, P. J. (1993). Strategic assets and organizational rent. Strategic management journal, 14(1), 33-46.
Arellano, M. (2002). Sargan's intrumental variables estimation and the generalized method of moments. Journal of Business & Economic Statistics, 20(4), 450-459. doi: https://doi.org/10.1198/073500102288618595
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297. doi: https://doi.org/10.2307/2297968
Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
Ashraf, B. N., Zheng, C., & Arshad, S. (2016). Effects of national culture on bank risk-taking behavior. Research in international business and finance, 100(37), 309-326.
Bayraktaroglu, A. E., Calisir, F., & Baskak, M. (2019). Intellectual capital and firm performance: an extended VAIC model. Journal of intellectual capital, 20(3), 406-425.
Ben Naceur, S., & Goaied, M. (2008). The determinants of commercial bank interest margin and profitability: evidence from Tunisia. Frontiers in finance and economics, 5(1), 106-130.
Bond, S. R. (2002). Dynamic panel data models: a guide to micro data methods and practice. Portuguese economic journal, 1(2), 141-162. doi: https://doi.org/10.1007/s10258-002-0009-9
Bontis, N. (1998). Intellectual capital: an exploratory study that develops measures and models. Management decision, 36(2), 63-76.
Britto, D. P., Monetti, E., & da Rocha Lima Jr, J. (2014). Intellectual capital in tangible intensive firms: the case of Brazilian real estate companies. Journal of intellectual capital, 15(2), 333-348.
Clarke, M., Seng, D., & Whiting, R. H. (2011). Intellectual capital and firm performance in Australia. Journal of intellectual capital, 12(4), 505-530.
Curado, C., Guedes, M. J., & Bontis, N. (2014). The financial crisis of banks (before, during and after): an intellectual capital perspective. Knowledge and Process Management, 21(2), 103-111.
Duho, K. C. T. (2020). Intellectual capital and technical efficiency of banks in an emerging market: a slack-based measure. Journal of Economic Studies, 47(7), 1711-1732.
El‐Bannany, M. (2008). A study of determinants of intellectual capital performance in banks: the UK case. Journal of intellectual capital, 9(3), 487-498.
García-Herrero, A., Gavilá, S., & Santabárbara, D. (2009). What explains the low profitability of Chinese banks? Journal of Banking & Finance, 33(11), 2080-2092.
Ghosh, S. K., & Maji, S. G. (2014). The impact of intellectual capital on bank risk: Evidence from Indian banking sector. IUP Journal of Financial Risk Management, 11(3), 18-38.
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: journal of the Econometric Society, 50(4), 1029-1054.
Haris, M., Yao, H., Tariq, G., Malik, A., & Javaid, H. M. (2019). Intellectual capital performance and profitability of banks: Evidence from Pakistan. Journal of Risk and Financial Management, 12(2), 1-26.
Iazzolino, G., & Laise, D. (2013). Value added intellectual coefficient (VAIC): A methodological and critical review. Journal of intellectual capital, 14(4), 547-563.
Itami, H., & Roehl, T. W. (1991). Mobilizing invisible assets: Harvard University Press.
Kaupelytė, D., & Kairytė, D. (2016). Intellectual capital efficiency impact on european small and large listed banks financial performance. International journal of management, accounting and economics [electronic resource]. Mashhad, Iran: IJMAE, 3(6), 367-377.
Le, T. (2019). The interrelationship between liquidity creation and bank capital in Vietnamese banking. Managerial Finance, 45(2), 331-347.
Le, T. D. (2018). Bank risk, capitalisation and technical efficiency in the Vietnamese banking system. Australasian Accounting, Business and Finance Journal, 12(3), 41-61.
Le, T. D., & Nguyen, D. T. (2020). Capital structure and bank profitability in Vietnam: A quantile regression approach. Journal of Risk and Financial Management, 13(8), 1-17.
Lev, B. (2000). Intangibles: Management, measurement, and reporting. Brookings institution press.
Liang, C. J., Huang, T. T., & Lin, W. C. (2011). Does ownership structure affect firm value? Intellectual capital across industries perspective. Journal of Intellectual Capital, 12(4), 552-570.
Michalisin, M. D., Kline, D. M., & Smith, R. D. (2000). Intangible strategic assets and firm performance: a multi-industry study of the resource-based view. Journal of Business Strategies, 17(2), 91-117.
M Mavridis, D. G., & Kyrmizoglou, P. (2005). Intellectual Capital Performance Drivers in the Greek Banking Sector. Management Research Review, 28(5), 43-61.
Mirzaei, A., Moore, T., & Liu, G. (2013). Does market structure matter on banks’ profitability and stability? Emerging vs. advanced economies. Journal of Banking & Finance, 37(8), 2920-2937.
Nahapiet, J., & Ghoshal, S. (1998). Social capital, intellectual capital, and the organizational advantage. Academy of management review, 23(2), 242-266.
Nazir, M. I., Tan, Y., & Nazir, M. R. (2020). Intellectual capital performance in the financial sector: Evidence from China, Hong Kong, and Taiwan. International Journal of Finance & Economics, 26(4), 6089-6109.
Onumah, J. M., & Duho, K. C. T. (2019). Intellectual capital: its impact on financial performance and financial stability of Ghanaian banks. Athens Journal of Business and Economics, 5(3), 243-268.
Ozkan, N., Cakan, S., & Kayacan, M. (2017). Intellectual capital and financial performance: A study of the Turkish Banking Sector. Borsa Istanbul Review, 17(3), 190-198.
Pulic, A. (1998). Measuring the performance of intellectual potential in knowledge economy. Paper presented at the 2nd McMaster Word Congress on Measuring and Managing Intellectual Capital by the Austrian Team for Intellectual Potential.
Pulic, A. (2000). VAIC™–an accounting tool for IC management. International Journal of Technology Management, 20(5-8), 702-714.
Pulic, A. (2004). Intellectual capital‐does it create or destroy value?. Measuring Business Excellence, 8(1), 62-68.
Saona, P. (2016). Intra-and extra-bank determinants of Latin American Banks' profitability. International Review of Economics & Finance, 100(45), 197-214.
Schultz, T. W. (1961). Investment in human capital. The American economic review, 51(1), 1-17.
Sharabati, A.-A. A., Nour, A.-N. I., & Eddin, Y. A. N. (2013). Intellectual capital development: a case study of middle east university. Jordan Journal of Business Administration, 9(3), 567-602.
Shiu, H.-J. (2006). The application of the value added intellectual coefficient to measure corporate performance: evidence from technological firms. International Journal of management, 23(2), 356-365.
Steward, T. (1997). Intellectual Capital, Bantam Doubleday Dell Publishing Group, NY. 1997, Canadian International Management Institute. Nr, 20, 97.
Sveiby, K.-E., & Lloyd, T. (2010). Methods for measuring intangible assets. Programvara http://www.sveiby.com/articles/MK-NewPrefacefinal.pdf.
Tran, D. B., & Vo, D. H. (2018). Should bankers be concerned with Intellectual capital? A study of the Thai banking sector. Journal of Intellectual Capital, 19(5), 897-914.
Wu, W.-Y., & Tsai, H.-J. (2005). Impact of social capital and business operation mode on intellectual capital and knowledge management. International Journal of Technology Management, 30(1-2), 147-171.
Amit, R., & Schoemaker, P. J. (1993). Strategic assets and organizational rent. Strategic management journal, 14(1), 33-46.
Arellano, M. (2002). Sargan's intrumental variables estimation and the generalized method of moments. Journal of Business & Economic Statistics, 20(4), 450-459. doi: https://doi.org/10.1198/073500102288618595
Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297. doi: https://doi.org/10.2307/2297968
Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
Ashraf, B. N., Zheng, C., & Arshad, S. (2016). Effects of national culture on bank risk-taking behavior. Research in international business and finance, 100(37), 309-326.
Bayraktaroglu, A. E., Calisir, F., & Baskak, M. (2019). Intellectual capital and firm performance: an extended VAIC model. Journal of intellectual capital, 20(3), 406-425.
Ben Naceur, S., & Goaied, M. (2008). The determinants of commercial bank interest margin and profitability: evidence from Tunisia. Frontiers in finance and economics, 5(1), 106-130.
Bond, S. R. (2002). Dynamic panel data models: a guide to micro data methods and practice. Portuguese economic journal, 1(2), 141-162. doi: https://doi.org/10.1007/s10258-002-0009-9
Bontis, N. (1998). Intellectual capital: an exploratory study that develops measures and models. Management decision, 36(2), 63-76.
Britto, D. P., Monetti, E., & da Rocha Lima Jr, J. (2014). Intellectual capital in tangible intensive firms: the case of Brazilian real estate companies. Journal of intellectual capital, 15(2), 333-348.
Clarke, M., Seng, D., & Whiting, R. H. (2011). Intellectual capital and firm performance in Australia. Journal of intellectual capital, 12(4), 505-530.
Curado, C., Guedes, M. J., & Bontis, N. (2014). The financial crisis of banks (before, during and after): an intellectual capital perspective. Knowledge and Process Management, 21(2), 103-111.
Duho, K. C. T. (2020). Intellectual capital and technical efficiency of banks in an emerging market: a slack-based measure. Journal of Economic Studies, 47(7), 1711-1732.
El‐Bannany, M. (2008). A study of determinants of intellectual capital performance in banks: the UK case. Journal of intellectual capital, 9(3), 487-498.
García-Herrero, A., Gavilá, S., & Santabárbara, D. (2009). What explains the low profitability of Chinese banks? Journal of Banking & Finance, 33(11), 2080-2092.
Ghosh, S. K., & Maji, S. G. (2014). The impact of intellectual capital on bank risk: Evidence from Indian banking sector. IUP Journal of Financial Risk Management, 11(3), 18-38.
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: journal of the Econometric Society, 50(4), 1029-1054.
Haris, M., Yao, H., Tariq, G., Malik, A., & Javaid, H. M. (2019). Intellectual capital performance and profitability of banks: Evidence from Pakistan. Journal of Risk and Financial Management, 12(2), 1-26.
Iazzolino, G., & Laise, D. (2013). Value added intellectual coefficient (VAIC): A methodological and critical review. Journal of intellectual capital, 14(4), 547-563.
Itami, H., & Roehl, T. W. (1991). Mobilizing invisible assets: Harvard University Press.
Kaupelytė, D., & Kairytė, D. (2016). Intellectual capital efficiency impact on european small and large listed banks financial performance. International journal of management, accounting and economics [electronic resource]. Mashhad, Iran: IJMAE, 3(6), 367-377.
Le, T. (2019). The interrelationship between liquidity creation and bank capital in Vietnamese banking. Managerial Finance, 45(2), 331-347.
Le, T. D. (2018). Bank risk, capitalisation and technical efficiency in the Vietnamese banking system. Australasian Accounting, Business and Finance Journal, 12(3), 41-61.
Le, T. D., & Nguyen, D. T. (2020). Capital structure and bank profitability in Vietnam: A quantile regression approach. Journal of Risk and Financial Management, 13(8), 1-17.
Lev, B. (2000). Intangibles: Management, measurement, and reporting. Brookings institution press.
Liang, C. J., Huang, T. T., & Lin, W. C. (2011). Does ownership structure affect firm value? Intellectual capital across industries perspective. Journal of Intellectual Capital, 12(4), 552-570.
Michalisin, M. D., Kline, D. M., & Smith, R. D. (2000). Intangible strategic assets and firm performance: a multi-industry study of the resource-based view. Journal of Business Strategies, 17(2), 91-117.
M Mavridis, D. G., & Kyrmizoglou, P. (2005). Intellectual Capital Performance Drivers in the Greek Banking Sector. Management Research Review, 28(5), 43-61.
Mirzaei, A., Moore, T., & Liu, G. (2013). Does market structure matter on banks’ profitability and stability? Emerging vs. advanced economies. Journal of Banking & Finance, 37(8), 2920-2937.
Nahapiet, J., & Ghoshal, S. (1998). Social capital, intellectual capital, and the organizational advantage. Academy of management review, 23(2), 242-266.
Nazir, M. I., Tan, Y., & Nazir, M. R. (2020). Intellectual capital performance in the financial sector: Evidence from China, Hong Kong, and Taiwan. International Journal of Finance & Economics, 26(4), 6089-6109.
Onumah, J. M., & Duho, K. C. T. (2019). Intellectual capital: its impact on financial performance and financial stability of Ghanaian banks. Athens Journal of Business and Economics, 5(3), 243-268.
Ozkan, N., Cakan, S., & Kayacan, M. (2017). Intellectual capital and financial performance: A study of the Turkish Banking Sector. Borsa Istanbul Review, 17(3), 190-198.
Pulic, A. (1998). Measuring the performance of intellectual potential in knowledge economy. Paper presented at the 2nd McMaster Word Congress on Measuring and Managing Intellectual Capital by the Austrian Team for Intellectual Potential.
Pulic, A. (2000). VAIC™–an accounting tool for IC management. International Journal of Technology Management, 20(5-8), 702-714.
Pulic, A. (2004). Intellectual capital‐does it create or destroy value?. Measuring Business Excellence, 8(1), 62-68.
Saona, P. (2016). Intra-and extra-bank determinants of Latin American Banks' profitability. International Review of Economics & Finance, 100(45), 197-214.
Schultz, T. W. (1961). Investment in human capital. The American economic review, 51(1), 1-17.
Sharabati, A.-A. A., Nour, A.-N. I., & Eddin, Y. A. N. (2013). Intellectual capital development: a case study of middle east university. Jordan Journal of Business Administration, 9(3), 567-602.
Shiu, H.-J. (2006). The application of the value added intellectual coefficient to measure corporate performance: evidence from technological firms. International Journal of management, 23(2), 356-365.
Steward, T. (1997). Intellectual Capital, Bantam Doubleday Dell Publishing Group, NY. 1997, Canadian International Management Institute. Nr, 20, 97.
Sveiby, K.-E., & Lloyd, T. (2010). Methods for measuring intangible assets. Programvara http://www.sveiby.com/articles/MK-NewPrefacefinal.pdf.
Tran, D. B., & Vo, D. H. (2018). Should bankers be concerned with Intellectual capital? A study of the Thai banking sector. Journal of Intellectual Capital, 19(5), 897-914.
Wu, W.-Y., & Tsai, H.-J. (2005). Impact of social capital and business operation mode on intellectual capital and knowledge management. International Journal of Technology Management, 30(1-2), 147-171.
Trích dẫn bài báo
Nga, L. H. (2022). Tác động của vốn trí tuệ đến rủi ro của các ngân hàng thương mại tại Việt Nam. Tạp chí Nghiên cứu Tài chính - Marketing, 13(1), 14-24. https://doi.org/10.52932/jfm.vi67.234
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