Article Type : Research Article
Authors : Dinh Tran Ngoc Huy
Keywords : Risk management; Asset beta; Financial crisis; Corporate tax; Leverage; Competitive firm size
Over recent years, wholesale and retail industry in Viet Nam
has reached a lot of achievements. Under the volatility of stock price, and
changes in macro factors such as inflation and interest rates, the
well-established wholesale and retail market in Viet Nam has many efforts to
recover and grow from the crisis 2008. This study analyses the impacts of 3
factors: competitor size, tax rate policy and leverage on market risk for the
listed firms in the wholesale and retail industry as it becomes necessary.
First, by using quantitative and analytical methods to estimate asset and
equity beta of total 9 listed companies in Viet Nam wholesale and retail
industry with a proper traditional model, we found out that the beta values, in
general, for many companies are acceptable. Second, under 3 different scenarios
of changing tax rates (20%, 25% and 28%), we recognized that there is the
largest dispersion in equity beta value (0, 22), if tax rate is up to 28%,
leverage up to 30% and doubling size competitors. Third, by changing tax rates
in 3 scenarios (25%, 20% and 28%), this study identified that the risk
dispersion level in this sample study could be minimized in case the competitor
size slightly smaller, tax rate up to 28% and financial leverage up to 30%
(measured by asset beta var of 0,022). Finally, this paper provides some
outcomes that could provide companies and government more evidence in
establishing their policies in governance.
Throughout many recent
years, Viet Nam wholesale and retail market is evaluated as one of active
markets, which has certain positive effect for the economy. There are many
components which affect the risk level of these firms including, but not limit
to, external factors (tax rates, interest rates, competitors…) and internal
factors (management, leverage, technology, strategy,…), in the context of most
global stock markets including Vietnam stock market experienced a downturn in
the year 2009 (see exhibit 1). The scope of this paperwork covers the influence
of 3 factors on the market risk of these listed companies, including: tax
rates, financial leverage or external financing, and the competitive firm size.
The organization of paper contents is as following. As our previous series of
paper, the research issues and literature review will be covered in next
sessions 2.1 and 2.2, for a short summary. Then, methodology and conceptual
theories are introduced in session 2.3 and 2.4. Session 3.1 describes the data
in empirical analysis. Session 3.2 presents empirical results and findings.
Then, session 4 will conclude with some policy suggestions. This paper also
supports readers with references, exhibits and relevant web sources.
Research
issues
Among the research
areas of the paperwork are:
Issue 1: Whether the risk level of wholesale and retail
firms under the different changing scenarios of tax rates increase or decrease
so much?
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 different changing
scenarios of leverage estimated in the wholesale and retail industry.
Issue 3: Whether the risk level of wholesale and retail
firms under the different changing scenarios of competitive firm size increase
or decrease so much?
The Merton model (1980)
mentions the market equity premium is a positive function of the market risk
which can be measured by the variance of premium. Regarding to researches on
financial crisis, risk and cost of capital, financial crises are results from
bubbles in real estate industry. And during crisis the borrowing amount against
various collateral types can vary significantly [1].
The three factor model
that “value” and “size” are significant components which can affect stock
returns [2]. They also mentioned that a stock’s return not only depends on a
market beta, but also on market capitalization beta. The market beta is used in
the three factor model, developed by Fama and French, which is the successor to
the CAPM model by Sharpe, Treynor and Lintner. Then implies the challenge is
building a risk management strategy while market participants know all the
assumptions behind market risk models and measures [3]. Findings on market risk
of real estate can be useful for practitioners achieving a more accurate
portfolio risk management [4]. On the other hand, mentions a two-rate tax
system where land is taxed at a higher rate than structures in his research on
two-rate property tax effects on land development. Mentions in Chicago,
properties located in a designated TIF (tax increment financing) district will
exhibit higher rates of appreciation after the area is designated a qualifying
TIF district when compared to those properties selling outside TIF districts,
and when compared to properties that sell within TIF district boundaries prior
to designation. Recognized that the user cost tax elasticities are relatively
small while the expected house price inflation elasticity is substantially
larger and therefore plays a greater role in affecting housing market demand.
Transaction taxes have no impact on house price growth. And their findings
suggest that capital gain taxes on real estate are not suitable measures to
prevent excessive house price growth.
Then, also indicated
that business property values are more responsive to changes in tax rates as
compared to residential property [5]. Next, said liquid markets can enable
investment in long-term investment projects while at the same time allowing
investors to have access to their savings at short-term notice. Stated
financial institutions and markets allow cross-sectional diversification across
projects, allowing risky innovative activity. Mentions equity volatility
increases proportionally with the level of financial leverage, the variation of
which is dictated by managerial decisions on a company’s capital structure
based on economic conditions [6]. And for a company with a fixed amount of
debt, its financial leverage increases when the market price of its stock
declines. Pointed the history of finance is full of boom-and-bust cycles, bank
failures, and systemic bank and currency crises. Company can also proactively
vary its financial leverage based on variations on market conditions. Stated
that safer assets must offer higher risk-adjusted returns than riskier assets
and that consuming the high risk-adjusted returns of safer assets require
leverage, creating an opportunity for investors to apply leverage. Also
mentioned using financial leverage increases the total risk of the firm by
increasing the volatility of a corporation’s net income and return on equity.
Last but not least,
showed that the impact of Basel III on the regulator’s welfare depends on the
regulator’s strength, and the implementation of an identical leverage ratio
across countries would decrease the welfare of regulators with strong powers
[7]. Next, identified a safe regime, in which excessive leverage does not
result in an increase of systemic risk, and a risky regime, in which excessive
leverage cannot be mitigated leading to an increased systemic risk [8]. And
revealed that in different industries in Sri Lanka, the degree of financial
leverage has a significant positive correlation with financial risk.
Beside, found out the
intensity of product market competition increases, principals unambiguously
provide stronger incentives to their agents to reduce costs, and hence agents
work harder [9]. At the same time, more intense competition also leads to a
higher volatility of both firm-level profits and manager’s compensation. Group
constructed the market shares of insured competitor banks for any given bank,
and analyse the impact of this variable on banks' margins and risk-taking
behaviour, using a large sample of banks from OECD countries. Their results
suggest that government guarantees to some banks strongly increase the
risk-taking of the competitor banks not protected by such guarantees. In this
paperwork, the total combined effect of three (3) factors: tax rates, financial
leverage, and competitor size on market risk of listed whole sale and retail
companies will be estimated [10-12].
Conceptual
theories
The impact of competition or the size of
competitor, leverage and tax rates on the economy and business. The central
bank and government or Ministry of Finance could use two tools: fiscal and
monetary policies to perform macro-economic goals [13,14]. Tax rate is one of
fiscal policies, either expansion or contraction, can affect quickly the
aggregate demand and good market and industry growth. Beside, on the one hand,
using leverage with a decrease or increase in certain periods could affect tax
obligations, revenues, profit after tax and technology innovation and
compensation and jobs of the industry. On the other hand, using financial
leverage and changing capital structure offers firms better economic
conditions. Firms can vary the capital structure with leverage and change the
structure of fixed costs and variable costs. Although leverage can help a firm
to increase return, the firm will prefer to increase debt up to a point to be
not so nervous about risk because of too much debt financing. During the firm life,
leverage can contribute to its performance and growth. Furthermore, Porter’s
theory shows us the basic unit of analysis for understanding competition is the
industry. And Porter stated that the industry is the arena in which the
competitive advantage is won or lost [15]. Beside, competition can help to
raise the value of a company by eliminating or reducing monopoly. Sources of
competition include, but not limit to, training. Increasing training can help
competition raising productivity [16,17].
We use the data from
the stock exchange market in
General
data analysis
The research sample has
9 listed firms in the wholesale and retail market with the live date from the
stock exchange. Firstly, we estimate equity beta values of these firms and use
financial leverage to estimate asset beta values of them, and the results are
estimated under effects of another variable: competitive firm size (changed
from approximate size to doubling size and slightly smaller). Secondly, we
change the tax rate from 25% to 28% and 20% to see the sensitivity of beta
values. In 3 cases (rate = 20%, 25%, and 28%), with current debt financing,
asset beta mean is estimated at 0.35, 0.34 and 0.32. Also in 3 scenarios, we
find out var of asset beta estimated at 0,031, 0,032 and 0,032 (almost the
same). Tax rate changes almost have no effect on asset beta var under financial
leverage.
Empirical
research findings and discussion
In the below section, data used are from total 9 listed wholesale and retail industry companies on VN stock exchange (HOSE and HNX mainly). In the scenario 1, current tax rate is kept as 25% then changed from 20% to 30%. Then, three (3) FL scenarios are changed up to 30% and down to 20%, compared to the current FL degree. In short, the below table 1 shows three scenarios used for analysing the risk level of these listed firms (Table 1).Table 1: Analyzing market risk under three scenarios.
Table 2: Market risk of listed companies on VN wholesale and retail industry market under a 3 factors model (case 1) (source: VN stock exchange 2012).
|
Tax rate as current (25%) |
Tax rate up to 30% |
Tax rate down
to 20% |
Leverage as current |
Competitor size as
current, double and slightly smaller |
Competitor size as current,
double and slightly smaller |
Competitor size as
current, double and slightly smaller |
Leverage up 30% | |||
Leverage down 20% | |||
|
Scenario 1 |
Scenario 2 |
Scenario 3 |
Order No. |
Company stock code |
Equity beta |
Asset beta | ||||
Competitor as current |
Double |
Slightly smaller |
Competitor as current |
Double |
Slightly smaller | ||
1 |
HHS (current FL) |
0,728 |
0,295 |
0,383 |
0,479 |
0,194 |
0,252 |
|
HHS (Fl up) |
0,632 |
0,256 |
0,309 |
0,351 |
0,142 |
0,171 |
|
HHS (Fl down) |
0,789 |
0,319 |
0,434 |
0,573 |
0,232 |
0,315 |
2 |
IMT |
0,399 |
1,080 |
0,399 |
0,386 |
1,044 |
0,386 |
|
IMT (FL up) |
0,396 |
1,072 |
0,396 |
0,379 |
1,025 |
0,379 |
|
IMT (FL down) |
0,401 |
1,086 |
0,401 |
0,390 |
1,057 |
0,390 |
3 |
TH1 |
0,409 |
0,409 |
0,409 |
0,160 |
0,160 |
0,160 |
|
TH1 (Fl up) |
0,409 |
0,409 |
0,409 |
0,086 |
0,086 |
0,086 |
|
TH1 (Fl down) |
0,409 |
0,409 |
0,409 |
0,210 |
0,210 |
0,210 |
4 |
BSC |
0,420 |
0,238 |
0,204 |
0,342 |
0,193 |
0,166 |
|
BSC (Fl up) |
0,291 |
0,140 |
0,193 |
0,220 |
0,106 |
0,146 |
|
BSC (FL down) |
0,319 |
0,303 |
0,211 |
0,271 |
0,257 |
0,180 |
5 |
PET |
1,273 |
1,273 |
1,273 |
0,351 |
0,351 |
0,351 |
|
PET (FL up) |
1,273 |
1,273 |
1,273 |
0,074 |
0,074 |
0,074 |
|
PET (FL down) |
1,273 |
1,273 |
1,273 |
0,535 |
0,535 |
0,535 |
6 |
BTT |
0,829 |
0,335 |
0,532 |
0,640 |
0,259 |
0,411 |
|
BTT (FL
up) |
0,769 |
0,311 |
0,494 |
0,541 |
0,219 |
0,348 |
|
BTT (FL
down) |
0,867 |
0,351 |
0,557 |
0,709 |
0,287 |
0,455 |
7 |
CMV |
0,391 |
0,158 |
0,391 |
0,126 |
0,051 |
0,126 |
|
CMV (FL
up) |
0,153 |
0,062 |
0,153 |
0,018 |
0,007 |
0,018 |
|
CMV (FL
down) |
0,535 |
0,216 |
0,535 |
0,244 |
0,099 |
0,244 |
8 |
PIT |
1,012 |
1,012 |
1,012 |
0,514 |
0,514 |
0,514 |
|
PIT (FL
up) |
1,012 |
1,012 |
1,012 |
0,364 |
0,364 |
0,364 |
|
PIT (FL
down) |
1,012 |
1,012 |
1,012 |
0,613 |
0,613 |
0,613 |
9 |
VT1 |
0,411 |
0,279 |
0,101 |
0,175 |
0,118 |
0,043 |
|
VT1 (FL
up) |
0,239 |
0,174 |
0,060 |
0,060 |
0,044 |
0,015 |
|
VT1 (FL
down) |
0,529 |
0,343 |
0,129 |
0,286 |
0,185 |
0,070 |
Table 3: Market risks of listed wholesale and retail industry firms under a 3 factors model (case 2) (source: VN stock exchange 2012).
Order No. |
Company stock code |
Equity beta |
Asset beta | ||||
Competitor as current |
Double |
Slightly smaller |
Competitor as current |
Double |
Slightly smaller | ||
1 |
HHS (current FL) |
0,736 |
0,298 |
0,390 |
0,485 |
0,196 |
0,257 |
|
HHS (Fl up) |
0,642 |
0,260 |
0,316 |
0,357 |
0,144 |
0,176 |
|
HHS (Fl down) |
0,796 |
0,322 |
0,441 |
0,578 |
0,234 |
0,320 |
2 |
IMT |
0,399 |
1,081 |
0,399 |
0,386 |
1,045 |
0,386 |
|
IMT (FL up) |
0,396 |
1,073 |
0,396 |
0,379 |
1,026 |
0,379 |
|
IMT (FL down) |
0,401 |
1,087 |
0,401 |
0,391 |
1,058 |
0,391 |
3 |
TH1 |
0,409 |
0,409 |
0,409 |
0,160 |
0,160 |
0,160 |
|
TH1 (Fl up) |
0,409 |
0,409 |
0,409 |
0,086 |
0,086 |
0,086 |
|
TH1 (Fl down) |
0,409 |
0,409 |
0,409 |
0,210 |
0,210 |
0,210 |
4 |
BSC |
0,310 |
0,244 |
0,205 |
0,252 |
0,198 |
0,167 |
|
BSC (Fl up) |
0,293 |
0,146 |
0,194 |
0,222 |
0,110 |
0,147 |
|
BSC (FL down) |
0,321 |
0,309 |
0,212 |
0,273 |
0,263 |
0,181 |
5 |
PET |
1,273 |
1,273 |
1,273 |
0,351 |
0,351 |
0,351 |
|
PET (FL up) |
1,273 |
1,273 |
1,273 |
0,074 |
0,074 |
0,074 |
|
PET (FL down) |
1,273 |
1,273 |
1,273 |
0,535 |
0,535 |
0,535 |
6 |
BTT |
0,835 |
0,338 |
0,536 |
0,644 |
0,261 |
0,414 |
|
BTT (FL
up) |
0,777 |
0,314 |
0,499 |
0,547 |
0,221 |
0,351 |
|
BTT (FL
down) |
0,872 |
0,353 |
0,560 |
0,713 |
0,288 |
0,458 |
7 |
CMV |
0,401 |
0,162 |
0,401 |
0,129 |
0,052 |
0,129 |
|
CMV (FL
up) |
0,158 |
0,064 |
0,158 |
0,019 |
0,008 |
0,019 |
|
CMV (FL
down) |
0,545 |
0,221 |
0,545 |
0,249 |
0,101 |
0,249 |
8 |
PIT |
1,012 |
1,012 |
1,012 |
0,514 |
0,514 |
0,514 |
|
PIT (FL
up) |
1,012 |
1,012 |
1,012 |
0,364 |
0,364 |
0,364 |
|
PIT (FL
down) |
1,012 |
1,012 |
1,012 |
0,613 |
0,613 |
0,613 |
9 |
VT1 |
0,423 |
0,284 |
0,104 |
0,180 |
0,121 |
0,044 |
|
VT1 (FL
up) |
0,248 |
0,179 |
0,062 |
0,063 |
0,045 |
0,016 |
|
VT1 (FL
down) |
0,540 |
0,348 |
0,132 |
0,292 |
0,188 |
0,071 |
Market risk (beta) under the impact of tax rate, includes: 1) equity beta; and 2) asset beta.
Scenario 1: current tax rate 25% and leverage kept as current,
20% down and 30% up, under the condition that competitor size kept as current.
In this case, all beta
values of 9 listed firms on VN wholesale and retail industry market as
following (Table 2).
Scenario 2: Tax rate increases up to 28% and leverage kept as
current, 20% down and 30% up, under the condition that competitor size kept as
current.
All beta values of total 9 listed firms on VN wholesale and retail industry market as below (Table 3).
Scenario 3: Tax rate decreases down to 20% and leverage kept as current, 20% down and 30% up, under the condition that competitor size kept as current.
All beta values of total 9 listed firms on VN wholesale and retail industry market as below (Table 4).
All three above tables and data show that there are just tiny changes in the values of equity beta and there are bigger fluctuations in the values of asset beta in the three (3) cases.
Table 4: Market risks of listed wholesale and retail industry firms under a 3 factors model (case 3) (source: VN stock exchange 2012).
Order No. |
Company stock code |
Equity beta |
Asset beta | ||||
Competitor as current |
Double |
Slightly smaller |
Competitor as current |
Double |
Slightly smaller | ||
1 |
0,715 |
0,289 |
0,371 |
0,470 |
0,190 |
0,244 | |
|
0,617 |
0,250 |
0,296 |
0,343 |
0,139 |
0,165 | |
|
0,778 |
0,315 |
0,424 |
0,565 |
0,229 |
0,308 | |
2 |
0,398 |
1,078 |
0,398 |
0,385 |
1,042 |
0,385 | |
|
0,395 |
1,069 |
0,395 |
0,378 |
1,023 |
0,378 | |
|
0,401 |
1,084 |
0,401 |
0,390 |
1,055 |
0,390 | |
3 |
0,409 |
0,409 |
0,409 |
0,160 |
0,160 |
0,160 | |
|
0,409 |
0,409 |
0,409 |
0,086 |
0,086 |
0,086 | |
|
0,409 |
0,409 |
0,409 |
0,210 |
0,210 |
0,210 | |
4 |
0,305 |
0,228 |
0,202 |
0,248 |
0,185 |
0,164 | |
|
0,287 |
0,133 |
0,190 |
0,217 |
0,100 |
0,144 | |
|
0,317 |
0,293 |
0,210 |
0,269 |
0,249 |
0,178 | |
5 |
1,273 |
1,273 |
1,273 |
0,351 |
0,351 |
0,351 | |
|
1,273 |
1,273 |
1,273 |
0,074 |
0,074 |
0,074 | |
|
1,273 |
1,273 |
1,273 |
0,535 |
0,535 |
0,535 | |
6 |
BTT |
0,819 |
0,331 |
0,526 |
0,632 |
0,256 |
0,406 |
|
BTT (FL
up) |
0,757 |
0,306 |
0,486 |
0,533 |
0,216 |
0,342 |
|
BTT (FL
down) |
0,859 |
0,347 |
0,551 |
0,702 |
0,284 |
0,451 |
7 |
CMV |
0,376 |
0,152 |
0,376 |
0,121 |
0,049 |
0,121 |
|
CMV (FL
up) |
0,144 |
0,058 |
0,144 |
0,017 |
0,007 |
0,017 |
|
CMV (FL
down) |
0,519 |
0,210 |
0,519 |
0,237 |
0,096 |
0,237 |
8 |
PIT |
1,012 |
1,012 |
1,012 |
0,514 |
0,514 |
0,514 |
|
PIT (FL
up) |
1,012 |
1,012 |
1,012 |
0,364 |
0,364 |
0,364 |
|
PIT (FL
down) |
1,012 |
1,012 |
1,012 |
0,613 |
0,613 |
0,613 |
9 |
VT1 |
0,393 |
0,270 |
0,097 |
0,167 |
0,115 |
0,041 |
|
VT1 (FL
up) |
0,225 |
0,167 |
0,056 |
0,057 |
0,042 |
0,014 |
|
VT1 (FL
down) |
0,511 |
0,334 |
0,125 |
0,276 |
0,180 |
0,067 |
Comparing
statistical results in 3 scenarios of changing leverage
The above calculated
figures generate some following results:
First of all, Equity
beta mean values in all 3 scenarios are acceptable (< 0.7) and asset beta
mean values are also small (< 0.5). If competitor size kept as current
(approximate size) and Fl down 20%, asset beta max value increases slightly to
0,709 to 0,713 when tax rate is up to 28%. Finally, when leverage decreases
down to 20% and competitor size kept as current, asset beta max value decreases
to 0,702 in case tax rate down to 20% (Tables 5-7).
The below Figure 1 and 2 show us: in scenario 1 (current tax rate), when leverage degree decreases down to 20%, with current approximate size competitors, average equity beta value increases maximum (0.68) (Figures 1 and 2). However, equity beta var reaches 0.21 (maximum), in case doubling size competitors and leverage up 30%. Then, in scenario 2 (tax rate up to 28%), when leverage degree decreases down to 20%, with current approximate size competitors, average equity beta value increases maximum (0.69). Similarly, equity beta var reaches 0.21 (maximum), in case doubling size competitors and leverage up 30%. Finally, in scenario 3 (tax rate down 20%), equity beta mean reaches 0.47 (minimum) if leverage up 30% and smaller size competitors. The below Figure 3 and 4 show us: in scenario 1 (current tax rate), asset beta mean reaches 0.43 (maximum) if leverage down 20% and current approximate size competitors (Figures 3 and 4). And asset beta var reaches 0,092 (maximum) in case current leverage and doubling size competitors. Then, in scenario 2 (tax rate up to 28%), asset beta mean also reaches 0.43 (maximum) if leverage down 20% and current approximate size competitors. And asset beta var reaches 0,100 (maximum) in case leverage up 30% and doubling size competitors. Finally, in scenario 3 (tax rate down 20%), asset beta mean reaches 0.18 (minimum) in case FL up 30% and slightly smaller size competitors, whereas asset beta var reaches 0.022 (minimum) in the same conditions.
|
|
Equity
beta |
Asset beta
|
Difference | ||||||
1. FL as
current |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,640 |
1,044 |
0,514 |
0,633 |
0,229 |
0,760 | |
MIN |
0,391 |
0,158 |
0,101 |
0,126 |
0,051 |
0,043 |
0,266 |
0,107 |
0,058 | |
MEAN |
0,653 |
0,564 |
0,523 |
0,352 |
0,320 |
0,268 |
0,300 |
0,244 |
0,255 | |
VAR |
0,1069 |
0,1839 |
0,1434 |
0,0307 |
0,0921 |
0,0243 |
0,076 |
0,092 |
0,119 | |
2. FL up
30% |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,541 |
1,025 |
0,379 |
0,732 |
0,248 |
0,895 | |
MIN |
0,153 |
0,062 |
0,060 |
0,018 |
0,007 |
0,015 |
0,135 |
0,054 |
0,045 | |
MEAN |
0,575 |
0,523 |
0,478 |
0,233 |
0,230 |
0,178 |
0,342 |
0,294 |
0,300 | |
VAR |
0,1439 |
0,2141 |
0,1650 |
0,0338 |
0,1003 |
0,0220 |
0,110 |
0,114 |
0,143 | |
3. FL down
20% |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,709 |
1,057 |
0,613 |
0,564 |
0,216 |
0,660 | |
MIN |
0,319 |
0,216 |
0,129 |
0,210 |
0,099 |
0,070 |
0,109 |
0,118 |
0,059 | |
MEAN |
0,682 |
0,590 |
0,551 |
0,426 |
0,386 |
0,335 |
0,256 |
0,204 |
0,216 | |
VAR |
0,1043 |
0,1672 |
0,1355 |
0,0342 |
0,0910 |
0,0317 |
0,070 |
0,076 |
0,104 | |
Note:
Sample size : 9 firms |
Figure 1: Comparing statistical results of equity beta var and mean in three scenarios of changing FL and tax rate and competitor size (source: VN stock exchange 2012).
Table 5: Statistical results (FL in case 1) (source: VN stock exchange 2012).
|
|
Equity
beta |
Asset beta
|
Difference |
||||||
1. FL as
current |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,640 |
1,044 |
0,514 |
0,633 |
0,229 |
0,760 |
|
MIN |
0,391 |
0,158 |
0,101 |
0,126 |
0,051 |
0,043 |
0,266 |
0,107 |
0,058 |
|
MEAN |
0,653 |
0,564 |
0,523 |
0,352 |
0,320 |
0,268 |
0,300 |
0,244 |
0,255 |
|
VAR |
0,1069 |
0,1839 |
0,1434 |
0,0307 |
0,0921 |
0,0243 |
0,076 |
0,092 |
0,119 |
|
2. FL up
30% |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,541 |
1,025 |
0,379 |
0,732 |
0,248 |
0,895 |
|
MIN |
0,153 |
0,062 |
0,060 |
0,018 |
0,007 |
0,015 |
0,135 |
0,054 |
0,045 |
|
MEAN |
0,575 |
0,523 |
0,478 |
0,233 |
0,230 |
0,178 |
0,342 |
0,294 |
0,300 |
|
VAR |
0,1439 |
0,2141 |
0,1650 |
0,0338 |
0,1003 |
0,0220 |
0,110 |
0,114 |
0,143 |
|
3. FL down
20% |
Statistic results |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
Competitor size as current |
Double |
Slightly
smaller |
MAX |
1,273 |
1,273 |
1,273 |
0,709 |
1,057 |
0,613 |
0,564 |
0,216 |
0,660 |
|
MIN |
0,319 |
0,216 |
0,129 |
0,210 |
0,099 |
0,070 |
0,109 |
0,118 |
0,059 |
|
MEAN |
0,682 |
0,590 |
0,551 |
0,426 |
0,386 |
0,335 |
0,256 |
0,204 |
0,216 |
|
VAR |
0,1043 |
0,1672 |
0,1355 |
0,0342 |
0,0910 |
0,0317 |
0,070 |
0,076 |
0,104 |
|
Note:
Sample size : 9 firms |
In summary, the
government has to consider the impacts on the movement of market risk in the
markets when it changes the macro policies and the legal system and regulation
for developing the wholesale and retail market. The Ministry of Finance
continues to increase the effectiveness of fiscal policies and tax policies
which are needed to combine with other macro policies at the same time. The
State Bank of Viet Nam continues to increase the effectiveness of capital
providing channels for wholesale and retail firms as we might note that in this
study when leverage is going to increase up to 30%, the risk level decreases to
0,18 if competitor size is slightly smaller (for all 3 cases of various tax
rates). Furthermore, the entire efforts among many different government bodies
need to be coordinated. Finally, this paper suggests implications for further
research and policy suggestion for the Viet Nam government and relevant
organizations, economists and investors from current market conditions.
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