International Journal of Performance Measurement








Volume 8, Number 2, December 2018

The Impact of Asset Management Policy on Stock Market Returns and Volatilities in Vietnam

Pham Hung Thinh¹, Shu-Shian Lin², Fu-Ju Yang¹, Yi-Hsien Wang¹


Vietnam is one of the countries in Asia with the highest nonperforming loans (NPL) ratio, which has affected the operations of the bank and further, to the development of the Vietnamese economy. The State Bank of Vietnam has decided to establish the Vietnam Asset Management Company. This is a special tool of the State Bank for handling nonperforming loans, making healthy financials, minimizing risk for financial institutions and enterprises, and promoting credit growth of the economy. The purpose of this study is to investigate the impact of the Vietnam Asset Management Company as a political event on stock market return and volatility in the Vietnam stock exchange. We collected VN-index data in the Ho Chi Minh stock exchange from 2008 to the third quarter of 2014 as sample data. Using the Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) model, we found some evidence that the VAMC performances have a positive significant effect on stock market return and volatilities.


Keywords: Stock Return, Volatility, Vietnam Asset Management Company, Non-performing Loans, EGARCH

JEL Classification: G11, G17, G21


¹ Department of Banking & Finance, Chinese Culture University

² Department of International Business Administration, Chinese Culture University.