Formulation Of Beta Capm Index With Weighted Average Methods And Market Risk Comparison Of Listed Banks During Post-Global Crisis Period 2011-2020


Dinh Tran Ngoc Huy, MBA, PhD candidate (corresponding)
Banking University HCMC, Ho Chi Minh city Vietnam.
Le Thi Thanh Huong, PhD
Dai Nam University, Vietnam.
Nguyen Thi Hang, PhD
Thai Nguyen University, University of Information and Communication Technology, Vietnam.
Vu Quynh Nam, PhD
Thai Nguyen University of Economics and Business Administration (TUEBA), Vietnam.


In emerging markets such as Vietnam, stock markets has been developing with fast growth and implies risk, hence, we need to focus on risk management strategies. One of this study’s purposes is to state formulation of weighted beta Capm index, a development from traditional beta Capm formula by Sharpe (1964) and Lintner (1965). We chose 3 cases of market risk measures in listed banks in Vietnam including ACB – Asia commercial bank, NVB- Navibank (later became National citizen bank NCB) and Weighted beta index. We also select the post-global crisis time 2011-2020 in the survey to conduct market risk comparison among Vietnam banks. By using OLS regression which is a reliable method, our research results tell that ror internal effects, we see that CPI has negative correlation and IN has positive correlation with beta in all 3 cases (weighted beta, NVB beta and ACB beta). In addition to, CPI, G, R anf Rf have higher impacts on beta values. Therefore, our study can be expanded for other markets.