Purpose: The authors investigate the impacts of international capital inflows on bank lending in the Association of Southeast Asian Nations-6 (ASEAN-6) countries on the dynamics of both bank loan volumes and credit risk-taking. The authors further explore the heterogenous impacts of different components of the foreign capital. As a robustness check, the authors also examine the role of crisis periods and agency problem on the relationship between international capital inflows and bank lending.Design/methodology/approach: The authors explore the impacts of international capital inflows on bank lending in the ASEAN-6 countries, including Malaysia, Indonesia, Thailand, Philippines, Singapore and Vietnam. The authors employ quarterly data from 2005Q1 to 2021Q2 from 45 commercial banks in the ASEAN-6 countries. The article uses bank-fixed and time-fixed effects in the panel dataset to account for any unobserved heterogeneity.Findings: The authors find that capital inflows to the ASEAN-6 countries are associated with higher bank loan growth and lower loan loss provisions to net interest income ratios. Moreover, the positive relationships between capital inflows to the bank loan growth and credit risk-taking are mainly driven by the dynamics in foreign direct investments (FDIs) and other inflow (OI) components. Contrary to the global financial crisis (GFC), the authors note that the mediating role of capital inflows on bank lending is of particular importance in the COVID-19 pandemic.Research limitations/implications: This study has some limitations that provide vendors for future research. First, while the authors focus on the impact of capital inflows on bank-level lending activities, future research can also explore the role of foreign capital on bank efficiency and financial stability. Second, although foreign capital fluctuates the most during crisis periods, the movement of capital inflows is also sensitive to other periods of heightened global uncertainty. Thus, rather than focus on the behavior of foreign capital during crisis periods, future research can examine and explore the impacts of capital inflows in different periods of “stop” and “surge” for sudden contraction and boom in capital inflows to the ASEAN-6 countries.Originality/value: First, the authors provide a comprehensive analysis of international capital inflows' impact on bank lending in the ASEAN region on both bank loan volumes and credit risk-taking. Second, the authors provide evidence of the impact of different forms of foreign capital on the bank lending. Third, the authors investigate the heterogeneous impact of foreign capital on crisis periods and bank sizes, which the authors emphasize the unusual characteristics of the COVID-19 crisis compared with the GFC.

Purpose: The authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period.Design/methodology/approach: The authors employ the market-based SRISK measure of Brownlees and Engle (2017) to investigate the systemic risk of the ASEAN-6's banking sectors.Findings: The authors find that the regional systemic risk fluctuates significantly and currently at par or higher level than that of the recent global financial crisis. Systemic risk is generally associated with banks that have bigger size, more traditional business models, lower quality in their loan portfolios, less profitable and with lower market-to-book values. However, these relationships vary significantly between ASEAN countries.Research limitations/implications: The research focuses on the systemic risk of ASEAN-6 countries. Therefore, the research results may lack generalizability to other countries.Practical implications: The authors’ empirical evidence advocates the use of capital surcharges on the systemically important financial institutions. Although the region has been pushing to higher financial integration in recent years, the authors encourage the regional regulators to account for the idiosyncratic characteristics of their banking sectors in designing effective macroprudential policy to contain systemic risk.Originality/value: This paper provides the first study on the systemic risk of the ASEAN-6 region. The empirical evidence on the drivers of systemic risk would be of interest to the regional regulators.

Purpose: This paper investigates how various strategies for combining forecasts, both simple and optimised approaches, are compared with popular individual risk models in estimating value-at-risk (VaR) and expected shortfall (ES) in emerging market at alternative risk levels.Design/methodology/approach: Using the case study of the Vietnamese stock market, the author produced one-day-ahead VaR and ES forecast from seven individual risk models and ten alternative forecast combinations. Next, the author employed a battery of backtesting procedures and alternative loss functions to evaluate the global predictive accuracy of the different methods. Finally, the author investigated the relative performance over time of VaR and ES forecasts using fluctuation test.Findings: The empirical results indicate that, although combined forecasts have reasonable predictive abilities, they are often outperformed by one individual risk model. Furthermore, the author showed that the complex combining methods with optimised weighting functions do not perform better than simple combining methods. The fluctuation test suggests that the poor performance of combined forecasts is mainly due to their inability to cope with periods of instability.Research limitations/implications: This study reveals the limitation of combining strategies in the one-day-ahead VaR and ES forecasts in emerging markets. A possible direction for further research is to investigate whether this finding holds for multi-day ahead forecasts. Moreover, the inferior performance of combined forecasts during periods of instability motivates further research on the combining strategies that take into account for potential structure breaks in the performance of individual risk models. A potential approach is to improve the individual risk models with macroeconomic variables using a mixed-data sampling approach.Originality/value: First, the authors contribute to the literature on the forecasting combinations for VaR and ES measures. Second, the author explored a wide range of alternative risk models to forecast both VaR and ES with recent data including periods of the COVID-19 pandemic. Although forecast combination strategies have been providing several good results in several fields, the literature of forecast combination in the VaR and ES context is surprisingly limited, especially for emerging market returns. To the best of the author’s knowledge, this is the first study investigating predictive power of combining methods for VaR and ES in an emerging market.

Bài viết đánh giá tác động của sự phát triển của công nghệ tài chính, được thể hiện qua mức độ quan tâm và tìm kiếm về Fintech trên Google, đến hoạt động của các NHTM Việt Nam trên góc độ khả năng sinh lời. Sử dụng dữ liệu dạng bảng của 21 NHTM Việt Nam từ năm 2014 đến năm 2022, tác giả chỉ ra rằng mức độ quan tâm tới Fintech có tác động tích cực tới khả năng sinh lời trên tổng tài sản và vốn chủ sở hữu của các NHTM. Khi đánh giá cụ thể về các công nghệ khác nhau, kết quả cho thấy mức độ quan tâm lớn hơn tới BigData, Blockchain và Cloud Computing có vai trò cải thiện khả năng sinh lời của các NHTM Việt Nam, trong khi công nghệ P2P không có tác động rõ rệt tới. Dựa trên các kết quả định lượng, tác giả đưa ra một số hàm ý chính sách đối với cơ quan quản lý và các NHTM Việt Nam trong việc thúc đẩy sự phát triển của Fintech và ứng dụng Fintech trong hoạt động ngân hàng.