Browsing by Author "Ngo T"
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- ItemAn MCDA composite index of bank stability using CAMELS ratios and shannon entropy(Springer Science+Business Media, LLC, 2024-05-09) Boubaker S; Ngo T; Samitas A; Tripe DThis study uses the multi-criteria decision-analysis (MCDA) approach to construct a composite performance index (CPI) directly from the CAMELS financial ratios. The CPI has several promising characteristics, such as (i) being an absolute measure of performance that allows for adding or removing data without affecting the existing scores; (ii) employing CAMELS ratios directly in its calculation without the need for normalization or imputation of positive values; (iii) employing the dynamic weighting system of data envelopment analysis (DEA); (iv) providing more robust insights on the Vietnamese banking system under the Shannon entropy approach; and (v) can be an alternative measure of bank stability, compared to the CAMELS ratings and z-scores. Based on a rich dataset of 45 Vietnamese banks spanning from 2002 to 2020, our findings suggest that the proposed CPI could offer an overall view consistent with other approaches for measuring banking sector performance and stability and identifying specific strengths and weaknesses of banks.
- ItemAnalysis of China’s Agri-food Imports In an Extended Gravity ModelShakur S; Tang M; Ngo TSince 2000, China has changed from a net exporter to a net importer of agri-food products to a point such that food security and agricultural trade balance are a major concern to Chinese authorities. This research estimated the effect of the ten explanatory variables that have impacted on China's accelerated food imports from 19 trading partners over 2000-2014. An extended gravity model that include economic, demographic, geographic factors and China's free trade agreements (FTAs) to 5 commodity groups separately, in addition to an aggregated data to allow a deeper understanding about the topic. Results from the research suggest that they all have varying but significant impacts on China’s agri-food imports. Agri-food imports to China are predicted to increase. For Chinese authorities to concentrate on own agricultural development and cost-effective trade with other
- ItemDigital Credit and Its Determinants: A Global Perspective(MDPI (Basel, Switzerland), 2023-12) Le TDQ; Ngo T; Nguyen DT; Ftiti ZDigital credit has gained much attention from academic researchers, practitioners, and policymakers worldwide. This study empirically evaluates the determinants of digital credit using cross-country data from 2013 to 2019. The conventional ordinary least square regression with fixed effects estimator is used to investigate the factors affecting the growth of digital credit. Our study highlights that the regulatory frameworks of anti-money laundering and terrorist financing, the economy’s innovative capacity, and financial development are significant factors affecting the development of digital credit, especially fintech credit. However, the findings indicate that only the innovation capacity is more critical to the expansion of bigtech credit. Nonetheless, our results provide some important implications for market participants and the authorities in promoting digital credit. Accordingly, this study contributes to the literature on the growth of digital credit when considering the critical roles of money laundering and terrorist financing frameworks and innovation capacity.
- ItemEfficiency of the Islamic Banking Sector: Evidence from Two-Stage DEA Double Frontiers Analysis(MDPI (Basel, Switzerland), 2023-03) Mai XTT; Nguyen HTN; Ngo T; Le TDQ; Nguyen LP; Ftiti ZThis paper examines the multi-dimensional efficiency of the Islamic banking sector and its determinants, including the impacts of the COVID-19 pandemic. To do that, we use a novel approach of two-stage data envelopment analysis (DEA) double frontiers to evaluate the overall efficiency of 79 Islamic banks across 16 countries (2005–2020). In the first-stage analysis, we found that the Islamic banking sector experienced an increasing trend in its efficiency and performance, even during the recent pandemic, although it varied across banks and countries. Our empirical results of the second-stage analysis further showed that economic development can help countries both withstand the recent pandemic and improve the efficiency and performance of their (Islamic) banking system. This, in turn, could help speed up the recovery process of the global economy. Since there is evidence that the Islamic banking sector is resilient to the COVID-19 pandemic, it is expected that this sector will be a driving force of such recovery.
- ItemEstimating the productivity of US agriculture: The Fisher total factor productivity index for time series data with unknown prices(John Wiley and Sons Australia, Ltd on behalf of Australasian Agricultural and Resource Economics Society Inc., 2024-05-10) Ngo T; Tripe D; Nguyen DKIn this paper, we propose a straightforward way to estimate the Fisher ideal total factor productivity (TFP) index (FI) in cases where price information is unavailable, using ‘shadow prices’ derived from data envelopment analysis (DEA). A Monte Carlo experiment shows that the shadow price Fisher ideal TFP index (SPFI) can effectively estimate the ‘true’ FI with relatively small (and stable) errors. The empirical application to the US agriculture sector (1948–2017) further suggests that the SPFI is a (superior) alternative to the traditional Malmquist DEA, especially in dealing with unbalanced panel or time series data when price data are unknown.
- ItemHouse prices, airport location proximity, air traffic volume and the COVID-19 effect(Taylor and Francis Group on behalf of the Regional Studies Association, 2023-04-12) Ngo T; Squires G; McCord M; Lo DAlthough house prices and airports are influenced by distinct factors that shape their evolutions, they are also intrinsically connected through the natural and built environment. Standard theory suggests that air-traffic noise and proximity to key economic hubs such as airports are of prime importance to house prices and the housing market. This study contributes to understanding the link between the housing market, airport location proximity and air traffic. The research investigates this association across four key urban areas within New Zealand proximal to an international airport: Auckland, Wellington, Christchurch and Queenstown. Applying a generalized least squares (GLS) regression approach, the analysis reveals that house prices, air-traffic activity and proximity to airports within New Zealand demonstrate a statistically significant effect, and that air traffic volume has a positive effect on house prices. Moreover, the findings reveal a ‘U’-shape relationship between distance to the airport and house prices, suggesting that airport noise and pollution adversely affect house prices, with this effect diminishing with distance, indicating that economic influences and employment may also serve as a positive externality.
- ItemOperational Efficiency of Bank Loans and Deposits: A Case Study of Vietnamese Banking System(MDPI (Basel, Switzerland), 2018-03) Nguyen T; Tripe D; Ngo TThis paper examines whether there is a causal relationship between bank loans and deposits in the Vietnamese banking system and the efficiency of the use of loans and deposits by the Vietnamese banks. In a country such as Vietnam, where inter-bank money markets are relatively underdeveloped, one would expect a reasonably strong relationship between deposits and loans. A pooled cross-sectional sample of financial ratios is collected from annual reports of 44 Vietnamese banks covering the period 2008–2015. The explanatory power of instrumental variables in relation to the endogenous variables is tested. A deterministic frontier model based on corrected ordinary least squares, estimated by three-stage least squares on a simultaneous equations model, is employed to derive the frontiers for the sampled banks as well as to estimate the causality between bank loans and deposits. Our findings suggest that, in an underdeveloped banking system such as Vietnam, bank deposits have a positive and significant impact on bank loans, but the reverse relationship is not significant. It is further suggested that in deposit-taking and loan-creating activities, Vietnamese banks performed moderately well over the period examined; however, in the near future, they should start to focus more on deposit-taking activities.
- ItemPredicting the performance of MSMEs: a hybrid DEA-machine learning approach(Springer Science+Business Media, LLC, 2023-02-14) Boubaker S; Le TDQ; Ngo T; Manita RMicro, small and medium enterprises (MSMEs) dominate the business landscape and create more than half of employment worldwide. How we can apply big data analytical tools such as machine learning to examine the performance of MSMEs has become an important question to provide quicker results and recommend better and more reliable solutions that improve performance. This paper proposes a novel method for estimating a common set of weights (CSW) based on regression analysis for data envelopment analysis (DEA) as an important analytical and operational research technique, which (i) allows for measurement evaluations and ranking comparisons of the MSMEs, and (ii) helps overcome the time-consuming non-convexity issues of other CSW DEA methodologies. Our hybrid approach used several econometric and machine learning techniques (such as Tobit, least absolute shrinkage and selection operator, and Random Forest regression) to empirically explain and predict the performance of more than 5400 Vietnamese MSMEs (2010‒2016), and showed that the machine learning techniques are more efficient and accurate than the econometric ones. Our study, therefore, sheds new light on the two-stage DEA literature, especially in terms of predicting performance in the era of big data to strengthen the role of analytics in business and management.
- ItemPrice reaction in New Zealand’s duopolistic airline market(Taylor and Francis Group, 2023-02-11) Ngo T; Tsui KWHThis study investigates the price reaction in a duopolistic market where two airlines (a full-service and a low-cost carrier) dominate the domestic aviation market. Utilising a rich dataset of 53,463 matched airfares for Air New Zealand and Jetstar in New Zealand from September to December 2019, we found a U-shaped relationship (from Jetstar to Air New Zealand) and an inverted U-shaped relationship (from Air New Zealand to Jetstar) between the two airfares. While distinguishing their different business models, such behaviour has not been empirically discussed in the literature. This study can be extended to larger and more complex markets.
- ItemRecognizing CEOs and Chairmen’s personality and bank performance: new insights from signature analysis(Taylor and Francis Group on behalf of the Chinese Economic Association – UK, 2024-03-30) Le TDQ; Ho TH; Ngo T; Luu TBThis study first uses graphology to examine the signatures of the CEOs and Chairmen of 26 commercial banks in Vietnam (2007-2020) to predict their personalities following the Big Five Personality model. Such personalities are used as a key explanatory variable to explain bank performance. Our findings extend the entrenchment theory that bank profitability is positively affected by the same personality traits of separate CEOs and Chairmen. More specifically, the findings indicate a positive relationship between bank profitability and conscientious and extraverted CEOs and Chairmen. When observing bank ownership, these two categories of personality traits are more critical to listed banks. As the first attempt to investigate whether separate CEO and chairman with the same characteristics may affect bank performance, our study will add more evidence to the existing literature about the relationship between corporate governance and bank profitability.
- ItemRevisiting the Quiet-Life Hypothesis in the Banking Sector: Do CEOs’ Personalities Matter?(MDPI (Basel, Switzerland), 2024-03-20) Le TDQ; Nguyen DT; Ngo T; Bolton BThis study investigates the relationship between market power and bank profitability, and the impacts of CEOs’ personality traits, in Vietnam from 2007 to 2020. The analysis of CEOs’ signatures is used to determine their characteristics. The findings support the quiet-life hypothesis, which suggests that the negative relationship between market power and bank profitability may depend on CEOs’ characteristics. More specifically, the results show that conscientious CEOs with market power tend to reduce bank profitability, and this effect is more pronounced for foreign-owned banks. Therefore, our findings have critical implications for bank management.
- ItemThe reverse mortgage market in New Zealand: key drivers of loan determination(Taylor and Francis Group, 2024-03-29) Hutchison N; MacGregor B; Ngo T; Squires G; Webber DJThis paper examines the drivers of loan principals in the reverse mortgage and equity release market in New Zealand using a hedonic price model (HPM) approach. Our analysis using reverse mortgages data between 2004–2021, sourced from one major reverse mortgage bank, provides four key findings. First, the term of payment for repaid reverse mortgages is positively associated with loan principals, implying that longer repayment terms allow applicants who were able to repay mortgages to borrow more. Second, there is partial evidence to suggest the presence of a positive linear impact of the value of the current property on its loan principal, in line with previous house price modelling studies. Third, older applicants (age 75+) borrow less than younger applicants, which may be due to their repaying ability. Fourth, we confirm a positive effect of interest rates on reverse mortgage amounts but reject the positive association between wider loan-to-value policy restrictions and equity release lending amounts. The results broadly highlight that the house price is more relevant than any individual characteristic of a property in determining loan principals, and that all drivers are relevant in the early stage of the development of the reverse mortgages market in New Zealand.
- ItemThe trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis(Springer Science+Business Media, LLC, 2023-07-24) Boubaker S; Le TDQ; Manita R; Ngo TThe trade-off between the returns and the risks associated with the stocks (i.e., the Sharpe ratio, SR) is an important measure of portfolio optimization. In recent years, the environmental, social, and governance (ESG) has increasingly proven its influence on stocks’ returns, resulting in the evolvement from a two-dimensional (i.e., risks versus returns) into a multi-dimensional setting (e.g., risks versus returns versus ESG). This study is the first to examine this setting in the global energy sector using a (slacks-based measures, SBM) ESG-SR double-frontier double-bootstrap (ESG-SR DFDB) by studying the determinants of the overall ESG-SR efficiency for 334 energy firms from 45 countries in 2019. We show that only around 11% of our sampled firms perform well in the multi-dimensional ESG-SR efficient frontier. The 2019 average (in)efficiency of the global energy sector was 2.273, given an efficient level of 1.000. Besides the differences in the firm’s input/output utilization (regarding their E, S, G, and SR values), we found that the firm- (e.g., market capitalization and board characteristics) and country-level characteristics (e.g., the rule of law) have positive impacts on their ESG-SR performance. Such findings, therefore, are essential not only to the (responsible) investors but also to managers and policymakers in those firms/countries.