Cuong Nguyen

Does intellectual capital efficiency improve firm performance in BRICS economies? A dynamic panel estimation

Purpose The aim of the current study is to measure the dynamic relationship between intellectual capital (IC) and firm performance in Brazil, Russia, India, China and South Africa (BRICS) economies. Design/methodology/approach The current study applies dynamic panel system generalized method of moments estimator to investigate the dynamic relationship between IC and firm performance of 6,045 publically listed firms in BRICS economies for the period of 2005-2014. Findings The results revealed that IC efficiency is significantly associated with return on assets and return on equity. Furthermore, human, structural and physical capitals have a positive and significant impact on firm performance. The results, while endorsing resource-based, resource-dependency and learning organization theories, emphasize the importance of IC for firm performance. Practical implications The current study does not only provides new direction for future research to analyze dynamic nature of IC and firm performance relationship but also emphasizes the importance of intangibles because of their contribution toward value added. The current study does provide cross-country comparison of top five emerging economies which is useful for the policy makers to evaluate investments in intangibles. Originality/value The current study is the first study to use dynamic ordinary least square (OLS) and Wooldridge strict exogeneity test to test the dynamic nature of the relationship between IC and firm performance. Moreover, unlike previous studies which ignore South Africa, this study covers all BRICS economies.

Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices

Abstract Stock and bond markets co-movements have been studied by many researchers. The object of our investigation is the development of three U.S. investment grade corporate bond indices. We concluded that the optimal 3D as well as partial pairwise 2D models are in the Student class with 2 degrees of freedom (and thus very heavy tails) and exhibit very high values of tail dependence coefficients. Hence the considered bond indices do not represent suitable components of a well-diversified investment portfolio. On the other hand, they could make good candidates for underlying assets of derivative instruments.

Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam

Employing a sample of all domestic stocks listed on the two Vietnamese stock exchanges – Hochiminh Stock Exchange (HOSE) and Hanoi Stock Exchange (HNX) over the 2007-2014 period, we find that the transaction costs for HOSE-listed stocks are about half of those for HNX-listed stocks. This difference persists over the sample period, across most industries, and is smaller with size. We also provide evidence of both within and cross-exchange liquidity co-movements in both Vietnamese stock exchanges. However, we do not find that co-movements in liquidity are stronger in HOSE than HNX, and vice versa. Our findings are important to many parties including exchange regulators, and domestic and international investors in Vietnam.

Ownership Structure and Firm Performance Improvement: Does it Matter in the Vietnamese Stock Market?

This paper studies the effect of ownership structure on firm performance of Vietnamese manufacturing companies listed on Ho Chi Minh Stock Exchange (HOSE) during 2007-2015. Ownership structure is examined in three disparate aspects: managerial ownership, block ownership and state ownership. System-GMM is employed to address the endogeneity of ownership structure, as well as dynamic nature of its relationship with firm performance. The empirical results show a cubic relationship between managerial ownership and Tobin’s Q, i.e. positive at low and high level of managerial ownership, and negative at the middle. Meanwhile, block ownership has no impact on firm performance, implying the more important role of building internal incentives comparing to external monitoring in corporate governance. On the other hand, we also found an inverted U-shaped relationship between state ownership and Tobin’s Q, indicating that partial privatization could be an efficient way to improve firm performance.

Does Ownership Structure Affect Firm Performance? Evidence from the Vietnamese Stock Market

This paper studies the effect of ownership structure on firm performance of Vietnamese manufacturing companies listed on Ho Chi Minh Stock Exchange (HOSE) during 2007-2015. Ownership structure is examined in three disparate aspects: managerial ownership, block ownership and state ownership. System-GMM is employed to address the endogeneity of ownership structure, as well as dynamic nature of its relationship with firm performance. The empirical results show a cubic relationship between managerial ownership and Tobin’s Q, i.e. positive at low and high level of managerial ownership, and negative at the middle. Meanwhile, block ownership has no impact on firm performance, implying the more important role of building internal incentives comparing to external monitoring in corporate governance. On the other hand, we also found an inverted U-shaped relationship between state ownership and Tobin’s Q, indicating that partial privatization could be an efficient way to improve firm performance.

Tail Contagion: Were Vietnam and China Stock Markets Out of the US Mortgage Crisis?

The paper applies non-parametric methods of Chi-plots and Kendall (K)-plots and three different copula functions to empirically examine the tail dependence between the U.S. stock market and stock markets in Vietnam and China in order to test contagion effect after the U.S. subprime mortgage crisis. The results indicate the presence of left tail dependence before and after the crisis suggesting no change in dependence structure but stronger left tail dependence between the U.S. and Vietnam stock markets. Thus, the US and Vietnam stock markets are more prone to crashing than booming together. Between the U.S. and Shanghai stock markets, the results provide evidence of a left tail dependence before the crisis, but no evidence of tail dependence after the crisis indicating that the dependence structure between U.S. and Shanghai stock markets changed after the crisis. On the contrary, the findings show that the Shenzhen stock market is independent of the U.S. market in both before and after crisis periods which imply that an extreme event in the U.S. market is less likely to influence the Shenzhen stock market. This suggests that there is significant potential for risk diversification by investing in the Shenzhen market by U. S. investors after the financial crisis. The results have not been documented in the existing literature and provide a new insight into risk diversification between the stock markets.