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MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY DOAN THI CAM VAN RESEARCH ON INVESTOR SENTIMENT ON VIETNAMESE STOCK EXCHANGE Major: Finance - Banking Number: 9340201 DISSERTATION SUMMARY Academic Advisors Assoc Dr Truong Thi Hong Dr Tran Thi Mong Tuyet Ho Chi Minh City - 2022 This dissertation was completed at: University of Economics Ho Chi Minh City Academic Advisors: Assoc Pro Dr Truong Thi Hong Dr Tran Thi Mong Tuyet Independent Academic 1:……………………………………… Independent Academic 2:……………………………………… Independent Academic 3: ……………………………………… This dissertation will be defended at University level dissertation committee: …………………………………………… At…………………… day ……… month ……… year……… The dissertation can be found at the library: …………………… LISTS OF PUBLISHED RESEARCH RESULTS Assoc Prof Dr Truong Thi Hong and Dr Tran Thi Mong Tuyet, M.Fin Doan Thi Cam Van, Dr Le Long Hau “The effects of the change in investor sentiment on stock returns on Hochiminh Stock Exchange”, 3.2018, Vietnam Trade and Industry Review, vol 3/2018; ISN: 0866-7756 M.Fin Doan Thi Cam Van, Prof Dr Truong Thi Hòng, Dr Tran Thi Mong Tuyet, “The effects of investor sentiment on stock returns”, Asian Journal of Economics and Banking, 10/2019, Vol 163; ISSN: 1859-3682 LISTS OF RESEARCH PROJECT M.Fin Doan Thi Cam Van, Dr Le Long Hau, M.Eco Bui Le Thai Hanh, 2018, “Assessing the impact of investor sentiment on stock returns on Ho Chi Minh Stock Exchange”, Leader Research – M.Fin Doan Thi Cam Van CONFERENCE Thi Hong, Truong and Thi Cam Van, Doan 2020, “Predictability of investor sentiment” Conference 2020: Contemporary Issues in Banking and Finance: Sustainability, Fintech and Uncertainties, University of Economics Ho Chi Minh City ABSTRACT Investor sentiment is a concept of behavior finance that always exists in individual investors Its approach helps to measure the level of investor’s psychology There are not many studies to explore the effects of investor sentiment in the frontier stock markets although these effects have been accepted in the developed and emerging stock markets Regarding Ho Chi Minh Stock Exchange (HOSE), a frontier stock market, there has been still no research on investor sentiment and analysis of its impact Hence, this study will fill that research gap The results of this study show that the investor sentiment index of HOSE always includes: number of stocks listed for the first time (NFDL), turnover (TOR), the year-end ratio of the value weighted average market-to-book ratios of payers and nonpayers (CMB), the ratio of the number of advancing issues to declining issues (ADC/DEC) Eliminating the phase of the market fluctuating extraordinarily, the HSI’ composition has a new proxy that is the average returns of stocks on the first day listing The trading value of foreign investors, the characteristic of frontier stock markets, is also a component of the HSI There is statistical evidence of the impact of investor sentiment on the excess stock returns There is also negative correlation between the current investor sentiment state and the future stock returns at the time t+3 HSI can predict the future returns on stocks that are not difficult to arbitrage or to value stocks The distinctive characteristic of investor psychology on HOSE is aversion to risk and prefer safe stocks In conclusion, when the HOSE has come into stable operation after its inception, the 6-factor model which is adjusted for the impact of the macroeconomic factors is suitable to measure the HOSE sentiment index CHAPTER INTRODUCTION 1.1 Research motivation 1.1.1 Research situation of the world Investor sentiment is a category of investor psychology The impact of investor sentiment and its predictability to stock returns have been accepted on the developed and emerging stock markets of the world In the frontier stock markets that are strongly influenced by investor psychology, there is not much research on the role of investor sentiment 1.1.2 Current situation of research and practice in Vietnam’ stock market Ho Chi Minh Stock Exchange (HOSE), which is a frontier stock market, has been demonstrated by many studies to be strongly influenced by investor psychology The current urgent requirement for its development is to have solutions and technical tools to support the market management and investment activities in this market In addition, there hasn’t been any research to measure psychological level as well as to analyze the impact of investor sentiment on the domestic stock market Because of this current research gap, the study on sentiment of investors on Vietnam’ stock market has been conducted 1.2 Research questions The investor sentiment of HOSE market can be shown by which trading statistic indicators? Is foreign trading value in the HOSE market a proxy of the HOSE’ investor sentiment index? How is the oscillation of the HOSE’ investor sentiment index? Does the degree of the change in investor sentiment affect the excess returns of stocks on the HOSE market? If so, in what direction is that influence? Does the change in the state of investor sentiment in HOSE market (positive or negative) correlate with the future stock returns? Can HOSE’s Investor Sentiment Index predict future stock returns? 1.3 Research objectives 1.3.1 Key research objective: This study measures the level of investor sentiment and analyzes its effects on the Vietnam’ stock market – the case of the HOSE market 1.3.2 Detailed research objectives Determining proxies constituting the investor sentiment index of the HOSE market Measuring the level of the HOSE investor sentiment index Analyzing the level of investor sentiment change having impact on excess stock returns Analyzing the influence of the investor sentiment state on future stock returns and analyzing the ability to predict future stock returns of investor sentiment index on HOSE market 1.4 Scope and limitation of research 1.4.1 Research scope The sentiment of investors who are trading on the HOSE is the research scope of this study They are all individual and institutional investors Another relevant research object is the stocks which are listed in the HOSE 1.4.2 Research limitation 1.4.2.1 The limitation of research space HOSE is chosen because of its trading in stocks, the listed corporations represent the national economics, and it is the biggest stock market of Vietnam HOSE is a tightly regulated and transparent market, especially for information disclosure, so it is a good support for measuring and analyzing the role of investor sentiment towards Vietnamese stock market 1.4.2.2 The limitation of research time The HOSE’s size in the period of 2000 – 2005 was much smaller than its size in the following years There are many changes on the market’s trading regulations because it is in the process of market completion So that, the information disclosure and collection of market transaction data was not consistent in the regulation, affecting the reliability of data Based on the above reasons, the research period is limited from 2006 to 2016, in which 2006 year is the base year, so HOSE’s investor sentiment index and its effects are studied from 2007 to 2016 1.5 Research methodology HOSE’s investor sentiment is measured by the indirect method offered by Baker and Wurgler (2006) Analyzing the effects of the investor sentiment index is done by the descriptive statistical method and regression analysis Statistical tests were performed to detect and handle hypothetical violations of regression for time series data such as non-stationary data series, multicollinearity, heteroskedasticity, self-correlation in regression analysis 1.6 Scientific and empirical contributions 1.6.1 Scientific and academic contributions The research results are the highly scientific reference source for investor sentiment on the frontier stock markets in the world and in Vietnam 1.6.2 Empirical contributions The study provides the investor sentiment index to measure HOSE’s investor psychology, and to analyze the influences of this index in the national stock market 1.7 Research structure Chapter 1: Introduction; Chapter 2: Theoretical basis and literature review; Chapter 3: Data and research methodology; Chapter 4: The research results; Chapter 5: Summary, discussion and implications CHAPTER THEORETICAL FRAMEWORK AND RESEARCH DOCUMENTATION 2.1 Theoretical Framework 2.1.1 Traditional Financial Theory Framework An overview of two important theories of the traditional financial theory framework underpins this study 2.1.1.1 Financial Asset Pricing Model of Fama and French Expansion Model Experimental model of three factors affecting stock returns by Fama and French (1993) and Fama and French model expanded by Carhart (1997) are presented On the basis of this model, investor sentiment is expected to be a new factor added to the above model 2.1.1.2 Efficient Market Hypothesis – EMH That clearly understanding EMH theory in order to see its limitations is a premise for developing subsequent theories 2.1.1.3 Is the market really efficient? - The limitation of the EMH theory Evidence shows that a market is not always effective The weakness of traditional finance and EMH theory are the opportunity to develop a theoretical framework of behavioral finance 2.1.2 Theoretical framework of behavioral finance There are two ways to explain the limitation of the traditional financial viewpoint including the limit of arbitrage trading and the psychology of an investor This writing focuses on researching into investors’ psychology 2.1.3 The sentiment of an investor is a psychological category Conducting a research on psychology by detecting the bias in investors’ perception cannot measure the level of psychology There are many types of cognitive bias that have been found and optimism is one of them (Barberis and Thaler, 2003; Masomi and Ghayekhloo, 2010; Chandra and Kumar, 2012) Optimism is an expression of emotions Emotion is a form of psychology that exists within each individual investor (Baker and Wurgler, 2007) Thus, investor sentiment belongs to the category of investor psychology The advantage of doing research on investor sentiment is to help measure the psychological level of investors in the market 2.1.4 General information about investor sentiment on the stock market 2.1.4.1 General Information about investor sentiment Synthesizing the concept of investor sentiment presented in previous studies aims to bring out the concept of investor sentiment within the scope of this study: “The sentiment of investors is the perception, the expectation of investors on the prospect of the whole market which is shown by the two states consisting of optimism and pessimism” 2.1.4.2 Measurement method Currently, researchers, who research on sentiment, suggest two main methods to measure investor sentiment Direct method: Conducting direct interviews with investors, who participate in the market, in order to know their forecasts or feelings about the current and future economic conditions or stock market (Beer and Zouaoui, 2013) The advantage of this approach is that it is not influenced by any theory However, the representativeness of investor sentiment across the market is the most controversial issue of this method because it depends on the number of investors participating in the interview The control of respondents' emotional concealment or their impressive tendency affecting interview quality is also a notable issue for the direct approach Indirect method: Statistical parameters of the economy, the market and the financial sector are used in order to capture investors' thoughts and feelings about the current and future conditions of the economy or stock market (Beer and Zouaoui, 2013) This method is widely used (Baker and Wurgler, 2006, 2007; Kousenidis et al., 2011; Changsheng and Yongfeng, 2012; Stambaugh et al., 2012; Boubaker and Talbi, 2014, Deng et al., 2014, ) because of its objectivity, its ease of implementation and its continuity of the measured investor 20 In summary, HOSE’ investors have gradually understood and accumulated investment experience in the stock market In the last years of the research period, the market no longer appeared to have an excessive psychological reaction of investors as before 4.3 The change of the investor sentiment affect to excess stock returns 4.3.1 From 2007 – 2016 The effects of the conditional factors such as market risk (RMRF), firm size (SMB), firm value (HML) and momentum stock (UMD) on the excess stock returns in the regression analysis model are statistically significant which is appropriately explained in the actual market of HOSE With the change of sentiment factors such as ∆HSI_0716t; ∆HSI_0716┴t ∆HSI_F0716┴t: There is evidence of the effects of ∆HSI on the excess stock returns in all stock portfolios (2) The effects on the excess stock returns appear at two times and have a reversal of the effects at those two times It mean that, all three indexes, including ∆HSI_0716t; ∆HSI_0716┴t and ∆HSI_F0716┴t have positive effect (+) on the stock returns at time t, but ∆HSI_0716┴t and ∆HSI_F0716┴t have negative effect (-) at time t+2 (3) The change of investor sentiment index has a more significant impact in the present than in the future 4.3.2 From 2010 – 2016: During the stable period of the market, the effects of the factors such as RMRF, SMB, HML, UMD on the excess stock returns is more and more obvious The influence time of ∆HSI_1016t; ∆HSI_1016┴t and ∆HSI_F1016┴t is delayed with the lag is one and the sign of the impact of them is lower than in the period 2007 – 2016 The correlation 21 between the change of investor sentiment and the excess stock returns is positive (+) in the short term and negative (-) in the long term Removing the impact of macro indicators from the proxies of investor sentiment index and adding the FOT factor to the investor sentiment measurement model shows the effect of the ∆HSIt-k factor on the excess stock returns is reduced In conclusion, ∆HSIt is a new factor that has a significant effect on the excess returns The effect on the excess returns of the investor sentiment change is stronger than the RMRF The market characteristic is a reason for the term difference of the influence; the impact of the investor sentiment change in the stable market period is lower than in the unstable market period Investor sentiment index which is measured by the model that omits the impact of macro factors correctly reflects the market fact that the excess returns are less affected by investor sentiment when the stock market is stable 4.4 The impact of investor sentiment state on the future stock returns 4.4.1 From 2007 – 2016 The Rt+k of portfolios with HSIt = optimistic is lower than the Rt+k of portfolios with HSIt optimistic and HSIt = pessimistic = pessimistic, In addition, when both HSIt = HOSE’ investors still tend to prefer securities with safety characteristics because Rt+k of these securities are always higher than Rt+k of the securities with opposite characteristics Those safety stocks are large firm size stocks, high firm value stocks, high volatility stocks, low external finance stocks, high fixed assets stocks, profitable or high profitable stocks, dividendpaying or high dividend-paying stocks 4.4.2 From 2010 – 2016 22 The same phenomenon as the 2007 – 2016 period still occurs Therefore, a negative correlation between investor sentiment state and Rt+k portfolios for most characteristics persist When HSIt= optimistic, Rt+k 0 (will be profit) The preference for safety stocks of HOSE’ investors are still constant In conclusion, Rt+k of the portfolio will increase (decrease) when HSI t=optimistic (pessimistic) This correlation appears for most portfolios with different characteristics at the time t+1, t+2 and t+3 Finally, investors on HOSE always prefer safety stocks 4.5 Predictability of the investor sentiment index on HOSE 4.5.1 From 2007 – 2016 All three indices, HSI_0716, HSI-0716┴ and HSI_F0716┴, influence the difference in future returns (∆Rt+k) of stock portfolios with two different levels of each stock characteristic Results of study show that these effects are most visible at t+3 with statistical significance of 1% or 5% With HSI_0716t, the results of study found evidence of its effects on ∆Rt+1 also with statistical significance of 1% or 5% This study explores the predictive power of HSI_0716 and HSI_0716┴ for Rt+k of some portfolios These portfolios are not in the hard-to- arbitrage or hard-to-value stock groups and this result is not the same as the content of the theory of the effects of investor sentiment on the stock market They are long listed stocks, high or middle volatility stocks, low external finance stocks, high or middle profitable stocks 23 4.5.2 From 2010 – 2016 The research results in this period are the same of the 2007 – 2016 period The HSI_1016, HSI_1016┴ and HSI_F1016┴ also affect ∆Rt+k of some portfolios with k is The predictability Rt+3 of these indicators is clearer than Rt+2 due to statistical significance at time t+3 is higher than at time t+2 HSI_ F1016┴t has the best ability to forest future returns of some stocks that are still not hard-to-value stocks or hard-to-arbitrage stocks It affirms that, investor’s preference on HOSE is not the same as the theory and investment opinion of investors in the developed stock markets HOSE’ investors are often interested in safe stocks and have a risk aversion Summary, (1) HSI affects ∆Rt+k = Rt+k,x=high - Rt+k,x=low and is capable of predicting Rt+3 well (2), to predict Rt+k, the measurement model of HSI_0716 (2007 – 2016) and HSI_F1016┴ (2010 – 2016) are better than others (3), some stocks whose Rt+k are predicted by the HSI index are not in the group of stocks that are not hard-to-value or hard-toarbitrage Finally, investor’s preferences on HOSE are different from those on the developed stock markets, they tend to prefer safe securities and are rather afraid of risky securities CHAPTER SUMMARY, CONCLUSION OF RESEARCH RESULTS AND POLICY IMPLICATIONS 5.1 Summary of the research results 5.1.1 Research object 1: Determining proxies constitute the investor sentiment index of the HOSE market There is not too much difference in the models to measure the investor sentiment between the period 2007 – 2016 and 2010 – 2016 24 The fixed proxies of those models include NFDL, TOR, CMB, ADV/DEC and FOT The recently issued regulation to limit fluctuation of price in the first day of listing has reduced the ability to express investor sentiment of the averaged returns on the first day of listing indicator (RFDL) When the market is stable again and investors adapt to above regulation, RFDL is a proxy that has a high contribution to the HSI measurement model Although the positive correlation between CMB and HSI is contradictory to the sentiment measurement model of Baker and Wurgler (2006), this is consistent with the reality of the HOSE market Due to the potential for high price growth for both the safe and risky securities in this market, investors prefer safe securities as the suitable choice The change of time reflects the sentiment of the TOR proxy shows that HOSE’s investors have changed in market perception and investment decision They become more cautious FOTt-1 is also a proxy of the HSI Hence, the hypothesis that the trading value of foreign investors is a new proxy to measure the investor sentiment index of the frontier market accepted 5.1.2 The research object 2: Measuring the investor sentiment in the HOSE market Overly optimistic sentiment state during the stage 2007 – 2009 and gradually lower in the mid-late 2009 explained the rapid growth and price bubble on HOSE during the stage 2007 – 2010 Investors became more cautious than from 2011 This proves that HOSE’ investors have accumulated experience in stock investment 5.1.3 The research object 3: Analyzing the change of the sentiment level and excess stock returns 25 There is significance of the influence of ∆HSI on excess stock returns (Rp-Rf) In the period of stable market (2010 – 2016), this effect is term slower than in the period (2007 – 2016) This change once again confirms that HOSE' investors have accumulated investment experience and their overreactions have been under control The direction of the influence is always reversed two months later It means that the investment cycle of HOSE’ investors is months There are both a lot of investment opportunities and risks in newly established stock markets so short-term strategies are still considered suitable for these new markets There is a strong impact of change of investor sentiment level on excess stock returns in the short-term and gradually weakening over in the long-term This result accuracy reflects investor psychology People are often excited when receiving and processing new information, but their psychological response will decrease as that information gets older When the HOSE market stabilizes, investors’ investment decisions depending on their sentiment will be down Summary, accepting the hypothesis the change of sentiment level affects to excess stock returns 5.1.4 The research object 4: The influence and the predictability of investor sentiment index on future stock returns 5.1.4.1 The change of investor sentiment state and future stock returns There is a contrary variation between HSIt situation and Rt+k of stock portfolio in both the two phases 2007 – 2009 and 2010 – 2016 This research result is consistent with the theory of the effects of 26 investor sentiment on stock returns is the expected hypothesis of this study Safe stock preference of HOSE’ investors is still sustained during the 2007 – 2016 phase It means that domestic investor’s preference is different from that of foreign investors The cause of the phenomenon that has just been mentioned is the investor’s psychological fear of risk due to the strong negative impacts of the market in the first years the market operates 5.1.4.2 Predictability of future stock returns by HOSE’s Investor Sentiment Index There are effects of HSIt index on ∆Rt+k of stock portfolios The stable term of forest suggested is months later Although no evidence was found for the predictability future returns of the HSI_F0716┴, the HSI_F1016┴ has good ability to forecast Rt+k of a number of stock portfolios Those stocks have characteristics such as old stocks, high volatility stocks, high fixed asset stocks (only the HSI_1016 can predict), high profitable stocks, dividend-paying stocks Most of them are not hard to arbitrage stocks or hard to value stocks Due to the difference of preference and opinion between the investors of HOSE and foreign market made the actual phenomenon contrary to theory The above opposite phenomenon is consistent with the real situation because the specificity of the market still has potential to increase the price of most listed stocks, the investors had gone through a phase of market volatility which begets the negative impacts to investment effectiveness Thence, it caused the risk aversion psychology of HOSE’ investors Conclusion: The result in this study helps to capture investor sentiment; to understand how the change of investor sentiment and the 27 effects of its on HOSE’ stock returns Through which it can see that investors of the domestic market have understood more about the stock market, accumulated investment experience so their investment decisions reduce the dependence on their own sentiment When the stock market operations have stabilized and investors in the stock market have more investment experience, the FOT inclusive model will be more effective than the others models to measure and analyze the role of investor sentiment 5.2 Policy Implications 5.2.1 Applications from the research results 5.2.1.1 Sentiment measurement model The national stock market has gone through a surge due to newly established conditions Entering a stable phase, the controlled sixfactor model is more suitable to measure the level of investor sentiment and the future returns of a portfolio 5.1.1.2 Choosing investment strategy based on the correlation between the degree of change in investor sentiment and excess stock returns With stable market condition, when the degree of investor sentiment change increase (∆HSI go up): in short-term, investors should sell or short-sell stocks at the moment and buy them back at one month later; or should buy stocks in the next month (t+1) and sell them to take profit at the months later that is at the t+3 time 5.2.1.3 Choosing investment strategy based on the correlation between sentiment state and future stock returns, predictability of the investor sentiment index 28 If HSIt goes up to the high state (optimistic) then HOSE’s investors should hold on some stock such as stocks with middle listing time, high volatility stocks, high profit stocks, non – dividend payer stocks, and sell out some stocks such as old stocks, low volatility stocks, low profit stocks, dividend payer stocks Investors should implement the opposite strategy if HISt goes down to the low state 5.2.2 Measure to apply the HOSE’s investor sentiment index 5.2.2.1 The disclosure of information about issued corporation and stock market For the investor sentiment index measurement Monitoring the enforcement of 96/2020/TT-BTC Circular which promulgates regulations for information disclose in the stock market (2) Continuing to expand the data set to service the HSI measurement The necessary information includes official stock market trading indices, information of listed corporations and organizations operating on stock market (3) Organize and maintain investor surveys directly to collect investor’s perception for the stock market at the present and future to develop measurement for investor sentiment by the mixed method (using both the direct and indirect methods) And (4), the information of the stock market should be announced by an official organization through the web portal, for a fee to ensure continuous data collection is maintained For the analysis of the influence and predictability of investor sentiment index: State Security Commission and Stock Exchange should promulgate regulations to narrow the publication time and content differences between the annual and the final quarterly reports to support analysis of the influence of investor sentiment on the stock 29 market, especially in the period of waiting for the audited financial statements of listed firms 5.2.2.2 Organizations exploit and develop the new analysis tool HOSE’ investor sentiment index: The organizations exploiting this tool should be securities companies that are members of the Hochiminh Stock Exchange 5.2.2.3 Some recommendations to support the applications and improve the efficiency of the investor sentiment index application in investment and management activities on HOSE For investors should research about the investor sentiment index and its role for the stock market in general and for HOSE particularly For trading organizations in the stock market: (1) They should soon put into application the HSI for their investment and consulting activities, (2) During the application process, they should coordinate with researchers to explore the new factors that compose HSI, in order to further improve the accuracy of this indicator For the stock market manage institutions: (1) State Securities Commission and Stock Exchange should control the full, accurate and timely implementation of information disclosure regulations by listed companies (2) Stock Exchange should proactively become a professional data services provider on stock market and listed companies (3) They are necessary to sentence infringements of information disclosure regulations by listed companies, and limit the extension of their information disclosure time, especially the publication of annual financial statements 5.3 Limitations and the next research direction of thesis 5.3.1 Limitations of thesis: 30 The level of explanation of the first principal component, the HSI model is not high Continuing to develop studies on the role of the HSI in the post-2016 period 5.3.2 The next research direction of thesis: Exploring the new proxies of the HSI; developing the investor sentiment measurement on the Vietnamese stock market by the mixed method; researching the influence of the investor sentiment on stock market of Vietnam by the event research method; constructing the theoretical and empirical financial asset pricing model with the impact of investor sentiment./ 31 REFERENCES Baker, M and Wurgler, J 2006 Investor Sentiment and the CrossSection of Stock Returns The Journal of Finance 61(4) 16451680 Baker, M and Wurgler, J 2007 Investor Sentiment in the Stock Market The Journal of Economic Perspectives 21(2) 129-151 Barberis, N and Thaler, R 2003 A survey of behavioral finance Handbook of the Economics of Finance 1053-1128 Beer, F and Zouaoui, M 2013 Measuring Stock Market Investor Sentiment Journal of Applied Business Research 29(1) 51 Berger, D and Turtle, H.J 2012 Cross-sectional performance and investor sentiment in a multiple 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