Nghiên cứu mối quan hệ giữa lợi suất cổ phiếu và thanh khoản thị trường trường hợp các doanh nghiệp niêm yết trên thị trường chứng khoán việt nam TT TIENG ANH

1 INTRODUCTION in the stock market, leading to an increase in corporate stock liquidity In addition, the Rationale Many researchers and investors have paid much attention to the research topics of firm value in countries with strong investor protection rights can be higher than that in countries with weak investor protection rights stock market liquidity and stock liquidity The increase of stock market liquidity Up to now, there are not many studies investigating the relationship between stock suggests the attractiveness of stock market, which enables the stock market to attract returns and stock market liquidity in Vietnam Many studies has focused on the factors more both domestic and international investors affecting stock returns and stock market liquidity, however, the works are still quite Recently, the Vietnamese stock market has experienced many uptrends and modest regarding the relationship between stock returns and stock market liquidity As downtrends During the period 2010-2015, along with the downward trend of the a result, the author selects the topic “Investigate the relationship between stock return economy of many countries around the world due to the negative impact of financial and stock market liquidity: The case of listed companies in the Vietnamese stock crisis, the Vietnamese stock market has witnessed a significant fluctuation In 2011, market” for this thesis This thesis will help to contribute to stabilizing the liquidity of the index of the Vietnamese stock market plummeted and the liquidity dropped sharply the stock market and will provide some recommendations to upgrade the Vietnamese Many securities companies suffered losses in this year (Kim Long securities company, stock market after losing, even considered canceling the securities industry) In 2012, the Research objective Government and Ministry-level Department had many appropriate policies to support 2.1 General objective the stock market, specially Decision No 1826/QD-TTg approving the project - Empirically examine the relationship between stock returns and stock market “Restructuring the stock market and securities and insurance companies”, which can liquidity in order to provide recommendations to develop and stabilize the liquidity of help to comprehensively restructure and gradually improve the role and position of the the stock market market After years of implementation, by 2015, the stock market liquidity has had 2.2 Specific objective very positive features such as a sharp increase in market size, reaching 24.5% of GDP; the market capitalization is about 23% of GDP The following years marked a history In order to achieve the general objective, the thesis focuses on the specific objectives as follows: of strong growth in the market liquidity, surpassing all forecasts, for example the year - Explain the relationship between stock returns and stock market liquidity of 2016, 2017, and 2018 However, there are still limitations and potential risk arising - Empirically investigate the relationship between stock returns and stock market for the market liquidity such as outdated technology, low information transparency, limited ability to attach foreign capital flows, not meeting the requirement to upgrade the stock market… Additionally, to ensure the stability and the liquidity of the stock of listed companies, many studies have shown that the investor protection rights is an important liquidty for listed companies on the Vietnamese stock market - Make recommendations for stable and sustainable stock market liquidity Research subject and scope - Research subject: The relationship between stock returns and stock market liquidity factor that affects not only the development of a country but also affect the growth of - Research scope: individual companies in that country A country with strong investor protection rights The data of this thesis includes non-financial companies listed on Ho Chi Minh will reduce information asymmetry and therefore encouraging investors to participate Stock Exchange and Hanoi Stock Exchange in the period from 2010 to 2019 The thesis exclude financial companies because they have different characteristics from non- Chapter 1: Literature review and research methodology financial firms For example, financial companies have very large financial leverage Chapter 2: Overview of stock liquidity and stock returns Research data are collected from DATASTREAM database Observations that have a missing value will be removed The final data is na unbalanced panel data Chapter 3: Empirical research of the relationship between stock liquidity and stock returns consiting of 596 firms and 4,437 firm-year observations Chapter 4: Empirical research of the impact of stock liquidity on firm value Research method Chapter 5: Results and recommendations The research uses general research methods: the method of collecting, analyzing, and comparing data, the statistical method, and the method of investigation and survey Quantitative methods are used to evaluate the relationship between stock returns and stock market liquidity The regression model included in this thesis are as follows: Pooled Ordinary Least Squares - Pooled OLS, Fixed effects model and Random effects model In addition, the thesis also employ a dynamic generalized method of moments (SGMM) regression model Expected results and the contribution of the thesis - Stock liquidity has a negative effects on stock returns, and other things being equal, this effect will increase firm value - Stock liquidity has a direct and indirect impact on corporate value - Stock liquidity negatively affects stock returns when the protection of minority stockholders is weak Empirical evidence on the relationship between stock return and stock market liquidity provides information for market participants, such as domestic and foreign investors, in decision making The stock market needs to have information transparency, technology improvement to stabilize and develop stock liquidity in order to upgrade the stock market Investor protection rights need to be strengthened in corporate governance for listed companies in Vietnam The structure of the thesis Besides the introduction, conclusion, references, tables and appendix, the structure of the thesis is as follows: CHAPTER LITERATURE REVIEW AND RESEARCH METHODOLOGY 1.1 Stock liquidity and stock returns Stock liquidity of a firm is widely thought to be one of the most important factors that affect firm value This impact can be explained by either operating performancebased theories or price-based theories Operating performance-based theories, which One of the first studies investigating the relationship between stock liquidity and can be divided into agency-based theories and feedback theories, argue that an increase stock returns is Amihud and Mendelson (1986) This study argues that there is a in stock liquidity can exert a positive impact on firm performance and firm profitability relationship between stock returns and stock liquidity, measured by the transaction and therefore can exert a positive impact on firm value The two theories have a costs, proxied by the bid - ask spread of a stock in a trading day The results show that common conclusion that an increase in stock liquidity can have a positive impact on when the stock liquidity reduces, the stock’s required rate of return increases This firm operating performance and firm profitability and thus increasing the firm value result implies that there exists the risk premium for stock liquidity This risk premium will be higher if the liquidity of the stock is low Several other studies even find the results that contracdicts to Amihud and Mendelson (1986) For example, Chen and Kan (1989) argue that the results of Amihud and Mendelson (1986) is because of the mmethodology, not because of the impact of stock liquidity on stock returns Eleswarapu and Reinganium (1993) show that the inverse relationship between stock liquidity and stock returns only exists in January Chang et al (2010) show that stock liquidity has negative relationship with the stock returns and the relationship depends on the economic cycle Marshall and Young (2003) find that liquidity risk premium (low liquid stock will have higher return) exists in Australian during 1994-1998 Batten and Vo (2014) indicate a positive relationship between stock liquidity and stock return in Vietnam from 2007 to 2010 This means when stock liquidity increases, the stock returns also increase Batten and Vo (2014) argue that this results is due to Vietnam has not penetrated into the world economy and thus stock liquidity Palmiter (2002), Edmans (2009), and Admati and Pfleiderer (2009) also argue that large shareholders can discipline management and thereby enhancing corporate governance If the managers of companies not manage the companies well, the large shareholders will leave the companies In the meantime, studies about the stock liquidity and firm value in Vietnam are limited Thuyet and Tuy (2016) use the data including 635 non-financial companies listed in Ho Chi Minh Stock Exchange and Hanoi Stock Exchange from 2007 to 2015 and show that there exist the relationship between stock liquidity, corporate governance and firm value Hypothesis 1: Stock liquidity exerts a positive impact on firm value 1.3 Stock liquidity and capital structure The relationship between stock liquidity and capital structure can be explained based on the two classic theories of capital structure The model of Amihud and Mendelson (1986) proves that the required rate of return for equity investment can be an increasing and concave function of the stock bid is not a risk factor affecting stock risk premium However, I argue that the results of - ask spread This means when the bid - ask spread of a stock increases, investors that Batten and Vo (2014) is because this study include a long special period, which is the invest in this stock will require a higher return when investing this company Given period of financial crisis 2007 - 2008 that the stock spread is negatively associated with the stock liquidity, the model of Based on the aforementioned argument, I develop the following hypothesis: Amihud and Mendelson (1986) suggests that stock liquidity and cost of equity have a Hypothesis 1: Stock liquidity exerts a negative impact on stock returns negative relationship Martinez et al (2005) empirically find a positive relationship 1.2 Stock liquidity and firm value between stock returns and stock illiquidity 7 Several empirical studies have studied the impact of stock liquidity on capital 1.5.2.2 Research model of the relationship between stock liquidity and firm value structure The results of these studies are consistent with the prediction of the trade-off TOBINQit = α0 + β1 STOCK_LIQUIDITYit + γ CONTROLit + φit theory and pecking order theory 1.5.2.3 Research model of the relationship between stock liquidity and capital Udomsirikul et al (2011) demonstrate that there is a negative relationship structure between stock liquidity and firm leverage for Thailand listed firms Nadarajah et al LEVERAGEit = α0 + β1 STOCK_LIQUIDITYit + γ CONTROLit + εit (1.3) (2018), using a panel of firms listed on Australian Securities Exchange (ASX), find a 1.5.3 Methodology negative stock liquidity - leverage relation 1.5.3.1 Pooled Ordinary Least Squares Hypothesis 3: Firms with higher stock liquidity are associated with a lower level 1.5.3.2 Fixed effects model of leverage 1.5.3.3 Random effects model 1.4 Research gap 1.5.3.4 System generalized method of moments Bsed on the literature review, this thesis show the research gaps as follows First, although there are many studies investigating the impact of stock liquidity on stock returns, firm value and capital structure, these researchs are examined a long time ago and it is necessary to investigate these relationships using a sample including recent periods Secondly, studies about stock liquidity, stock returns, firm value and capital structure in Vietnam is scarce These studies either use a special sample (including period of financial crisis) or a sample including a small number of companies This thesis will use a larger sample and include a longer period compare with the previous studies in Vietnam 1.5 Data, research model and methodology The data of this thesis includes non-financial companies listed in Ho Chi Minh Stock Exchange and Hanoi Stock Exchange from 2009 to 2018 This thesis excludes financial companies from the sample because financial companies have different characteristics compared with non-financial companies For example, the financial leverage of financial companies is very high The final data is a panel data consisting of 596 companies with 4.437 firm-year observations 1.5.2 Research model 1.5.2.1 Research model of the relationship between stock liquidity and stock return STOCK_RETURNit = α0 + β1STOCK_LIQUIDITYit + γCONTROLit + vit (1.1) (1.2) 10 CHAPTER OVERVIEW OF STOCK LIQUIDITY AND STOCK RETURNS 2.1 Overview of stock liquidity 2.1.1 Definition Hirshleifer (1968) define the liquidity of an asset is the ability and time to convert the asset into funds in order to consume or reinvestment immediately, the funds usually are in the form of cash 2.1.2 Measurement The bid-ask spread and Amihud coefficient 2.1.1.1 The bid-ask spread ‫܂۽܃ۿ‬۳۲_‫܀۾܁‬۳‫ۯ‬۲ܑ‫ = ܌‬૛ (‫܁ۯ‬۹ ܑ‫ି ܌‬۰۷۲ܑ‫) ܌‬ (‫܁ۯ‬۹ ܑ‫ ܌‬ା۰۷۲ܑ‫) ܌‬ (1.1) 2.1.1.2 Amihud coefficient ‫ۻۯ‬۷۶‫܃‬۲࢏ࢊ = ૚૙૟ |‫| ܌ܑ܀‬ (1.2) ‫܌ܑ܄‬ 2.1.2.3 The number of transaction days with zero stock returns 2.2 Overview of stock returns 2.2.1 Definition 2.2.2 Measurement Absolute returns = Dt + (Pt - Pt-1) Relative returns = [Dt + (Pt - Pt-1)]/Pt-1 Relative returns = (Pt - P’t-1)/P’t-1 2.2.3 Factors affecting stock returns (1.3) (1.4) (1.5) 2.3 Others 2.3.1 Overview of firm value 2.3.1.1 Definition 2.3.1.2 Measurement ܶ‫= ܾܳ݊݅݋‬ ்௛௘ ௠௔௥௞௘௧ ௩௔௟௨௘ ௢௙ ௘௤௨௜௧௬ା ்௛௘ ௕௢௢௞ ௩௔௟௨௘ ௢௙ ௗ௘௕௧ ்௛௘ ௕௢௢௞ ௩௔௟௨௘ ௢௙ ௧௢௧௔௟ ௔௦௦௘௧௦ 2.3.1.3 Factors affecting firm value 2.3.2 Overview of capital structure 2.3.2.1 Definition and capital structure theories Modigliani – Miller theory (2.4) Trade-off theory Pecking order theory Agency costs theory 2.3.2.2 Measurement ࡸࡱࢂࡱࡾ࡭ࡳࡱ࢏࢚ = ࡰࡱ࡮ࢀ࢏࢚ ࡰࡱ࡮ࢀ࢏࢚ ାࡹࢂ࢏࢚ 2.3.2.3 Factors affecting capital structure (2.3) 11 12 CHAPTER Table 3.3: Impact of stock liquidity on stock returns - Pooled OLS regression EMPIRICAL STUDY OF THE IMPACT OF STOCK LIQUIDITY ON STOCK RETURNS Dependent variable: STOCK_RETURN Biến 3.1 Overview about stock return and stock market liquidity AMIHUD This section will summarize the important situation of stock returns and stock market liquidity during the research period The fact that the stock market has high (1) (2) 0.031*** (0.006) QUOTED_SPREAD 1.267*** (0.373) liquidity has a positive impact on the liquidity of individual stocks in the market ZERO_VOLUME 2.727*** During this period, Vietnamese stock market received many new policies and legal documents These policies are promulgated and completed, creating an enabling (0.489) BETA 0.017 0.010 0.010 (0.019) (0.018) (0.018) 0.040*** 0.022** 0.010 (0.009) (0.009) (0.006) -0.134*** -0.093** -0.081** (0.040) (0.038) (0.035) PROFITABILITY 0.973*** 0.990*** 0.935*** (0.168) (0.170) (0.173) MB 0.109*** 0.114*** 0.129*** (0.021) (0.021) (0.021) Constant -0.342*** -0.010 0.118 (0.126) (0.104) (0.084) environement for investors, increasing the liquidity of the stock market, and attracting more domestic and foreign investors 3.2 Summay statistics ASSETS LEVERAGE The mean and standard deviation of stock returns for the sample of this thesis are 0.046 and 0.585, respectively The results from the correlation matrix show that the coefficients of variables in the right-hand side of model (1.1) are smaller than 0.7, suggesting that the model does not have multicollinarity problem 3.3 Regression results (3) The regression results in the three columns of Table 3.3 show that the sign of the coefficient of stock liquidity variables is positive and significant at the 1% level, Observations 4,408 4,429 4,426 indicating that when the stock liquidity increases the stock return will reduce Inudstry dummy Yes Yes Yes Year dummy Yes Yes Yes 0.313 0.308 0.309 R-squared 13 14 3.4 Kiểm tra tính vững kết nghiên cứu Table 3.5: Robustness test 2: Regression results of the impact of stock liquidity Table 3.4: Robustness test 1: Regression results of the impact of stock liquidity on stock returns using panel regression method on stock returns using the lag value of explained variables Dependent variable: STOCK_RETURN Random effects model Dependent variable: STOCK_RETURN VARIABLES AMIHUD (1) (2) (3) VARIABLES AMIHUD 0.032*** (2) 0.037*** QUOTED_SPREAD 1.698*** ZERO_VOLUME ASSETS LEVERAGE PROFITABILITY MTB Constant -0.008 (0.009) (0.009) (0.009) 0.020*** 0.006 -0.014** (0.008) (0.007) (0.006) 0.024 0.060* 0.092*** (0.032) (0.031) (0.030) 1.255*** 1.307*** (0.135) (0.135) 1.276*** (0.133) -0.092*** -0.091*** -0.075*** (0.017) (0.017) (0.016) -0.497*** -0.158** -0.544*** (0.099) (0.078) (0.076) (6) (0.010) ZERO_VOLUME 2.907*** (0.640) 3.197*** 3.782*** (0.501) (0.558) -0.004 (5) 0.048*** (0.436) 1.414** 0.001 (4) 1.864*** (0.305) BETA Fixed effects model (3) (0.006) (0.004) QUOTED_SPREAD (1) (0.584) 0.016 0.009 0.010 0.009 0.006 0.006 (0.019) (0.019) (0.018) (0.020) (0.019) (0.019) 0.050*** 0.035*** 0.016** 0.094*** 0.082*** 0.061** (0.011) (0.011) (0.008) (0.031) (0.030) (0.029) LEVERAGE -0.194*** -0.182*** -0.145*** -0.473*** -0.480*** -0.427*** (0.046) (0.047) (0.042) (0.085) (0.084) (0.081) PROFITABILITY 1.083*** 1.150*** 1.058*** 1.601*** 1.624*** 1.563*** (0.175) (0.178) (0.181) (0.206) (0.208) (0.213) MTB 0.123*** 0.130*** 0.145*** 0.163*** 0.166*** 0.175*** (0.023) (0.024) (0.024) (0.036) (0.036) (0.036) Constant -0.984*** -0.757*** -0.503*** -1.429*** -1.187*** -0.902*** (0.121) (0.109) (0.079) (0.296) (0.274) (0.247) 4,426 BETA ASSETS 3,877 3,883 3,887 4,408 4,429 4,426 4,408 4,429 Inudstry dummy Yes Yes Yes Inudstry dummy Yes Yes Yes No No No Year dummy Yes Yes Yes Year dummy Yes Yes Yes Yes Yes Yes 0.309 0.304 0.298 R-squared 0.311 0.304 0.307 0.350 0.349 0.348 Observations R-squared Observations 15 16 Table 3.6: Robustness test 3: Regression results of the impact of stock liquidity on stock returns using SGMM method Table 3.7: Impact of stock liquidity on stock returns under the effects of minority shareholder protections Dependent variable: STOCK_RETURN VARIABLES (1) (2) Dependent variable: STOCK_RETURN (3) Weak minority shareholder protection L.STOCK_RETURN AMIHUD -0.056 (0.165) 0.084* (0.046) QUOTED_SPREAD 0.206 (0.190) ASSETS LEVERAGE PROFITABILITY MB Constant Observation Industry dummy Year dummy AR(1) test (p-value) AR(2) test (p-value) Hansen test (p-value) 0.326** (0.133) 0.081 (0.091) 0.082 (0.309) 1.592 (1.310) -0.138 (0.156) 0.000 0.271** (0.111) 0.047 (0.064) -0.030 (0.296) 0.810 (1.107) -0.026 (0.137) -0.631 7.011** (2.918) 0.254** (0.105) -0.067 (0.043) -0.149 (0.251) 1.437 (1.058) -0.047 (0.105) 0.000 (0.000) (0.651) (0.000) 3,927 Yes Yes 0.001 0.531 0.110 3,933 Yes Yes 0.000 0.433 0.331 3,940 Yes Yes 0.000 0.941 0.194 Strong minority shareholder protection period (2) period VARIABLES (1) AMIHUD 0.030*** 0.028 (0.010) (0.030) 5.037** (2.289) ZERO_VOLUME BETA 0.015 (0.048) (3) (4) (5) (6) QUOTED_SPRE AD 1.931*** 2.753 (0.694) (1.876) ZERO_VOLUM 4.507*** E 2.740 (0.739) -0.026 -0.026 -0.024 (0.019) (0.019) 0.101*** 0.100*** (0.032) (0.031) (0.031) 0.608*** 0.599*** (0.034) 0.566*** (0.033) (0.127) (0.121) (0.122) -0.523*** (0.096) -0.538*** -0.527*** -1.459*** -1.436*** -1.399*** (0.095) (0.093) (0.280) (0.280) (0.281) 1.955*** 1.957*** 1.916*** 0.888* 0.988** 0.838* (0.246) (0.246) (0.251) (0.477) (0.496) (0.476) 0.179*** 0.181*** 0.183*** 0.248*** 0.243*** 0.254*** (0.040) (0.040) (0.041) (0.080) (0.079) (0.081) -1.285*** -1.192*** -1.154*** -6.271*** -6.174*** -5.748*** (0.314) (0.302) (0.287) (1.257) (1.170) (1.138) 0.020 (0.019) ASSETS 0.102*** (0.034) LEVERAGE (1.776) 0.019 BETA 0.019 PROFITABILIT Y MB Constant 3.6 Impact of minority shareholder protection on the relationship between stock Observation 3,348 3,353 3,358 1,060 1,076 1,068 liquidity and stock returns Industry dummy Yes Yes Yes Yes Yes Yes Year dummy Yes Yes Yes Yes Yes Yes R-squared 0.431 0.432 0.435 0.385 0.387 0.382 This thesis will divide the sample into two sub-samples, in which one subsample will include the observations before 2017 (the period when the minority shareholder protection is weak) and one sub-sample will include the observations from 2017 to 2019 (the period when the minority shareholder protection is strong) 17 18 CHAPTER 4: IMPACT OF LIQUIDITY ON FIRM VALUE The results from column (1) to (3) show that the coefficients of stock liquidity variables are positive and statistically significant, suggesting that the negative impact of stock liquidity on stock returns exists during the period of weak minority shareholder protection In contrast, the results from column (4) to (6) indicate that the coefficients of stock liquidity variables are statistically insignificant, implying that the stock liquidity does not exert any impact on stock returns when the minority shareholder protection is strong 4.1 Summary Statistics Mean of Q Tobin is 0,796 This value being less than shows that market value of total asset is lower than book value of total asset On other hand, this indicates that the listed companies perform not very well Secondly, mean of leverage is 0.364 with max value and value 0.913 and 0, respectively, this result shows that some company use more debt in their capital structure, some company not use debt to finance their activity Thirdly, we can see that variation of Amidud and Quoted-Spread are significant Table 4.1: Summary statistics Variables TOBINQ LEVERAGE AMIHUD QUOTED_SPREAD ZERO SALES FIXED_ASSETS PROFITABILITY MTB TAX_SHIELD CASH_RATIO Obsevation Mean SD Min Max 4,437 4,437 4,408 4,429 4,426 4,432 4,431 4,437 4,437 4,425 4,432 0.796 0.364 5.195 0.037 0.007 10.128 0.267 0.096 1.137 0.133 0.238 0.508 0.281 2.391 0.031 0.013 1.502 0.216 0.078 0.901 0.083 0.226 0.156 0.000 0.216 0.003 0.000 6.390 0.002 -0.103 0.210 -0.041 0.003 3.306 0.913 9.406 0.139 0.071 14.062 0.878 0.393 5.670 0.379 0.891 The Table 4.2 inllustrates matrix correlation Firm value, AMIHUD and are negatively correlated Leverage and other variable are positively QUOTED_SPREAD 19 20 Bảng 4.2: Correlation (1) (1) TOBINQ (2) LEVERAGE (2) (3) (4) (5) (6) Table 4.3: Impact of stock liquidity on firm value- OLS (7) (8) (9) (10) (11) 1.000 -0.330 Dependent: TOBINQ VARIABLES (1) (2) (3) 1.000 (3) AMIHUD -0.305 0.093 1.000 (4) QUOTED_SPREAD (5) ZERO -0.189 -0.159 0.031 0.131 0.718 0.186 AMIHUD 1.000 0.289 -0.031*** (0.004) QUOTED_SPREAD 1.000 (6) SALES 0.188 0.236 -0.520 -0.436 -0.136 1.000 (7) FIXED_ASSETS (8) PROFITABILITY (9) MTB 0.111 0.600 0.858 0.125 -0.457 -0.384 -0.027 -0.170 -0.308 -0.033 -0.174 -0.147 -0.003 -0.156 -0.179 0.025 0.122 0.244 1.000 0.001 -0.001 1.000 0.491 1.000 (10) TAX_SHIELD (11) CASH_RATIO 0.091 0.335 -0.450 -0.467 -0.062 -0.153 -0.020 -0.108 -0.082 -0.072 0.042 -0.008 -0.184 0.082 0.291 0.368 0.178 0.278 -0.731 (0.461) ZERO SALES 1.000 0.211 LEVERAGE 1.000 PROFITABILITY 4.2 The empirical result of impact of liquidity on firm value The result of 4.3 shows that coefficients of Amihud (AMIHUD) and Zero which refer to liquidity are negative and significant by 1% (p-value < 5%) This result implies that if liquidity of stock increase (Amihud and QUOTED_SPREAD decrease) then the firm value will increase Economiclly, the result of colume indicates that standard deviation of Amihud decreases then increasing Q Tobin by 9.31% This matches opinion of agency cost and signal theory and similar to result of Fang et al (2009) and Nguyen et al (2016) and support the Hypothesis CASH_RATIO Constant Số lượng quan sát Biến giả ngành công nghiệp Biến giả năm R-squared 0.010 (0.012) -0.011 (0.049) 3.358*** (0.243) 0.214*** (0.071) 0.517*** (0.141) 0.031*** (0.012) -0.057 (0.049) 3.317*** (0.244) 0.240*** (0.073) 0.187 (0.143) -2.786*** (0.536) 0.032*** (0.011) -0.038 (0.049) 3.330*** (0.247) 0.252*** (0.072) 0.336** (0.141) 4,398 Có Có 0.465 4,419 Có Có 0.448 4,416 Có Có 0.454 4.3 Impact of stock liquidity on capital structure The result of 4.5 implying a negative relationship between stock liquidity and leverage Economiclly, the result of colume shows that standard deviation of Amihud will decrease using leverage of listed companies by 13.79% 21 22 Table 4.5: Impact of stock liquidity on leverage - OLS CHAPTER RESULT AND SUGGESTION Dependent: LEVERAGE VARIABLES AMIHUD (1) (2) PROFITABILITY MTB TAX_SHIELD Constant Số lượng quan sát Biến giả ngành công nghiệp Biến giả năm R-squared return of listed companies Because investors require a higher return when investing in 1.115*** (0.216) ZERO FIXED_ASSETS 5.1 Result In conlusion, the study shows incearsing of stock liquidity will affect negatively 0.021*** (0.003) QUOTED_SPREAD SALES (3) stocks with low liquidity In case of of strong shareholder protection, shareholders may 0.081*** (0.005) 0.157*** (0.034) -0.837*** (0.086) -0.075*** 0.075*** (0.005) 0.156*** (0.034) -0.807*** (0.088) -0.081*** 1.457*** (0.346) 0.066*** (0.005) 0.157*** (0.034) -0.844*** (0.086) -0.076*** (0.007) -1.078*** (0.072) -0.362*** (0.075) 4,387 Có Có 0.524 (0.007) -1.083*** (0.071) -0.263*** (0.072) 4,408 Có Có 0.514 (0.007) -1.061*** (0.072) -0.160** (0.071) 4,405 Có Có 0.506 not be well concerned about the stock's illiquidity and therefore not require a corresponding risk premium The thesis shows that stock liquidity has a positive effect on firm value and has a negative impact on financial leverage of listed companies If the liquidity of a company's stock increases, this firm will tend to reduce the use of debt, thereby increasing the value of firm 5.2 Suggestions - Enhance participation of investors in stock market, i.e attracting foreign investors, - Restructring ownership structure by decreasing state ownership - Enhance investor protection in corporate governance - Improve the quality of information disclosure - Improving the information technology system in securities transactions 23 CONCLUSSION Liquidity and stock return play important role of corporate financial management A company's stock liquidity can affect stock return and, in turn, influence its financial and investment decisions, which in turn impacts its value The right to protect minor shareholders in particular and to protect investors in general in a country is also one of the issues that attract the attention of not only many scholars in the world but also many investors business management The thesis focuses on corporate stock liquidity, corporate stock yield, firm value and financial leverage The thesis results show that stock liquidity has a negative relationship with stock returns Moreover, this relationship only exists when the right to protect small shareholders is weak In addition, the results of the thesis also show that stock liquidity has a positive relationship with firm value and has a negative relationship with financial leverage of enterprises Besides, the results of the thesis show that corporate stock liquidity has a direct and indirect impact (through corporate capital structure) to increase corporate value The research results of the thesis are the basis to make a suggestions of recommendations for the Vietnamese government and recommendation for listed companies in Vietnam Basically, these recommendations are intended to increase the liquidity of corporate shares and increase investor protection in Vietnam  ... return) exists in Australian during 1994-1998 Batten and Vo (2014) indicate a positive relationship between stock liquidity and stock return in Vietnam from 2007 to 2010 This means when stock liquidity... means when stock liquidity increases, the stock returns also increase Batten and Vo (2014) argue that this results is due to Vietnam has not penetrated into the world economy and thus stock liquidity... Yes Yes Year dummy Yes Yes Yes 0.313 0.308 0.309 R-squared 13 14 3.4 Kiểm tra tính vững kết nghiên cứu Table 3.5: Robustness test 2: Regression results of the impact of stock liquidity Table