(Luận văn) the relation between stock price volatility and firm characteristics of vietnamese listed firms on ho chi minh city stock exchange luận văn thạc sĩ

UNIVERSITY OF ECONOMICS HO CHI MINH CITY t to International School of Business ng hi ep w n lo ad ju y th NGUYEN HOANG MINH TRI yi pl ua al n THE RELATION BETWEEN STOCK n va ll fu PRICE VOLATILITY AND FIRM oi m at nh CHARACTERISTICS OF z z VIETNAMESE LISTED FIRMS ON HO ht vb k jm CHI MINH CITY STOCK EXCHANGE om l.c gm MASTER OF BUSINESS (Honours) an Lu n va ey t re Ho Chi Minh City - 2014 UNIVERSITY OF ECONOMICS HO CHI MINH CITY t to International School of Business ng hi ep w n lo ad ju y th NGUYEN HOANG MINH TRI yi pl THE RELATION BETWEEN STOCK PRICE VOLATILITY AND FIRM CHARACTERISTICS OF VIETNAMESE LISTED FIRMS ON HO CHI MINH CITY STOCK EXCHANGE n ua al n va ll fu oi m at nh z z k jm ht vb MASTER OF BUSINESS (Honours) an Lu SUPERVISOR: Dr PHAM PHU QUOC om l.c gm ID: 22110071 n va ey t re Ho Chi Minh City – 2014 ACKNOWLEDGEMENTS t to ng Firstly, I would like to express my deep gratitude to Dr Pham Phu Quoc, hi ep my supervisor who has given highly support and valuable advices during the process of my conducting the research Especially, I am grateful for his w n lo enthusiasm in answering, reminding as well as his feedback, guidance and ad ju y th correction thank to that I can able to accomplish this thesis yi pl Second, I would like to thank Prof Sarath Delpachitra of Flinders al n ua University Australia and invited lecturer at International School of Business n va (ISB) – University of Economics Ho Chi Minh City (UEH) for his review and ll fu revision my thesis oi m at nh Third, I would like to express profound gratitude to Dr.Dinh Thai Hoang z who taught me the methodology of data analysis, and give me guidance in data z vb analysis of this thesis as well jm ht k Next, I would like to express my sincere gratitude to all of my lecturers at gm om l.c International School of Business (ISB) – University of Economics Ho Chi Minh City (UEH) who have transmitted their knowledge and experience to me during an Lu my master course Furthermore, the enthusiastic assistance of the ISB’s n va executive board and staffs was greatly appreciated who have shared their knowledge, supported, and worked with me during the i ey t re Last but not least, I would also want to thank my friends and classmates time of my studying at ISB Without their continual encouragement and t to understanding, I would not have been able to complete this journey It is very ng fortunate for me to have such wonderful friends and supporters in my life hi ep With my appreciation w n lo ad ju y th yi pl Nguyen Hoang Minh Tri n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re ii STATEMENT OF AUTHORSHIP t to I hereby declare that this submission is my own work and except where ng hi due reference is made; this thesis contains no material previously published or ep written by another person(s) w This thesis does not contain material extracted in whole or in part from a n lo ad thesis or report presented for another degree or diploma at University of y th Economics Ho Chi Minh City (UEH), International School of Business (ISB), or ju yi any other education institution pl n ua al n va ll fu oi m Nguyen Hoang Minh Tri nh at May 2014 z z k jm ht vb om l.c gm an Lu n va ey t re iii ABSTRACT t to This paper attempts to determine stock price volatility in the Vietnamese ng hi stock market using a rich and detailed data set, including both market data and ep firm characteristics In particular, this research aim to investigate whether w firm’s characteristics affect stock price volatility and examines the relation n lo ad between stock price volatility and firm characteristics of Vietnamese listed y th firms on Ho Chi Minh City Stock Exchange A sample of 110 listed ju yi companies in Vietnam stock market is examined for a period from 2008 to 2012 pl al n ua The empirical estimation is based on panel data modeling technique The n va findings of the paper indicate that stock price volatility is negative affected by ll fu firm leverage, positively influenced by asset growth rate and firm size firm m oi Meanwhile, this study find out that dividend yield and dividend pay-out ratio nh at insignificant to the stock price volatility in Vietnam stock market z z vb jm ht Keywords: Stock price volatility, firm characteristics, Vietnam stock k market, panel data om l.c gm an Lu n va ey t re iv Table of Contents t to ACKNOWLEDGEMENTS i ng hi STATEMENT OF AUTHORSHIP iii ep ABSTRACT iv w n lo ABBREVIATION viii ad INTRODUCTION yi CHAPTER ju y th LIST OF TABLES ix pl Introduction 1.2 Research background 1.3 Research objectives and research questions 1.4 Research scope 1.5 Thesis contributions 1.6 Structure of the thesis n ua al 1.1 n va ll fu oi m at nh z z LITERATURE REVIEW ht vb CHAPTER Introduction 2.2 Stock price volatility 2.3 Stock price volatility and dividend policy 10 2.4 Stock price volatility and firm age 13 2.5 Stock price volatility and trading liquidity 13 2.6 Other firm’s characteristics and stock price volatility 14 2.7 Developing empirical research hypotheses 15 2.7.1 Dividend yield and dividend payout ratio 17 2.7.2 Firm Leverage 19 k jm 2.1 om l.c gm an Lu n va ey t re v t to ng 2.7.3 Asset growth rate 21 2.7.4 Firm size 22 2.8 Chapter summary 24 hi ep CHAPTER Introduction 25 w 3.1 DATA AND METHODOLOGY 25 n Data sources 25 ad Variables: 26 ju y th 3.3 lo 3.2 Dependent variable -Price volatility (PV) 26 3.3.2 Independent variables -Firm characteristics 27 3.4 Methodology 28 3.4.1 Multiple regression 29 3.4.2 Ordinary Least Square (OLS) regression 30 3.5 Chapter summary 30 yi 3.3.1 pl n ua al n va ll fu oi m at nh CHAPTER EMPIRICAL RESULTS 31 z z Introduction 31 4.2 Descriptive Statistics and Correlation Analysis 31 4.2.1 Descriptive Statistics 31 4.2.2 Correlation Analysis amongst Variables 32 4.3 Multiple Linear Regressions Analysis 34 4.3.1 Regression analysis 34 4.3.2 Hypothesis test 36 4.4 Chapter Summary 41 k jm ht vb 4.1 om l.c gm an Lu ey vi t re Reviews of findings 42 n 5.1 CONCLUSION 42 va CHAPTER t to ng 5.2 Contributions 43 5.3 Implications 44 5.4 Limitations and recommendations for future researches 45 hi ep References 47 w APPENDIX A: LIST OF SAMPLE COMPANIES 54 n lo ad APPENDIX B REGRESSION RESULT 57 ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re vii ABBREVIATION t to ng hi ep AGE Firm age ASGR Asset growth rate CURR Current ratio Dividend yield w DY n lo y th EV Earnings Before Interest and Tax ad EBIT Earning volatility ju yi HNX Hanoi Stock Exchange pl al Ho Chi Minh City Stock Exchange IPO Initial Public Offer LEVR Firm leverage OLS Ordinary Least Square POR Payout ratio PV Price volatility ROA Return on assets ROE Return on equity SIZE Firm size TOVR Liquidity n ua HOSE n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re viii 5.3 Implications t to These findings offer several useful insights for academics, firm managers, ng hi investors, and policymakers ep Regarding academics, this thesis provides vital implications The evidence w n lo that dividend yield and dividend payout ratio which are two important factors ad ju y th affect stock price volatility in most of stock market are insignificant in the case of yi Vietnamese stock market This result show that Vietnamese stock price is not pl ua al influenced by the dividend policy of companies and this thing implicate that ones n who invest in Vietnamese stock market seem to be speculators not long run va n investors These findings also implicate that Vietnamese Stock market and ll fu oi m investor in Vietnamese stock market have own distinctive Therefore, this finding at nh suggests that future researches on Vietnamese stock price volatility should z address speculative investor as a determinant of the examination z vb jm ht For firm managers, the finding of this thesis show that these key firm k characteristics have a relation to stock price volatility Therefore, this finding gm om l.c implicate that managers must know how to use their firm attributes to increase their firm stock price then to increase the market value of their firm For an Lu example, the managers should use their firm leverage as a tool of financing at a n va ratio of most appropriateness to reduce financial risk and increase firm operating ey 44 t re efficiency then make the firm stock price increase For investors, the findings of this thesis implicate that investors in t to Vietnamese stock market should invest in stock on the firm with what kind of ng characteristics to match their expected return hi ep For policymakers, the findings of this thesis implicate that Vietnamese w n stock market is more speculative Therefore, policymaker should give out lo ad regulations how to reduce speculation and encourage long time investment, and y th ju then Vietnamese stock market will develop stably yi pl Limitations and recommendations for future researches n ua al 5.4 n va This thesis has a number of limitations Firstly, due to the constraints of ll fu time and data availability, the data utilized in this dissertation solely consist of m oi 110 companies listed on HOSE in five years and exclude data of financial firms nh at as well as firms listed on HNX In addition, this study in ideal situation should z z employ quarterly data for analysis However, there is a large difference between vb jm ht the internal financial statements of firms and the audited reports Moreover, as k the recent regulation, only annual audited reports are required to submit, so that gm om l.c this study use annual data from audited reports instead of quarterly or monthly for more accurate The annually frequency of data may also distract the an Lu results.These shorted data limits the generalization of the findings Therefore, n va quarterly data should be obtained for further research to enrich the findings 45 ey investors’ characteristics in the relation to stock price volatility to examine Since t re Second, this thesis did not put the influences of firm management and both management and investors are concerned about the volatility of stock price t to In addition, each kind of investors (local or foreign investors, individual or ng institutional investors) have their own investment decision and that may affect hi ep stock price volatility differently Therefore, these factors should be examined in w future research n lo ad Finally, the amplitude of stock price change in Vietnamese stock market is y th ju control by the government so it limited the effect of other factors influencing to yi pl stock price volatility This thesis has not taken this factor in to examination when al n ua investigate the determinants affected stock price in Vietnamese stock market va These limitations of this thesis are a suggestion for further researches n ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 46 References Affleck-Graves,J.& Miller,R.(2003).The Information Content of Calls of Debt: t to ng Evidence from Long-run Stock Returns Journal 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The Case of Latin America oi m at nh International Journal of Forecasting,14,215-225 z z Sabri, N R.(2004) Volatility and Market Crisis in Emerging Economies k jm ht vb Review of Accounting and Finance,3 (3),59-83 Condition of Risk Journal of Finance,19,425-442 om l.c gm Sharpe, W.(1964) Capital Asset Prices: A Theory of Market Equilibrium under the n va Science, New Series, 235(4784), 33-37 an Lu Shiller, R J.( 1987) The Volatility of Stock Market Prices ey t re Song,F.,Tan, H &Wu,Y.(2005) Trade Size, Trade Frequency and the Volatility-volume Relation The Journal of Risk Finance,6(5),424-437 52 Spiess,K & Affleck-Graves, J.(1999) The Long-run Performance of Stock Returns t to Following Debt Offerings Journal of Financial Economics,54,45–73 ng hi Thaler, R.(1987) Anomalies: Weekend, Holiday, Turn of the Month, and Intraday ep Effect Journal of Economic Perspectives,1,169-178 w n lo Travlos,N., Trigeorgis,L.,& Vafeas, N.(2001) Shareholder Wealth Effects of Dividend ad ju y th Policy Changes in an Emerging Stock Market: The Case of Cyprus yi Multinational Finance Journal , (2), 87-112 pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 53 APPENDIX A: LIST OF SAMPLE COMPANIES t to No TICKER ng hi ep w ABT ACL AGF ALP ANV BBC BHS BMC BMP BT6 CDC CII n lo ad ll oi m at nh z z Website www.aquatexbentre.com www.clfish.com www.agifish.com.vn www.alphanam.com.vn www.navicorp.com.vn/ www.bibica.com.vn www.bhs.vn www.bimico.binhdinh.com.vn www.binhminhplastic.com www.concrete620.com www.acic.com.vn www.cii.com.vn www.catloi.com.vn www.comeco.vn/ www.changyih-ceramic.com www.donac.net www.hoaan.com.vn www.dhgpharma.com.vn www.dic-intraco.vn www.domesco.com www.damphumy.vn www.doruco.com.vn www.drc.com.vn www.dothanhtech.com www.fimexvn.com www.fpt.com.vn www.gilimex.com k jm ht vb l.c www.garmexsaigon-gmc.com www.gemadept.com.vn www.tac.com.vn http://www.congtyhai.com.vn www.hapaco.vn www.has.vn om an Lu n va www.haxaco.com.vn www.hoabinhcorporation.com www.hodeco.com.vn ey t re 54 gm HMC fu 37 n HAX HBC HDC va 34 35 36 n GMC GMD GTA HAI HAP HAS ua 28 29 30 31 32 33 al DHA DHG DIC DMC DPM DPR DRC DTT FMC FPT GIL pl 17 18 19 20 21 22 23 24 25 26 27 yi CLC COM CYC DCT ju 13 14 15 16 y th 10 11 12 LISTED DATE Bentre Aquaproduct Import &Export JSC 25/12/2006 Cuulong Fish Joint Stock Company 05/09/2007 An Giang Fisheries Import and Export JSC 02/05/2002 Alphanam Joint Stock Company 18/12/2007 Nam Viet Corporation 07/12/2007 Bibica Corporation 19/12/2001 Bien Hoa Sugar Joint Stock Co 20/12/2006 Binh Dinh Minerals Joint Stock Co 28/12/2006 Binh Minh Plastics Joint-stock Co 11/07/2006 Beton Corporation 18/04/2002 Chuong Duong Joint Stock Company 01/11/2007 Ho Chi Minh City Infrastructure Investment 18/05/2006 Joint Stock Company Cat Loi Joint Stock Company 16/11/2006 Materials - Petroleum Joint Stock Co 07/08/2006 Chang Yih Ceramic Joint Stock Co 31/07/2006 Dongnai Roofsheet & Construction Material 10/10/2006 Joint Stock Company Hoa An Joint stock company 14/04/2004 Hau Giang Pharmaceutical JSC 21/12/2006 DIC Investment and Trading JSC 28/12/2006 Domesco Medical Import - Export JSC 25/12/2006 Petrovietnam Fertilizer and Chemical Co 05/11/2007 Dong Phu Rubber Joint Stock Co 30/11/2007 Da Nang Rubber Joint Stock Co 29/12/2006 Do Thanh Technology Corporation 22/12/2006 Sao Ta Foods Joint Stock Co 07/12/2006 FPT Corporation 13/12/2006 Binh Thanh Import - Export Product and 02/01/2002 Trade Joint Stock Co SaiGon Garment Manufacturing Trade JSC 22/12/2006 Gemadept Corporation 22/04/2002 Thuan An Wood Processing JSC 23/07/2007 H.A.I Join Stock Company 27/12/2006 HAPACO Joint Stock Company 04/08/2000 Hanoi Post&Telecomunication 19/12/2002 Construction and Installation JSC Hang Xanh Motors Service JSC 26/12/2006 Hoa Binh Construction & Real Estate Co 27/12/2006 Ba Ria – Vung Tau House Development 08/10/2007 Joint Stock Company HoChiMinh City Metal Corporation 21/12/2006 COMPANY NAME www.metalhcm.com.vn No TICKER t to ng hi HPG HRC HSI 41 42 43 44 45 46 HT1 HTV ICF IMP ITA KBC ep 38 39 40 COMPANY NAME w n lo ad n va ll fu oi m at nh www.hatien1.com.vn 12/12/2005 19/08/2002 02/11/2005 25/12/2007 15/12/2000 20/12/2006 27/12/2006 28/12/2006 21/03/2005 27/12/2006 22/12/2006 21/12/2006 21/12/2007 12/12/2006 22/12/2006 12/09/2007 24/11/2006 28/12/2006 11/07/2005 19/05/2006 25/12/2006 www.kinhdofood.com www.khahomex.com.vn z z www.incomfish.com www.imexpharm.com www.tantaocity.com www.kinhbaccity.com www.lilama10.com.vn http://www.lbm-vn.vn www.lugiaco.com.vn www.mychau.com.vn www.marinahanoi.com www.minhphu.com www.navifico-corp.com www.vinaseed.com.vn www.lideco.vn www.pinaco.com www.panpacific.vn www.petrosetco.com.vn www.pgas.com.vn www.phuongnamvh.com www.ppc.evn.vn www.pticjsc.com k jm ht l.c 05/12/2006 www.pvdrilling.com.vn om 10/12/2007 www.pvtrans.com 06/12/2006 www.rangdongvn.com an Lu www.reecorp.com www.royal-gaming.com www.sacom.com.vn www.savimex.com www.sc5.vn www.chuongduong.com.vn www.sfcvn.com.vn n ey t re 28/07/2000 31/07/2007 28/07/2000 09/05/2002 18/10/2007 25/12/2006 21/09/2004 va 55 vb REE RIC SAM SAV SC5 SCD SFC n 71 72 73 74 75 76 77 ua PVT RAL al 69 70 pl PVD yi 68 ju KDC KHA KHP L10 LAF LBM LGC MCP MHC MPC NAV NSC NTL PAC PAN PET PGC PJT PNC PPC PTC y th 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 13/11/2007 05/01/2006 18/12/2006 04/12/2006 15/11/2006 18/12/2007 gm Hoa Phat Group Joint Stock Co Hoa Binh Rubber Joint Stock Co General Materials Biochemistry Fertilizer Joint Stock Company Ha Tien Cement Joint Stock Co Ha Tien Transport Joint Stock Co Investment Commerce Fisheries Co Imexpharm Pharmaceutical JSC Tan Tao Investment Industry Corp KinhBac City Developement Share Holding Corporation Kinh Do Corporation Khanh Hoi Import Export JSC Khanh Hoa Power Joint Stock Co LILAMA 10 Joint Stock Company LongAn Food Processing Export JSC Lam Dong Building Material JSC LuGia Mechanical Electric JSC My Chau Printing & Packaging Holdings Co Hanoi Maritime Holding Company Minh Phu Seafood Joint Stock Co Nam Viet Joint Stock Company National Seed JSC Tu Liem Urban Development JSC Dry Cell and Storage Battery JSC Pan Pacific Corporation Petrovietnam General Services JSC Petrolimex Gas Joint Stock Company Petrolimex Joint Stock Tanker Co Phuong Nam Cultural Joint Stock Co Pha Lai Thermal Power Joint Stock Co Post and Telecommunications Investment and Construction JSC PetroVietNam Drilling and Well Services Joint Stock Company Petrovietnam Transportation Corporation Rang Dong Light Sources and Vacuum Flask Joint Stock Company Refrigeration Electrical Engineering Co Royal International Corporation SACOM Development And Investment Co Savimex Corporation Construction Joint Stock Company No Chuong Duong Beverages Company Saigon Fuel Company LISTED Website DATE 15/11/2007 www.hoaphat.com.vn 26/12/2006 www.horuco.com.vn 21/12/2007 www.hsi.com.vn No TICKER t to ng hi SFI SJD SJS 81 82 83 84 85 86 SMC SSC ST8 TAC TBC TCM ep 78 79 80 COMPANY NAME w n lo ad Sea And Air Freight International Can Don Hydro Power Joint Stocks Co Song Da Urban & Industrial Zone Investment and Development JSC SMC Trading- Investment Joint Stock Co Southern Seed Joint-stock Company Sieu Thanh Joint Stock Company Tuong An Vegetable Oil Joint Stock Co Thac Ba Hydropower Joint-Stock Co Thanh Cong Textile Garment Investment Trading JSC TAICERA Enterprise Co., Ltd Thu Duc Housing Development Corp Transforwarding Warehousing JSC Thien Nam Trading & Import-Export Corp Thong Nhat Rubber Joint Stock Co Tan Dai Hung Plastic Joint Stock Co Tay Ninh Rubber Joint Stock Company Seafood Joint Stock Company No Techno – Agricultural Supplying JSC Tan Tien Plastic Packaging JSC Taya (VIET NAM) Electric Wire and Cable Joint Stock Company IDICO Urban and House Development Joint Stock Company Vinafco Joint Stock Corporation Vinh Hoan Corporation VINCOM Joint Stock Company Vien Dong Investment Development Trading Corporation Viet Nam Petroleum Transport JSC Vietnam - Itaty Steel JSC Vietnam Electricity Construction JSC Vietnam Dairy Products JSC Vegetable Oil Packing JSC Vinh Son - Song Hinh Hydropower JSC Viettronics TanBinh Joint Stock Co Vietnam Tanker Joint Stock Company n va ll fu 30/10/2006 01/03/2005 18/12/2007 26/12/2006 29/08/2006 15/10/2007 www.smc.vn www.ssc.com.vn www.sieuthanhricoh.com.vn www.tuongan.com.vn www.thacba.evn.com.vn www.thanhcong.com.vn 29/12/2006 14/12/2006 04/08/2000 20/07/2005 22/08/2007 28/11/2007 24/07/2007 08/08/2002 04/10/2007 05/12/2006 15/02/2006 www.taicera.com www.thuduchouse.com www.transimexsaigon.com www.tenimex-tna.com.vn www.trcbrvt.com www.tandaihungplastic.com www.taniruco.com www.seapriexcono4.com www.tsccantho.com.vn www.tapack.com oi m VIP VIS VNE VNM VPK VSH VTB VTO n 103 104 105 106 107 108 109 110 ua VFC VHC VIC VID al 99 100 101 102 pl UIC yi 98 ju TCR TDH TMS TNA TNC TPC TRC TS4 TSC TTP TYA y th 87 88 89 90 91 92 93 94 95 96 97 LISTED Website DATE 29/12/2006 www.safi.com.vn 25/12/2006 www.candon.com.vn 06/07/2006 www.sudicosd.com at nh 12/11/2007 www.idico-udico.com.vn www.vinafco.com.vn www.vinhhoan.com.vn www.vincom.com.vn www.vidon.com.vn 21/12/2006 25/12/2006 09/08/2007 19/01/2006 21/12/2006 02/11/2005 27/12/2006 09/10/2007 www.vipco.com.vn/ www.vis.com.vn www.vneco.vn www.vinamilk.com.vn z 24/07/2006 24/12/2007 19/09/2007 25/12/2006 z k jm ht vb om l.c gm an Lu www.vshpc.evn.com.vn www.vtb.com.vn www.viettanker.com.vn n va ey t re 56 APPENDIX B REGRESSION RESULT t to Descriptive Statistics ng Mean Std Deviation N hi ep PV DY 0107 110 099745 0692061 110 11.3541653 110 2016551 110 1416750 110 w 016 n 1.940146 lo POR ad 457071 AGR 174295 Size 13.762582 ju y th LERV 110 yi 1.1648027 pl ua al b Model Summary n Square the Estimate R Square Change F Change df1 329 297 0089 ll a Change Statistics Adjusted R Std Error of fu 574 R Square n R va Model 10.206 df2 Sig F Change Watson 104 000 2.316 oi m a Predictors: (Constant), Size, POR, LERV, DY, AGR 329 Durbin- nh b Dependent Variable: PV at z vb Standardized Collinearity ht Unstandardized a z Coefficients Coefficients Model Coefficients t jm Correlations Sig Statistics k Beta Zero-order Partial Part Tolerance VIF l.c Std Error gm B (Constant) -.015 012 DY -.017 013 -.108 -1.240 218 -.213 -.121 -.100 854 POR -4.055 000 -.043 -.530 598 -.117 -.052 -.043 971 LERV -.020 005 -.379 -4.332 000 -.185 -.391 -.348 842 -1.185 239 om 1.171 an Lu 1.030 va 1.187 n 025 007 329 3.393 001 339 316 272 687 1.456 Size 003 001 299 3.013 003 399 283 242 654 1.528 a Dependent Variable: PV 57 ey t re AGR t to ng hi ep w n lo ad ju y th yi pl n ua al n va ll fu oi m at nh z z k jm ht vb om l.c gm an Lu n va ey t re 58