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HoChiMinhCity,April2022 THESTATEBANKOFVIETNAM MINISTRYOFEDUCATIONA NDTRAINING BANKINGUNIVERSITYOF HOCHIMINHCITY NGUYENTHIENNHANEXAMINING HERDINGBEHAVIORIN VIETNAMESESTOCKMARKET GRADUATION THESISMAJOR[.]
THESTATEBANKOFVIETNAM MINISTRYOFEDUCATIONA NDTRAINING BANKINGUNIVERSITYOF HOCHIMINHCITY NGUYENTHIENNHANEXAMINING HERDINGBEHAVIORIN VIETNAMESESTOCKMARKET GRADUATION THESISMAJOR: FINANCE – BANKINGCODE:52340201 HoChiMinhCity,April2022 THESTATEBANKOFVIETNAM MINISTRYOFEDUCATIONA NDTRAINING BANKINGUNIVERSITYOF HOCHIMINHCITY NGUYENTHIENNHANEXAMINING HERDINGBEHAVIORIN VIETNAMESESTOCKMARKET GRADUATION THESISMAJOR: FINANCE – BANKINGCODE:52340201 ACADEMIC ADVISORDUONGTHITHUY AN,PHD HoChiMinhCity,April2022 DECLARATION Ihonestlydeclarethatthisgraduationthesisentitled“Examiningherdingbehavior in Vietnamese stock market” is the final result of my original researchworkundertheguidanceofPhD.DuongThi ThuyAn, myacademic advisor This thesis has never been submitted for a master's degree at any anywhere elsebefore This thesis is the author's own research and the results of the research aretrustworthy The thesis does not consist of any previously published content orcontent madebyothers except forcitations which arefullycitedinthethesis HoChiMinhCity, April2022 NguyenThienNhan ACKNOWLEDGEMENT First of all, I would like to express my special thanks to my academic advisor,PhD Duong Thi Thuy An Thank you for always supporting me whenever I needyourhelpandalltheknowledgeyouhavetaughtmeduring myuniversityjourney Sedconly, I would like to sincerely thank to my parents, who always take careand encourage me during the time doing this thesis I will never forget the love yougaveme! Last but not least, I want to say thanks to my friend, Bao Phuong, who hasappearedatthe hardesttime to help me LISTOFABBREVIATIONS Abbreviations Definition CCK Chang,ChengandKhoranaModel CH ChristieandHuang’sModel CSAD Cross-sectionalabsolutedeviation EMH EfficientMarketHypothesis GDP GrossDomesticProduct HNX HaNoiStockExchange HS HwangandSalmonModel HSX HoChiMinhStockExchange NS NofingerandSiasModel OLS OrdinaryLeast Squared OTC Over-the-Countermarket QREG QuantileRegession TIP TradingImbalance Picture VND VietnamDong LISTOFTABLES Nameoftables Table2.1.Asummaryofrelevantempiricalresearchaboutherding behavior Page 13 Table3.1 Summaryof dataobservations used inthestudy 19 Table4 S u m m a r y s t a t i s t i c s o f c r o s s sectionalabsolutedeviation 26 andabsolute marketreturn Table4.2.T-testresult 28 Table4.3 Correlationamongvariables 29 Table 4.4.Regression result ofherdingbehaviorin Vietnamesestock market 29 Table4.5.Regressionresultofherdingin upanddown market 30 Table4.6.R e g r e s s i o n r e s u l t o f h e r d i n g i n h i g h a n d l owtrading 31 volume Table4.7.Tablesummaryofregressionresults 32 Table4.8.Summaryof regression results 36 TABLEOFCONTENTS DECLARATION i ACKNOWLEDGEMENT .ii LISTOFABBREVIATIONS iii LISTOF TABLES iv CHAPTER1:INTRODUCTION 1.1 Researchbackground 1.2 Researchgap 1.3 Researchquestion 1.4 Researchobjectives 1.5 Researchscopeandmethodology 1.6 Researchstructure CHAPTER2:LITERATUREREVIEW .7 2.1.Theoreticalliteraturereview 2.3.Herdingindifferentconditions 10 2.2 Empiricalliteraturereview .11 2.3 Hypothesisdevelopment .19 CHAPTER3:RESEARCHMETHODOLOGY .21 3.1 Datacollection andsampledescription 21 3.2 Regression model fortestingthehypotheses 22 3.2.1 Regressionmodel 22 3.2.2 Regression model for estimation the degree of herd in rising and fallingmarket: 24 3.2.3 Regression model for estimation the degree of herd in high and lowvolumetradingmarket: 24 3.3 Regression methodology .25 3.3.1 Researchprocess whenusingOLS 25 3.3.2 Quantileregressionanalysis .25 CHAPTER4:EMPIRICALRESULT 28 4.1 Descriptivestatistics .28 4.2 TestingformeandifferentofCSAD 30 4.3 Correlationanalysisamongvariables 30 4.4 Regressionresult 31 4.4.1 EvidenceofherdingbehaviorinVietnamesestockmarket 31 4.4.2 Herdinginupanddownmarket 32 4.4.3 Herdingbehaviorandtradingvolume 33 4.5 Quantileregressionresult .34 CHAPTER5:CONCLUSIONANDIMPLICATIONS .39 5.1 Conclusion 40 5.2 ImplicationforherdinginVietnamese stockmarket 41 5.3 Limitationsandfurtherresearch direction .42 REFERENCES 43 APPENDICES .48 DescriptiveStatistic .48 Appendix1:Correlationbetweenvariables .51 Appendix2:Regressionresultsto testforthepresenceof herdingbehavior 51 Appendix 3: Regression results to test for the level of herding behavior in up anddownmarkets 51 Appendix4:Regressionresultstotestforthelevelofherdingbehaviorinhighandlowma rkettradingvolume .52 Appendix 5: Quantile regression analysis to test for the presence of herdingbehavior 53 Appendix5:T-test 64 CHAPTER1:INTRODUCTION This chapter depicts the introduction of the research It comprises the researchbackground,researchquestion,researchobjective,researchgap,researchmetho dology,scope,andresearchstructure 1.1 Researchbackground The Vietnamese stock market has experienced 21 years from its foundation in1998, including Ho Chi Minh Stock Exchange (HSX) and Ha Noi Stock Exchange.With only two listed companies at the early stage in 2000, the Vietnamese stockmarket has undergone many ups and downs with lots of memorable milestones OnSeptember 30, 2021, the Vietnamese stock market had 2,133 listed stocks Themarket value has reached over 8.3 million billion VND, equivalent to 133.83% ofGDP(accordingto theStateS e c u r i t i e s Commissionof Vietnam) In the recent two years, this emerging market has entered a new period ofdevelopmentwithmany impressivemileposts.ThevalueoftheVN- Indexhasincreased significantly, especially since March 2020; the Vietnamese stock markethasbrokenmanyrecordsintermsofliquidityaswellasthenumberofnewaccounts.Atthe end of 2021, there were 52 listed companies having capitalizationreaching more than billion USD, VNIndex increased from about 1120 points to1498.28 points for gaining 378 points in ayear, and the average daily tradingvolume was more than 26.560 trillion Dong in 2021 The first outbreak of theCovid- 19pandemicoccurringinMarch2020hasaffectedthemarketindexadversely VN-Index dropped from 1000 to 650 in March 2020, equivalent to losing35% points Afterwards, the market has recovered from the bottom and experiencedamimpressive growthuntil 2021at1498.28 points During the periodfrom March2020toDecember2021,investorsalsoexperiencedmanystrongdownward,unpredi ctable trading sessions and were difficult to explain Then, at each milestonewheretheVN-Indexwasabouttobreakthenewrecordinvalue,themarketexperienced strong declines from 100 points to 200 points So, is the market