Foriegn ownership in viet nam stock market an empirical analysys

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY oOo - TRẦN THANH THẢO FOREIGN OWNERSHIP IN VIETNAM STOCK MARKET : AN EMPIRICAL ANALYSIS MAJOR: BANKING MAJOR CODE: 60.31.12 MASTER THESIS INSTRUCTOR : DR VÕ XUÂN VINH Ho Chi Minh City – 2011 ACKNOWLEDGEMENTS Many individuals have helped improve the quality and completeness of this thesis First and foremost, I wish to express my deepest gratitude to the instructor of my thesis, Dr Vo Xuan Vinh, for his idea, guidance, comments and reviewing my thesis I would also like to express my sincere gratitude to all instructors at the Faculty of Banking and Postgraduate Faculty, University of Economics Ho Chi Minh City for their valuable knowledge and support during my master course I also owe special thanks to my close friends for their valuable supports, encouragement during my thesis and especially, writing the soft-wares which have really help me in collecting, combining and calculating the data I also wish to thank my course-mates, my team-mates and my friends who have helped me in statistical software and given me support as always Last but not least, I am very grateful for the love and support of my family, especially my parents and my elder brother, who give me continuous support at all times Tran Thanh Thao December 2010 i Abstract This thesis investigates the foreign ownership in Vietnam stock market from 2007 to 2010 by employing a rich and detailed dataset In view of informational asymmetry, the research examines the relationship between the foreign ownership level and attributes of Vietnamese listed firms in Ho Chi Minh City Stock Exchange Our main findings are that foreign investors have preference for firms with large size, firms with low dividend yield, firms with low leverage and firms with low volatility of return The foreign investors also avoid firms with dominant shareholders and prefer to invest in firms where they can have influence In other words, the results show that foreign investors favor to invest in firms with low informational asymmetry ii TABLE OF CONTENTS ACKNOWLEDGEMENTS i Abstract ii TABLE OF CONTENTS iii LIST OF FIGURES iv LIST OF TABLES v LIST OF TABLES v ABBREVIATIONS vi PART 1: INTRODUCTION PART 2: LITERATURE REVIEW 11 PART 3: EMPIRICAL RESEARCH HYPOTHESES 15 PART 4: DATA DESCRIPTION 20 PART 5: RESEARCH METHODS 29 PART 6: EMPIRICAL RESULTS 30 PART 7: CONCLUSION 47 REFERENCES 48 APPENDIX A 50 APPENDIX B 56 APPENDIX C 68 iii LIST OF FIGURES Figure 1-1: Market Capitalization 21 iv LIST OF TABLES Table 1: Market Capitalization 21 Table 2: The Statistics of Foreign ownership on the Vietnamese stock market 22 Table 3: Data Descriptive Statistics for 2007 25 Table 4: Data Descriptive Statistics for 2008 26 Table 5: Data Descriptive Statistics for 2009 27 Table 6: Data Descriptive Statistics for the Whole 28 Table 7: Correlation Matrix for 2007 31 Table 8: Correlation Matrix for 2008 32 Table 9: Correlation Matrix for 2009 33 Table 10: Correlation Matrix for the Whole sample 34 Table 11: Regression results 37 Table 12: Panel regression results 38 Table 13: Regression results with dummy 41 Table 14: Panel regression results with dummy 42 Table 15: Panel regression results (quarterly) 45 Table 16: Panel regression results with dummy (quarterly) 46 v ABBREVIATIONS HOSE Ho Chi Minh City Stock Exchange FOWN foreign ownership SIZE market capitalization DIVY dividend yield RETU return BMAR book to market CURR current ratio LEVR leverage ratio ROE return on equity EXPR export rate TOVR turnover rate CONC concentration INDU industry VOLR volatility of return IMF International Monetary Fund IIF Institute of International Finance CAPM Capital Asset Pricing Model ADR American Depositary Receipt vi PART 1: INTRODUCTION The flow of funds to emerging markets has increased sharply in recent years The IMF reports that the aggregate net capital flows to emerging markets increased exponentially from the annual average of US$124 billion during the 1990-1996 to US$285 billion during 2003-2007, reaching a peak of US$617 billion in 2007 and will reach to around US 825 billion in 2010, estimated by the IIF Investors’ interest in these markets surged in response to their prospects for rapid economic growth, financial deregulation and the benefits of international diversification Even though Vietnam initiates the stock market later than many other developed countries, there has been a substantial growth The first stock exchange in Ho Chi Minh City was established in 2000 with four listed companies Increased foreign interest and the privatization of state-owned enterprises lead to a rapid increase in listings At the end of 2010, there are about 290 firms listed on Hose One of the most prominent features in Vietnam stock markets is the rapid increase in the stock ownership level and trading volume by foreign investors over time Increases in foreign ownership are expected to result in an increase in trading volume, the number of trades, visibility and analyst coverage As the importance of foreign investors in Vietnam stock markets increases, both the characteristics of their investment behavior and their impact on stock prices are becoming the interesting topic for discussion However, there is not much published research employing a detailed dataset of foreign investors’ stock ownership and firm characteristics This paper is one of the first to attempt to fill the gap in this field In this paper, we characterize the ownership of foreign investors in Vietnam Stock markets by using a dataset of ownership and attributes of Vietnamese firms listed on Hose; and identify which types of firms that foreign investors in Vietnam stock markets invest It is generally accepted that foreign investors in Vietnam behave like institutional investors as foreign institutional investors account for a large proportion of foreign investment (Coval & Moskowitz 1999; Dahlquist & Robertsson 2001) Therefore, it is assumed that foreign investors in Vietnam stock markets share the same investment strategy as institutional investors Foreign investors tend to be well capitalized foreign financial institutions with a long history of successful investment in other stock markets This category is generally composed of mutual funds, hedge funds, and foreign investment banks Foreign investors alone tend to be momentum investors over all horizons In Vietnam, under regulation that foreign investors are allowed to own up to 30% in commercial banks and 49% in other listed companies Therefore, foreign ownership is more likely to reflect the investment choices of foreign investors with some firm attributes It is theoretically argued that investors diversify their portfolio to take advantage of the gain from diversification The advantages of international diversification are well illustrated in the literature French and Poterba (1991) and Tesar and Werner (1995), for example, argued that diversified international investment dramatically improves the performance of portfolios Theories assuming under-diversification of investor portfolios, such as Levy (1978) and Merton (1987) predicts a positive relationship between idiosyncratic risk and expected return However, investors in reality often not hold perfectly diversified portfolios (Fu 2009) In global markets, investors normally have strong preference for domestic equities and this is well documented as the ‘home bias’ phenomenon by Lewis (1999) In addition, global investors not hold global portfolio as predicted by International CAPM as presented by Solnik (1974) but actually consider specific advantages when selecting their foreign assets (Rhee & Wang 2009) The extent of the home bias puzzle needed to be addressed to provide an insight into factors drive the deviation from the optimal international equity portfolio If investors more generally already hold the optimal portfolio, then the diversification gains are achieved However, the literature suggests that portfolios are not optimal and that the cost in terms of lower return and higher risk is large Lewis (1999) argues that costs of home bias due to forgone gains from international diversification in the range of 20% to almost double of lifetime (permanent) consumption The disproportional holding of stocks is not only evident in international investment, but also applied to domestic portfolio selection (Coval & Moskowitz 1999; Dahlquist & Robertsson 2001) The academic literature attributes the preferences in foreign investors’ firm selection to investment barriers and asymmetric information among investors To avoid the informational asymmetry, foreign investors tend to select firms with certain characteristics Results from many researches show that foreign investors favor firms with certain characteristics, such as large size and low debt ratio (Dahlquist & Robertsson 2001; Kang & Stulz 1997; Lin & Shiu 2003) This paper deepens the understanding of holdings of foreign investors in general and holdings of foreign investors in emerging market like Vietnam in particular By analyzing a rich and detailed firm level dataset of equity ownership, and studying the determinants of foreign ownership in Vietnamese firms, we identify various firm attributes that are common to foreign ownership In particularly, the paper investigates whether foreign investors investing in firms based on some common firm attributes Dependent Variable: FOWN Method: Least Squares Date: 12/05/11 Time: 01:13 Sample: 342 Included observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR -0.791872 0.092163 -0.010774 0.002477 0.028241 0.064075 -0.005723 -0.026024 0.000679 -0.008025 -3.946481 -0.203533 -3.021407 0.197738 0.016072 0.224921 0.025459 0.019845 0.017603 0.003133 0.006847 0.047498 0.024072 1.968800 0.042102 1.145960 -4.004650 5.734244 -0.047903 0.097286 1.423075 3.639947 -1.826730 -3.800716 0.014300 -0.333388 -2.004511 -4.834247 -2.636572 0.0001 0.0000 0.9618 0.9226 0.1557 0.0003 0.0686 0.0002 0.9886 0.7391 0.0458 0.0000 0.0088 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.252145 0.224868 0.128397 5.423831 223.3485 9.243748 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 71 0.141166 0.145837 -1.230108 -1.084340 -1.172038 1.388062 Dependent Variable: FOWN Method: Least Squares Date: 12/05/11 Time: 01:14 Sample: 342 IF TIME = 2007 Included observations: 114 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.497438 0.057842 -1.407341 0.098893 0.023744 0.146659 -0.009089 -0.022368 0.124952 -0.000943 -5.505350 -0.294470 -2.209734 0.109741 0.117417 0.106376 0.114400 0.099691 0.051496 0.001112 0.465697 0.036005 1.078860 0.081139 0.024680 0.137725 0.006239 0.019237 0.176326 0.050598 4.962670 0.081098 1.296138 0.066147 0.072637 0.038566 0.065910 0.054920 0.054700 0.068652 -1.068159 1.606515 -1.304470 1.218801 0.962076 1.064871 -1.456815 -1.162811 0.708642 -0.018634 -1.109352 -3.631028 -1.704861 1.659047 1.616491 2.758293 1.735704 1.815184 0.941442 0.016200 0.2882 0.1115 0.1953 0.2260 0.3385 0.2897 0.1485 0.2478 0.4803 0.9852 0.2701 0.0005 0.0915 0.1004 0.1093 0.0070 0.0859 0.0727 0.3489 0.9871 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic 0.311883 0.172795 0.130406 1.598544 81.46600 2.242349 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Prob(F-statistic) 72 0.101021 0.143381 -1.078351 -0.598316 -0.883532 0.005661 Dependent Variable: FOWN Method: Least Squares Date: 12/05/11 Time: 01:14 Sample: 342 IF TIME = 2008 Included observations: 114 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.810294 0.111975 -0.017050 -0.067129 -0.003747 0.029389 -0.007110 -0.035455 -0.027978 -0.030254 -10.87300 -0.254547 -6.099200 0.008246 0.037018 -0.005375 0.003191 -0.017572 0.017831 -0.073742 0.444537 0.033790 0.329418 0.079073 0.126641 0.026962 0.005288 0.012333 0.069125 0.048197 7.892959 0.087367 6.297755 0.066656 0.072566 0.039043 0.067235 0.054496 0.057443 0.070598 -1.822784 3.313813 -0.051759 -0.848950 -0.029590 1.090013 -1.344573 -2.874884 -0.404746 -0.627708 -1.377557 -2.913549 -0.968472 0.123712 0.510136 -0.137667 0.047457 -0.322440 0.310420 -1.044537 0.0715 0.0013 0.9588 0.3981 0.9765 0.2785 0.1820 0.0050 0.6866 0.5317 0.1716 0.0045 0.3353 0.9018 0.6112 0.8908 0.9622 0.7478 0.7569 0.2989 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic 0.359536 0.230080 0.132638 1.653732 79.53136 2.777293 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Prob(F-statistic) 73 0.174528 0.151163 -1.044410 -0.564375 -0.849591 0.000590 Dependent Variable: FOWN Method: Least Squares Date: 12/05/11 Time: 01:15 Sample: 342 IF TIME = 2009 Included observations: 114 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.371727 0.085455 -0.887495 0.126109 0.062695 -0.032706 -0.006820 -0.035832 -0.129990 -0.049370 -2.012751 -0.163335 -10.44704 0.007819 0.040102 0.002072 -0.010135 -0.046980 -0.044376 -0.063852 0.393361 0.028211 0.420418 0.071866 0.089620 0.041156 0.005885 0.010293 0.107364 0.041074 2.617971 0.074861 4.971144 0.054993 0.059005 0.031141 0.057436 0.044849 0.047510 0.059318 -0.945002 3.029151 -2.110981 1.754782 0.699569 -0.794688 -1.158832 -3.481169 -1.210743 -1.201997 -0.768821 -2.181830 -2.101537 0.142180 0.679629 0.066547 -0.176455 -1.047510 -0.934044 -1.076425 0.3471 0.0032 0.0374 0.0826 0.4859 0.4288 0.2495 0.0008 0.2290 0.2324 0.4439 0.0316 0.0383 0.8872 0.4984 0.9471 0.8603 0.2976 0.3527 0.2845 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic 0.449005 0.337634 0.109124 1.119352 101.7776 4.031611 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Prob(F-statistic) 74 0.147948 0.134082 -1.434694 -0.954659 -1.239875 0.000003 Dependent Variable: FOWN Method: Least Squares Date: 12/05/11 Time: 01:15 Sample: 342 Included observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.854543 0.095883 -0.048904 0.001695 0.027840 0.069451 -0.007631 -0.026177 0.004681 -0.033575 -3.903958 -0.243678 -2.592892 0.060707 0.074104 0.035983 0.033378 0.005123 0.013703 -0.038063 0.206683 0.016985 0.233075 0.025825 0.020522 0.017800 0.003278 0.007180 0.048311 0.026368 2.005320 0.045972 1.159464 0.036034 0.039318 0.021102 0.036957 0.029597 0.031071 0.037667 -4.134556 5.645276 -0.209819 0.065624 1.356585 3.901667 -2.327550 -3.645758 0.096893 -1.273349 -1.946801 -5.300553 -2.236286 1.684694 1.884726 1.705220 0.903154 0.173103 0.441009 -1.010501 0.0000 0.0000 0.8339 0.9477 0.1759 0.0001 0.0206 0.0003 0.9229 0.2038 0.0524 0.0000 0.0260 0.0930 0.0604 0.0891 0.3671 0.8627 0.6595 0.3130 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.274317 0.231497 0.127847 5.263030 228.4948 6.406308 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 75 0.141166 0.145837 -1.219268 -0.995010 -1.129929 1.392925 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/06/11 Time: 23:44 Sample: 2007 2009 Periods included: Cross-sections included: 114 Total panel (balanced) observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR -0.791872 0.092163 -0.010774 0.002477 0.028241 0.064075 -0.005723 -0.026024 0.000679 -0.008025 -3.946481 -0.203533 -3.021407 0.197738 0.016072 0.224921 0.025459 0.019845 0.017603 0.003133 0.006847 0.047498 0.024072 1.968800 0.042102 1.145960 -4.004650 5.734244 -0.047903 0.097286 1.423075 3.639947 -1.826730 -3.800716 0.014300 -0.333388 -2.004511 -4.834247 -2.636572 0.0001 0.0000 0.9618 0.9226 0.1557 0.0003 0.0686 0.0002 0.9886 0.7391 0.0458 0.0000 0.0088 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.252145 0.224868 0.128397 5.423831 223.3485 9.243748 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 76 0.141166 0.145837 -1.230108 -1.084340 -1.172038 0.932782 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/06/11 Time: 23:46 Sample: 2007 2009 Periods included: Cross-sections included: 114 Total panel (balanced) observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR 0.793273 -0.041769 0.065674 0.024956 0.006322 0.036341 0.001319 0.000260 0.040855 -0.204506 -3.362503 -0.355099 -1.293752 0.654079 0.053505 0.238940 0.024529 0.017911 0.023654 0.004299 0.010660 0.051896 0.121473 2.150631 0.145359 1.077125 1.212809 -0.780655 0.274856 1.017415 0.352974 1.536362 0.306698 0.024396 0.787259 -1.683548 -1.563496 -2.442914 -1.201115 0.2265 0.4359 0.7837 0.3101 0.7245 0.1259 0.7594 0.9806 0.4320 0.0937 0.1194 0.0154 0.2310 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.753753 0.611249 0.090929 1.785909 413.3081 5.289353 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 77 0.141166 0.145837 -1.680164 -0.267339 -1.117333 2.436495 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/06/11 Time: 23:47 Sample: 2007 2009 Periods included: Cross-sections included: 114 Total panel (balanced) observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR -0.574396 0.075847 -0.108885 0.015064 -0.001476 0.017563 0.003063 -0.004458 0.019540 -0.191739 -4.670724 -0.312663 -1.139574 0.713758 0.058992 0.234349 0.035484 0.017431 0.023352 0.004171 0.010394 0.050352 0.117331 2.118298 0.143320 1.040947 -0.804749 1.285698 -0.464626 0.424515 -0.084701 0.752128 0.734321 -0.428901 0.388061 -1.634177 -2.204942 -2.181564 -1.094748 0.4219 0.1999 0.6427 0.6716 0.9326 0.4528 0.4636 0.6684 0.6984 0.1037 0.0285 0.0302 0.2749 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.772664 0.637749 0.087775 1.648762 426.9715 5.727057 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 78 0.141166 0.145837 -1.748371 -0.313120 -1.176607 2.502638 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/06/11 Time: 23:49 Sample: 2007 2009 Periods included: Cross-sections included: 114 Total panel (balanced) observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.854543 0.095883 -0.048904 0.001695 0.027840 0.069451 -0.007631 -0.026177 0.004681 -0.033575 -3.903958 -0.243678 -2.592892 0.060707 0.074104 0.035983 0.033378 0.005123 0.013703 -0.038063 0.206683 0.016985 0.233075 0.025825 0.020522 0.017800 0.003278 0.007180 0.048311 0.026368 2.005320 0.045972 1.159464 0.036034 0.039318 0.021102 0.036957 0.029597 0.031071 0.037667 -4.134556 5.645276 -0.209819 0.065624 1.356585 3.901667 -2.327550 -3.645758 0.096893 -1.273349 -1.946801 -5.300553 -2.236286 1.684694 1.884726 1.705220 0.903154 0.173103 0.441009 -1.010501 0.0000 0.0000 0.8339 0.9477 0.1759 0.0001 0.0206 0.0003 0.9229 0.2038 0.0524 0.0000 0.0260 0.0930 0.0604 0.0891 0.3671 0.8627 0.6595 0.3130 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.274317 0.231497 0.127847 5.263030 228.4948 6.406308 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 79 0.141166 0.145837 -1.219268 -0.995010 -1.129929 0.956955 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/06/11 Time: 23:52 Sample: 2007 2009 Periods included: Cross-sections included: 114 Total panel (balanced) observations: 342 Variable Coefficient Std Error t-Statistic Prob C SIZE DIVY RETU BETA BMAR CURR LEVR ROE EXPR TOVR CONC VOLR D1 D2 D3 D4 D5 D6 D7 -0.719207 0.091895 -0.398768 0.042860 0.010225 0.026521 -0.006830 -0.031774 -0.005587 -0.021686 -3.941292 -0.244478 -2.900433 0.045974 0.052531 0.030853 0.032268 0.013641 0.006952 -0.053186 0.201097 0.016387 0.233063 0.039954 0.020104 0.019250 0.003152 0.007020 0.046559 0.025459 1.933451 0.044159 1.115685 0.034767 0.037973 0.020295 0.035490 0.028505 0.029863 0.036293 -3.576425 5.607665 -1.710990 1.072733 0.508632 1.377672 -2.166922 -4.526103 -0.119990 -0.851811 -2.038476 -5.536311 -2.599689 1.322350 1.383374 1.520213 0.909212 0.478551 0.232800 -1.465487 0.0004 0.0000 0.0881 0.2842 0.6114 0.1693 0.0310 0.0000 0.9046 0.3950 0.0423 0.0000 0.0098 0.1870 0.1675 0.1294 0.3639 0.6326 0.8161 0.1438 Effects Specification Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.334972 0.291330 0.122769 4.823126 243.4204 7.675376 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 80 0.141166 0.145837 -1.294856 -1.048173 -1.196584 0.947500 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/07/11 Time: 15:26 Sample: 2008Q1 2010Q2 Periods included: 10 Cross-sections included: 114 Total panel (unbalanced) observations: 1139 Variable Coefficient Std Error t-Statistic Prob C SIZE RETU BETA BMAR CURR LEVR ROE TOVR VOLR -0.713568 0.099354 0.000777 -0.012511 0.034070 -0.003712 -0.036053 -0.010257 -0.280600 -7.976582 0.104495 0.008044 0.025236 0.024065 0.009038 0.001150 0.003444 0.049915 0.580689 1.111115 -6.828719 12.35095 0.030787 -0.519880 3.769437 -3.226908 -10.46689 -0.205482 -0.483219 -7.178896 0.0000 0.0000 0.9754 0.6032 0.0002 0.0013 0.0000 0.8372 0.6290 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.284604 0.278901 0.125507 17.78405 752.7236 49.90528 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 81 0.165840 0.147799 -1.304168 -1.259937 -1.287463 0.148809 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/07/11 Time: 15:28 Sample: 2008Q1 2010Q2 Periods included: 10 Cross-sections included: 114 Total panel (unbalanced) observations: 1139 Variable Coefficient Std Error t-Statistic Prob C SIZE RETU BETA BMAR CURR LEVR ROE TOVR VOLR -0.005747 0.028062 0.012061 -0.010807 0.008935 -0.000377 -0.001777 -0.012013 -2.528938 -4.328824 0.199885 0.016399 0.010741 0.014398 0.007935 0.000732 0.003416 0.022681 0.328464 0.557407 -0.028753 1.711182 1.122905 -0.750556 1.125951 -0.515337 -0.520119 -0.529651 -7.699296 -7.766004 0.9771 0.0874 0.2617 0.4531 0.2605 0.6064 0.6031 0.5965 0.0000 0.0000 Effects Specification Cross-section fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.896466 0.884034 0.050331 2.573760 1853.530 72.10807 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 82 0.165840 0.147799 -3.038682 -2.494642 -2.833219 0.745855 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/07/11 Time: 15:30 Sample: 2008Q1 2010Q2 Periods included: 10 Cross-sections included: 114 Total panel (unbalanced) observations: 1139 Variable Coefficient Std Error t-Statistic Prob C SIZE RETU BETA BMAR CURR LEVR ROE TOVR VOLR -0.522606 0.072353 0.026169 0.005245 0.012747 -0.000594 5.81E-05 -0.018110 -2.096230 -5.108164 0.219352 0.018024 0.016128 0.016145 0.008504 0.000721 0.003372 0.022814 0.368108 0.777743 -2.382495 4.014222 1.622610 0.324837 1.499025 -0.823771 0.017224 -0.793780 -5.694605 -6.567933 0.0174 0.0001 0.1050 0.7454 0.1342 0.4103 0.9863 0.4275 0.0000 0.0000 Effects Specification Cross-section fixed (dummy variables) Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.901712 0.888925 0.049258 2.443352 1883.142 70.52190 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 83 0.165840 0.147799 -3.074876 -2.491027 -2.854379 0.750333 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/07/11 Time: 15:35 Sample: 2008Q1 2010Q2 Periods included: 10 Cross-sections included: 114 Total panel (unbalanced) observations: 1139 Variable Coefficient Std Error t-Statistic Prob C SIZE RETU BETA BMAR CURR LEVR ROE TOVR VOLR D1 D2 D3 D4 D5 D6 D7 -0.722023 0.102374 0.004175 -0.017382 0.032749 -0.003199 -0.037439 -0.013801 -0.468378 -8.228755 -0.016406 0.017459 -0.017379 -0.057774 0.015514 -0.005332 -0.030517 0.108171 0.008382 0.025289 0.024353 0.009261 0.001214 0.003623 0.050002 0.590276 1.119040 0.019223 0.020720 0.010590 0.019469 0.015307 0.016263 0.019499 -6.674842 12.21288 0.165076 -0.713742 3.536251 -2.634372 -10.33432 -0.276003 -0.793491 -7.353403 -0.853465 0.842633 -1.641001 -2.967490 1.013516 -0.327871 -1.565068 0.0000 0.0000 0.8689 0.4755 0.0004 0.0085 0.0000 0.7826 0.4277 0.0000 0.3936 0.3996 0.1011 0.0031 0.3110 0.7431 0.1178 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.296554 0.286523 0.124842 17.48698 762.3170 29.56289 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 84 0.165840 0.147799 -1.308722 -1.233529 -1.280324 0.152338 Dependent Variable: FOWN Method: Panel Least Squares Date: 12/07/11 Time: 15:37 Sample: 2008Q1 2010Q2 Periods included: 10 Cross-sections included: 114 Total panel (unbalanced) observations: 1139 Variable Coefficient Std Error t-Statistic Prob C SIZE RETU BETA BMAR CURR LEVR ROE TOVR VOLR D1 D2 D3 D4 D5 D6 D7 -0.678733 0.102530 0.008241 -0.002208 0.024209 -0.003303 -0.038242 -0.014393 0.215122 -9.965270 -0.020844 0.010340 -0.018621 -0.061588 0.014762 -0.007178 -0.034444 0.114265 0.008615 0.038350 0.026810 0.010319 0.001210 0.003637 0.050392 0.642450 1.373497 0.019278 0.020716 0.010543 0.019428 0.015270 0.016198 0.019529 -5.940002 11.90190 0.214877 -0.082361 2.346008 -2.728669 -10.51377 -0.285632 0.334846 -7.255398 -1.081236 0.499134 -1.766179 -3.170110 0.966694 -0.443113 -1.763733 0.0000 0.0000 0.8299 0.9344 0.0192 0.0065 0.0000 0.7752 0.7378 0.0000 0.2798 0.6178 0.0776 0.0016 0.3339 0.6578 0.0781 Effects Specification Period fixed (dummy variables) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.309402 0.293890 0.124196 17.16759 772.8147 19.94590 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 85 0.165840 0.147799 -1.311352 -1.196351 -1.267920 0.140233 ... paper deepens the understanding of holdings of foreign investors in general and holdings of foreign investors in emerging market like Vietnam in particular By analyzing a rich and detailed firm level... of the most prominent features in Vietnam stock markets is the rapid increase in the stock ownership level and trading volume by foreign investors over time Increases in foreign ownership are expected... thought and empirically investigate the link between foreign ownership in domestic market and firm attributes Kang & Stulz (1997) examine stock ownership in Japanese firms by non-Japanese investors