The thesis examines the Investors’ reaction to the stock trading announcement of internal shareholders, stakeholders and major shareholders being foreign investors.
CHAPTER 1 INTRODUCTION 1.1. Reason for the topic selection Two in the objects with special advantages in information are internal shareholders and stakeholders. Thus, in order to create the equity and limit the asymmetric information between internal shareholders, stakeholders and other shareholders in trading stocks, according to regulations of current laws, all stock trading of the majority shareholders, internal shareholders and stakeholders must announce information before trading1 In addition to the internal shareholders, the stakeholders are considered to have advantage in information no less than the internal shareholders. In the context of incomplete law system and specific cultural factors as in Vietnam, it is possible to exclude that the information on businesses is transmitted by the internal shareholders to the stakeholders Therefore, the transaction of the internal shareholders and stakeholders can cause the extraordinary changes in price and trading volume. However, through researching the previous studies, there have not been the study on the internal shareholders’ impacts on price and trading volume in Vietnam stock market. This is a blank not only in the practical demand but also in the academy to be considered. Other object that the thesis aims is transaction of the foreign investors. There are many studies on the foreign investors in Vietnam as the studies of Vo Xuan Vinh (2014), Batten & Vo (2015), Vo Xuan Vinh (2016) , Vo Xuan Vinh & Dang Buu Kiem (2016d), etc. However, there have not been the study which analyzes the impacts of information that the foreign investors become majority shareholders or no longer majority shareholders. 1.2. Thesis’s targets Specifically, the thesis studies the following contents: Firstly, the thesis analyzes the Investors’ reaction based on stock price and trading volume to the stock trading announcement of internal shareholders. Secondly, the thesis analyzes the Investors’ reaction based on stock price and trading volume to the stock trading announcement of stakeholders. Thirdly, the thesis analyzes the Investors’ reaction based on stock price and trading volume to the impact of information that the foreign investors become majority shareholders or no longer majority shareholders 1.3. Questions • How does the stock price fluctuate to the stock trading announcement of internal shareholders? • How does the trading volume fluctuate to the stock trading announcement of internal shareholders? • How does the stock price fluctuate to the stock trading announcement of stakeholders? • How does the trading volume fluctuate to the stock trading announcement of stakeholders? 1According to Circular No. 155/2015/TTBTC on 06 October 2015 guiding to announce information in the stock market, the internal people are the internal shareholders. • How does the stock price fluctuate when information that the foreign investors become majority shareholders or no longer majority shareholders is announced? • How does the trading volume fluctuate when information that the foreign investors become majority shareholders or no longer majority shareholders is announced? 1.4. Object The thesis examines the Investors’ reaction to the stock trading announcement of internal shareholders, stakeholders and major shareholders being foreign investors. 1.5. Study’s scope The study includes the announcements of stock transaction registration of internal shareholders, stakeholders; and foreign investors from companies listed on Ho Chi Minh City Stock Exchange over the period from 2008 to 2015 1.6. Implementation order In order to implement this study, the thesis is executed according to the following order: Firstly: Examine summarily the previous studies to find out slits in the studies applied for Vietnam’s context Secondly Identify the topic, object, targets and study’s scope : Thirdly: Examine summarily the theories, systematize and summarize the previous studies related to the topic Fourthly: From the previous studies, select the suitable estimation method for the topic Fifth: Collect the essential data for the study Sixth: Implement the necessary tests to analyze and discuss the results achieved of the thesis Seventh: Conclude the results achieved and propose some policy implications for the related objects 1.7 Thesis’s structure The thesis includes 7 chapters CHAPTER 2 THEORETICAL BASIS AND STUDY OVERVIEW 2.1. Some terms in the thesis The terms of internal shareholder and stakeholder in this these are defined according to Circular No 155/2015/TTBTC on 06 October 2015, specifically, the contents are quoted as follows: Internal shareholders, stakeholders, majority shareholders, date of information announcement, information of stock transaction registration, internal information, abnormal return, abnormal volume 2.2. Introduction to the stock market in Vietnam The stock market is not only a channel of medium and long term capital mobilization but also an import channel in managing the macroeconomic policies in many countries around the world. In Vietnam, the stock market was officially formed on 11 July 1998 according to Decree No. 48/CP on Stock and Stock market, on the same day, the Prime Minister signed Decision No. 127/1998/QĐTTg to establish Ho Chi Minh City Securities Trading Center. 2.3. Legal regulations on information announcement 2.3.1. Legal documents stipulating information announcement The information announcement is institutionalized by legal documents, when taking part in listing on the stock exchanges, the companies must comply with information announcement. The information announcement is stipulated specifically in Stock laws and specificized by Circulars as Circular No 38/2007/TTBTC on 18/4/2007, Circular No 09/2010/TTBTC on 15/01/2010, Circular No 52/2012/TTBTC on 05/04/2012, and most recently, Circular No. 155/2015/TTBTC on 06/10/2015. The related information announcement is stipulated specifically as follows (2): 2.3.2. Information announcement The objects are announced according to Circular No. 155/2015/TTBTC on 06/10/2015 2.3.3. Means of information announcement As according to Circular No.155/2015/TTBTC on 06/10/2015 2.3.4. Time of information announcement with internal shareholders and stakeholders According to Circular No.155/2015/TTBTC on 06/10/2015. 2.4 Investors’ reaction based on stock price and trading volume to the announced information 2.4.1. Investors’ reaction based on stock price to the announced information The semistrong efficient market hypothesis is applied in this thesis to explain the investors’ reaction to the stock trading announcement of shareholders and investors, with implication that the stock price will automatically be adjusted to update the announced information. The Abnormal Return is defined by Brown & Warner (1980) as the difference between actual return and expected return of this stock Definition of abnormal return turns around the date of information announcement to make basis for concluding the efficiency of the market 2According to Circular No 155/2015/TTBTC on 06 October 2015 guiding to announce information in the stock market, the internal people are internal shareholders 2.4.2. Investors’ reaction based on trading volume to the announced information In the market, there are always other transactions created by the buyers and the sellers. The basis for the investors’ behaviors leading to transactions which create the different positions is explained by Karpoff (1986) through theory of trading volume. This theory mentions 2 main factors creating all transactions: Firstly, Karpoff (1986) thinks that before one problem or event, the investors have the most suitable way to analyze and explain for themselves and have difference between investors. Thus, they create the different transactions. Secondly, in spite of explaining the same problem, each investors have the different expectation and desire, thus, they have different transaction behaviors Simultaneously, if the both factors exist, the transactions in the market become more ebullient. 2.5. Theoretical basis of Investors’ reaction based on stock price and trading volume to the stock trading information of the internal shareholders, stakeholders, and foreign investors 2.5.1. Theory of asymmetric information The theory used in this thesis is theory of asymmetric information, this theory is developed by Akerlof (1970) with the famous article on asymmetric information between related parties in the old automobile market, which is posted in The quarterly journal of economics. In this thesis, the asymmetric information is applied to explain the investors’ behaviors as follows: i) It is possible that the investors are the internal shareholders or stakeholders trading stock based on information that they hold; ii) The outside investors do not have much information, they think that the contents of transaction registration of the internal shareholders and stakeholders have information and the outside investors imitate Based on the theory of asymmetric information, that the stock trading of the internal shareholders, stakeholders and transactions of the foreign investors to become or no longer majority shareholders, makes the investors in the market doubt of these transactions having unannounced information. Therefore, the investors in the market can implement the transactions similar to the ones of the internal shareholders, stakeholders and foreign investors to reduce risks and look for return. This is the reason for creating changes in stock price and trading volume. 2.5.2. Signaling theory The Signaling theory believes that the behaviors and decisions of the internal shareholders, stakeholders and foreign investors being majority shareholders can contain the sign for other shareholders and implies the information that others do not have. The Signaling theory shows that when the internal shareholders or stakeholders register stock transaction, that can lead to the changes in stock price and trading volume in the market For the transactions of the foreign investors, every transaction contains the signs about the different expectations on the company. On the contrary, when the foreign investors want to reduce the stock holding rate to be no longer majority shareholders, the management policies as well as transparency can change, thus, the company’s performance decreases. 2.5.3. Efficient market hypothesis The investors’ reaction when the company announces information is explained by the Efficient market hypothesis of Farma (1970). This hypothesis believes that a market is considered to be efficient if the stock price reflects all information about this stock. Therefore, an investors can’t earn the abnormal return (Pindyck & Rubinfeld 2009) from stock transaction in the market. Although the Efficient market hypothesis is applied widely in the financial theories, some studies state that the market is nonefficient. (Aharony & Swary 1980; Asquith & Mullins Jr 1983; Bajaj & Vijh 1995; Bernheim & Wantz 1992; Charest 1978; Dyl & Weigand 1998; Grinblatt et al. 1984; Lie 2005; Woolridge 1982). These studies prove the existence of the abnormal return before and after the date of information announcement. 2.6. Overview of previous studies According to statistic data of (Kothari & Warner 2005) from 1974 to 2000, there were 565 studies posted in the prestigious magazines in the world. Some typical studies: 2.6.1. The studies related to information of dividend payment Studies of Pettit (1972), Charest (1978), Aharony & Swary (1980), Woolridge (1982), Asquith & Mullins Jr (1983), Grinblatt et al. (1984), Wansley et al. (1991), Gurgul et al. (2003), Fuller (2003), Lee & Yan (2003), McCluskey et al. (2006), Dasilas & Leventis (2011), Chen et al. (2014), Vo Xuan Vinh & Doan Thi Minh Thai (2015), Nguyen Thi Minh Hue (2015)… 2.6.2. Some previous studies related to stock dividend announcement Some typical studies: (Copeland 1979; Han 1995; Ball & Brown 1968; Chen et al. 2011; Chou et al 2005; Desai & Jain 1997; Doran 1994; Dyckman et al 1984; Elfakhani & Lung 2003; Grinblatt et al. 1984; Kunz & Rosa‐Majhensek 2008; Lamoureux & Poon 1987, Vo Xuan Vinh & Phan Thi Anh Thu 2014) 2.6.3. Some previous studies related to information of buying stocks back Some typical studies: Chua (2010); Yook (2010), Wu (2012), Reddy et al. (2013), Hillert et al. (2016), Vo Xuan Vinh & Trinh Tan Luc (2015). 2.6.4. Information of releasing the Financial statements of the Enterprise Ball & Brown (1968), Hew et al. (1996), Liu et al. (2003), Schadewitz et al. (2005), Vo Xuan Vinh & Le Thi Kim Phuong (2014), many studies examined the investors’ reaction based on stock price when the Adjusted Auditing Report is publicized, example, some first studies implemented in United Kingdom, the United States and Australia: (Baskin 1972; Dodd et al. 1984; Dopuch et al. 1986; Firth 1978; Herbohn et al. 2007; Hsu et al. 2011; Ianniello & Galloppo 2015; Pei & Hamill 2013); in Vietnam, there was study of Tran Thi Giang Tan & Lam Vu Phi (2017) 2.6.5. Besides, some other studies turn around the events related to stock market Vo Xuan Vinh & Le Thi Kim Phuong (2014), Vo Xuan Vinh & Trinh Tan Luc (2015), Vo Xuan Vinh & Dang Buu Kiem (2016d). 2.7. Study slits Dividend payment (Bajaj & Vijh 1995; Chen et al. 2014; Lee & Yan 2003; Võ Xuân Vinh & Đặng Bửu Kiếm 2016a; Võ Xuân Vinh & Đoàn Thị Minh Thái 2015) MARKET’S REACTION Additional stock issue (Hồ Viết Tiến & Đinh Thị Thu Hà 2012, 2014; Lerskullawat 2011; Marisetty et al. 2008; Salamudin et al. 1999; Tan et al. 2002; Xia et al. 2010) Rebuying stocks (Chua 2010b; Hillert et al. 2016; Reddy et al. 2013; Võ Xuân Vinh & Trịnh Tấn Lực 2015a, 2015b; Wu 2012; Yook 2010) TO – FINANCIAL EVENTS Release the Adjusted Financial statements (Dopuch et al. 1986; Herbohn et al. 2007; Hsu et al. 2011; Ianniello & Galloppo 2015; Pei & Hamill 2013; Tr ần Thị Giang Tân & Lâm Vũ Phi 2017b; Võ Xuân Vinh & Đặng Bửu Kiếm 2016c) ECONOMIC Events related to market (Võ Xuân Vinh & Đặng Bửu Kiếm 2014, 2016b, 2016d; Võ Xuân Vinh & Lê Thị Kim Phượng 2014) Academic slits needs studying Internal shareholders’ transaction Dividend distribution (Ball & Brown 1968; Chen et al. 2011; Chou et al. 2005; Desai & Jain 1997; Elfakhani & Lung 2003; Kunz & Rosa‐Majhensek 2008; Lamoureux & Poon 1987) Stakeholder’ transaction Figure 2.4 Document map Major foreign holders (become majority shareholders or no longer majority shareholders) 2.8. Thesis’s Study Hypothesis Firstly, the study hypothesis relates to the impacts of stock transaction registration of the internal shareholders on price and trading volume: Hypothesis 1a: The stock price increases due to buying transaction registration of the internal shareholders Hypothesis 1b: The stock price decreases due to selling transaction registration of the internal shareholders Hypothesis 2a: The trading volume increases due to the stock buying registration announcement of the internal shareholders Hypothesis 2b: The trading volume increases due to stock selling registration announcement of the internal shareholders Secondly, the study hypothesis relates to the impacts of stock transaction registration of the stakeholders Hypothesis 3a: The stock price increases due to stock buying registration of the stakeholders Hypothesis 3b: The stock price decreases due to stock selling registration of the stakeholders Hypothesis 4a: The trading volume increases due to the stock buying registration announcement of the stakeholders Hypothesis 4b: The trading volume increases due to the stock selling registration announcement of the stakeholders Thirdly, the study hypothesis relates to transactions of the majority shareholders being foreign investors Hypothesis 5a: The stock price increases when the information that the foreign investors become the majority shareholders is announced Hypothesis 5b: The stock price decreases when the information that the foreign investors are no longer majority shareholders is announced Hypothesis 6a: The trading volume increases when the foreign investors become the majority shareholders Hypothesis 6b: The stock price increases when the foreign investors are no longer majority shareholders 10 CHAPTER 3 STUDY METHODOLOGY AND STUDY DATA 3.1. Study Methodology 3.1.1. Introduction to Event Study According to MacKinlay (1997), the Event study is implemented through the following steps: Select the event to study; Select the company sample; Select time for event window, estimate window and window after event; Measurement of investors’ reaction is shown through price (through abnormal return) and/or stock volume (through Abnormal trading volume); Test. 3.1.2. Describe in detail the steps according to event study in the thesis 3.1.2.1. The events are studied in the thesis The events selected to implement in the thesis include: The announcement of stock buying registration of the internal shareholders; The announcement of stock selling registration of the internal shareholders; The announcement of stock buying registration of the stakeholders; The announcement of stock selling registration of the stakeholders; The announcement that foreign investors become majority shareholders; The announcement that foreign investors become no longer majority shareholders; 3.1.2.2. Event day, event window, estimate window and window after event Event day Equivalent to each event selected to study, the event day is the date the information on events is announced on website of Ho Chi Minh City Stock Exchange Event window, estimate window and window after event Three windows in the event framework used to study include: i) Event window is selected to be 31 days, from 15th date (before the date of announcement 15 days) to +15th date (after the date of announcement 15 days) including 0 date (the event day), ii) Estimate window is 120 days from 16th date to 135th date, iii) Window after event is from +16th date to +30 date, 15 days in total 3.1.2.3. Measurement of investors’ reaction is shown through the stock price Measurement of investors’ reaction is shown through the stock price and considered through the existence of cumulative normal return and abnormal return Abnormal return (ARi,t) According to Brown & Warner (1980), the abnormal return is the difference between actual return and expected return of the stock. In this study, AR is calculated as follows: AR i,t = R i,t – E (Ri,t) Method 1 The expected return is adjusted by the market’s return(Rm,t) E (Ri,t) = Rm,t Method 2 E (Ri,t) = α i,t + β i,t R m,t Average Abnormal Return (AARt) 21 t Abnor mal return Abnormal trading volume AAR1 0,67% 0,48% 0,54% 0,33% 0,09% 0,09% 0,07% 0,07% 0,12% 0,05% T stat 6.91*** 4.94*** 5.63*** 3.37*** 0.90 0.88 0.70 0.73 1.21 0.54 Zvalue 4.3*** 1.99** 3.65*** 2.64*** 1.99** 1.83* 0.60 1.13 0.84 0.05 AAV 0.27 0.23 0.28 0.27 0.33 0.28 0.16 0.26 0.22 0.15 T stat 5.23*** 4.44*** 5.46*** 5.27*** 6.56*** 5.53*** 3.13*** 5.14*** 4.4*** 2.89*** 4 3 2 1 Framewor k CAAR T stat Zvalue MAAV T stat [15;1] 4,43% 10.08*** 7.39*** 0.16 5.25*** [0;15] 0,26% 0.67 3.72*** 0.18 4.79*** [0;30] 0,96% 1.8* 4.45*** 0.12 3.34*** [15;15] 4,17% 7.07*** 4.57*** 0.17 5.44*** ***; **; * with the respective meaning level at 1%; 5%; 10%. (Source: The PhD student calculates and summarizes) 5.1.4. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock sell registration of personal stakeholders with different sale ratios Tables of 5.5 and 5.6 shows inspection results of abnormal return existence to the announcement of stock sell registration with big and small sell registration ratios of personal stakeholders respectively. The results indicate that investors’ reaction to the announcement of little, much sell registration of personal stakeholders has commonality. Table 5.5: Abnormal return and abnormal trading volume inspection results to the announcement of stock sell registration of individual stakeholders with small sale ratio. T 5 4 3 2 1 Frame Abnormal return AAR1 0.28% 0.51% 0.43% 0.71% 0.38% 0.00% 0.23% 0.08% 0.21% 0.01% 0.12% CAAR Abnormal trading volume T stat 2.28** 4.12*** 3.47*** 5.69*** 3.04*** 0.01 1.84* 0.67 1.69* 0.06 0.94 T stat Zvalue 0.95 1.36 0.95 3.39*** 1.56 0.48 2.41** 0.13 1.66* 0.27 1.60 Zvalue AAV 0.15 0.22 0.22 0.27 0.25 0.30 0.30 0.21 0.27 0.15 0.11 MAAV T stat 2.81*** 4.02*** 3.99*** 4.9*** 4.64*** 5.46*** 5.57*** 3.83*** 5*** 2.75*** 2.07** T stat 22 T [15;1] [0;15] [0;30] [15;15] Abnormal Abnormal trading volume return AAR1 T stat Zvalue AAV 5.17% 9.11*** 6.28*** 0.13 0.26% 0.53 3.9*** 0.16 1.27% 1.82* 4.21*** 0.10 4.91% 6.42*** 3.84*** 0.15 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) T stat 3.40*** 3.43*** 2.19** 3.70*** Table 5.6: Abnormal return and abnormal trading volume inspection results with the announcement of stock sell registration of individual stakeholders with big sale ratio. Abnormal Abnormal trading volume return t AAR1 T stat Zvalue AAV T stat 5 0.24% 1.69* 0.35 0.33 4.56*** 4 0.81% 5.77*** 4.66*** 0.32 4.5*** 3 0.51% 3.64*** 1.99** 0.23 3.24*** 2 0.37% 2.65*** 1.79* 0.29 4.11*** 1 0.31% 2.23** 2.5** 0.30 4.14*** 0.16% 1.13 1.91* 0.37 5.14*** 0.06% 0.46 0.17 0.26 3.65*** 0.26% 1.85* 1.09 0.11 1.57 0.06% 0.42 0.04 0.27 3.74*** 0.24% 1.69* 1.68* 0.30 4.2*** 0.03% 0.23 1.79* 0.17 2.35** Frame CAAR T stat Zvalue MAAV T stat [15;1] 3.79% 5.62*** 4.97*** 0.18 3.88*** [0;15] 0.10% 0.17 0.37 0.21 3.39*** [0;30] 0.37% 0.47 1.09 0.15 2.49** [15;15] 3.69% 4.09*** 3.53*** 0.20 3.95*** ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) 5.2. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock transaction registration of organizational stakeholders. 5.2.1. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock purchase registration of organizational stakeholders. Results (table 5.7) indicate that at the announcement date, price reacted to information (AAR [0]: 0.84% to the meaning level of 1%). After disclosure date of information, stock price continued to increase, average accumulated abnormal return was also positive Thus, the market positively reacted to the announcement of stock purchase registration of organizational stakeholders. Trading volume had unclear changes. Based on results of investors’ reaction expressed through stock price and trading volume, information contained in the announcement of stock purchase registration of organizational 23 stakeholders is considered good information, stock price increased and stock liquidity was improved but not obviously. Table 5.7: Abnormal return and abnormal trading volume inspection results to the announcement of stock purchase registration of organizational stakeholders T Abnor mal return Abnormal trading volume AAR1 T stat Zvalue AAV T stat 5 0.01% 0.06 0.35 0.04 0.47 4 0.35% 2.34** 0.53 0.04 0.53 3 0.20% 1.31 0.41 0.10 1.24 2 0.01% 0.06 1.11 0.12 1.43 1 0.03% 0.19 0.73 0.03 0.35 0.84% 5.56*** 2.94*** 0.13 1.53 0.78% 5.18*** 3.83*** 0.13 1.56 0.42% 2.83*** 2.06** 0.25 2.98*** 0.13% 0.88 1.04 0.14 1.63 0.22% 1.43 0.86 0.03 0.33 0.07% 0.50 0.48 0.02 0.29 Frame CAAR T stat Zvalue MAAV T stat [15;1] 0.33% 0.54 1.67* 0.14 2.45** [0;15] 1.79% 2.85*** 2** 0.03 0.45 [0;30] 1.36% 1.65* 1.50 0.02 0.35 [15;15] 2.11% 2.5** 1.37 0.05 0.90 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) 5.2.2. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock purchase registration of organizational stakeholders with different purchase ratios. With announcement of small purchase registration (Table 5.8) of organizational stakeholders, stock prices’ reaction to the disclosed information with evidence of positive abnormal return value existence with meaning level of 5% at the event date and existed to the 3rd day. On the other hand, accumulated abnormal return is positive at time frame after disclosure date of information with meaning level of 1% for non parameters inspection. Trading volume’s fluctuation is not significant and obvious, however, stock liquidity is generally improved Thus, event of announcement of small purchase registration of organizational stakeholders has short term positive impact on stock price and no obvious impact on trading volume. Table 5.8: Abnormal return and abnormal trading volume inspection results to the announcement of stock purchase registration of organizational stakeholders with small purchase ratios t Abnorm al return AAR1 Abnormal trading volume T stat Zvalue AAV T stat 24 5 0.20% 0.91 0.34 0.08 0.75 4 0.30% 1.41 0.70 0.02 0.18 3 0.01% 0.07 0.20 0.01 0.09 2 0.00% 0.02 0.92 0.12 1.12 1 0.28% 1.30 0.52 0.11 1.06 0.52% 2.41** 1.41 0.08 0.75 0.33% 1.54 1.59 0.06 0.55 0.54% 2.5** 2.49** 0.14 1.37 0.10% 0.45 0.02 0.09 0.86 0.56% 2.58*** 1.63 0.02 0.20 0.19% 0.90 0.16 0.04 0.39 Frame CAAR T stat Zvalue MAAV T stat [15;1] 0.02% 0.03 0.74 0.09 1.29 [0;15] 1.06% 1.27 2.84*** 0.06 0.74 [0;30] 0.93% 0.86 1.77* 0.06 0.86 [15;15] 1.04% 0.90 0.87 0.07 1.10 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) With announcement of big purchase registration (table 5.9) of organizational stakeholders, mean positive abnormal return exits at the disclosure date of information and maintains until the fourth day together and mean accumulated abnormal return at time frame after the disclosure date of information also has very high positive value Stock volume also has positive fluctuations (increase in liquidity) but inconsiderable. Similar to case of small purchase registration, event of announcement of big purchase registration of organizational stakeholders has short term positive impact on stock price and no obvious impact on trading volume. Table 5.9: Abnormal return and abnormal trading volume inspection results to the announcement of stock purchase registration of organizational stakeholders with big purchase ratios. t 5 4 3 2 1 Frame [15;1] [0;15] [0;30] Abnorma l return AAR1 0.22% 0.40% 0.38% 0.01% 0.23% 1.15% 1.23% 0.31% 0.17% 0.13% 0.04% CAAR 0.68% 2.52% 1.80% Abnormal trading volume T stat 1.02 1.89* 1.81* 0.06 1.07 5.45*** 5.8*** 1.46 0.79 0.62 0.21 T stat 0.77 2.68*** 1.43 Zvalue 0.76 0.14 0.68 0.58 1.66* 2.83*** 3.55*** 0.32 1.40 0.32 0.76 Zvalue 0.86 0.76 1.12 AAV 0.21 0.09 0.17 0.11 0.05 0.17 0.17 0.34 0.19 0.08 0.06 MAAV 0.20 0.09 0.02 T stat 1.43 0.60 1.11 0.70 0.31 1.12 1.13 2.28** 1.29 0.53 0.37 T stat 2.23** 0.81 0.20 25 [15;15] 3.19% 2.57** 1.84* 0.05 0.54 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) 5.2.3. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock sell registration of organizational stakeholders. Results of Table 5.10 prove that before the event of continuous increase in stock price is expressed through positive abnormal return existence and accumulated abnormal return at time frame before announcement. However, at the announcement date, stock price decreases and this lasts to the second day after disclosure date of information and days after that. Investors’ reaction, in perspective of volume, to abnormal trading volume is positive from day [5] to day [15]. In addition, average daily indicator for abnormal trading volume for period before ad after the event, MAAV[15;1]: 0.10 has statistical meaning at level of 5%; MAAV[0;15]: 0.22 has statistical meaning at level of 1% and MAAV[0;30]: 0.17 with meaning level of 1%. We can see the information contained in announcement of stock sell registration of organizational stakeholders is bad information. Stock price immediately decreases and forms a trend of decrease in stock price from the announcement date. Table 5.10: abnormal return and abnormal trading volume inspection results to the announcement of stock sell registration oforganizational stakeholders Abnor mal t return Abnormal trading volume AAR1 T stat Zvalue AAV 5 0.24% 1.99** 0.61 0.18 4 0.34% 2.83*** 0.92 0.17 3 0.31% 2.64*** 1.56 0.20 2 0.32% 2.69*** 2.19** 0.19 1 0.12% 1.02 0.61 0.15 0.15% 1.22 2.45** 0.35 0.15% 1.30 0.98 0.23 0.26% 2.23** 3.19*** 0.21 0.15% 1.26 0.24 0.21 0.10% 0.81 0.03 0.24 0.05% 0.45 0.66 0.19 Frame CAAR T stat Zvalue MAAV [15;1] 2.01% 3.61*** 1.50 0.10 [0;15] 1.03% 1.73* 2.93*** 0.22 [0;30] 1.42% 1.91* 3.67*** 0.17 [15;15] 0.97% 1.21 0.34 0.16 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) T stat 2.93*** 2.77*** 3.29*** 3.07*** 2.55** 5.81*** 3.79*** 3.46*** 3.44*** 4*** 3.11*** T stat 2.33** 3.91*** 3.23*** 3.49*** 26 5.2.4. Investors’ reaction is expressed through stock price and stock trading volume to the announcement of stock sell registration of organizational stakeholders with different purchase ratios For announcement of small sell registration (table 5.11) of organizational stakeholders, almost days in event frame have not statistical evidence of no abnormal return existence. However, at event date AAV [0]: 0.23 with meaning level of 1%; and, stock liquidity is also improved after event date The above results shows that the market has no reaction to stock price, and the information of small sell registration of organizational stakeholders helps improve stock liquidity. Table 5.11: Abnormal return inspection results to the announcement of stock sell registration of organizational stakeholders with small sale ratio. Abnorma l return Abnormal trading volume t AAR1 T stat Zvalue AAV T stat 5 0.19% 1.27 0.39 0.22 3.4*** 4 0.24% 1.59 0.66 0.12 1.84* 3 0.28% 1.86* 0.53 0.10 1.51 2 0.13% 0.84 0.98 0.04 0.58 1 0.15% 0.99 0.96 0.06 0.98 0.06% 0.36 1.11 0.23 3.56*** 0.07% 0.45 0.09 0.04 0.58 0.24% 1.58 2.45** 0.12 1.88* 0.09% 0.59 1.11 0.09 1.32 0.14% 0.95 1.28 0.17 2.66*** 0.10% 0.68 0.36 0.17 2.55** Frame CAAR T stat Zvalue MAAV T stat [15;1] 1.55% 2.31** 1.73* 0.08 1.49 [0;15] 0.25% 0.33 0.51 0.11 1.78* [0;30] 0.90% 0.93 1.26 0.05 0.71 [15;15] 1.30% 1.21 1.58 0.10 1.80* ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) For announcement of big sell registration (table 5.12) of organizational stakeholders, positive abnormal return exits at some days before event disclosed from day [4] to day [1]. However, at event date, stock price immediately reverses and drops and maintains over the next days. Together with existence of abnormal trading volume with positive value from day [5] to day [15]. This shows that the information contained in announcement of stock sell registration of organizational stakeholders is bad information While, there is a symptom of stock trading according to the information of sell registration of organizational stakeholders. Table 5.12: abnormal return and abnormal trading volume inspection results to the announcement of stock sell registration of organizational stakeholders with big sale ratios T Abnorm al return Abnormal trading volume 27 AAR1 T Test Sign Test AAV 5 0.28% 1.51 0.58 0.17 4 0.43% 2.32** 2.08** 0.25 3 0.34% 1.85* 1.78* 0.33 2 0.51% 2.76*** 2.23** 0.32 1 0.40% 2.13** 1.48 0.24 0.24% 2.26** 1.29 0.49 0.38% 2.04** 1.51 0.42 0.29% 1.55 2.11** 0.31 0.21% 1.13 0.88 0.35 0.05% 0.26 1.21 0.30 0.00% 0.02 0.46 0.19 Frame CAAR T test Sign Test MAAV [15;1] 2.46% 2.77*** 1.06 0.13 [0;15] 1.82% 2** 2.98*** 0.29 [0;30] 1.94% 1.7* 3.28*** 0.25 [15;15] 0.65% 0.54 0.43 0.21 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) T Test 1.72* 2.47** 3.24*** 3.16*** 2.36** 4.86*** 4.12*** 3.06*** 3.41*** 2.99*** 1.91* T test 1.93* 3.01*** 2.65** 2.78** CONCLUSION CHAPTER 5 Some major findings of this chapter: Firstly, information contained in the announcement of stock purchase registration of personal stakeholders is considered good information, whereas information contained in the announcement of stock sell registration of personal stakeholders is considered bad information. Secondly, information contained in the announcement of stock purchase registration of organizational stakeholders is considered not good and information contained in the announcement of stock sell registration of organizational stakeholders is considered bad information. 28 CHAPTER 6 INVESTORS’ REACTION TO THE INFORMATION THAT FOREIGN INVESTORS BECOME MAJORITY SHAREHOLDERS AND NO LONGER MAJORITY SHAREHOLDERS 6.1. Investors’ reaction is expressed through stock price and stock trading volume to the information of foreign investors become majority shareholder Results in table 6.1 show that there was no evidence on investors’ reaction expressed through stock price and trading volume before and after disclosure date of information that foreign investors become majority shareholders. Although market had no reaction before and after disclosure date of information After disclosure date of the event, stock price increased, which indicates that market positively reacted to the disclosed information but the trading volume does not increase. This shows that investors in the market positively assessed this information and are more interested in ticker of stock with information of foreign investors become majority shareholders. Table 6.1: Abnormal return and abnormal trading volume inspection results when announcement of foreign investors become majority shareholder Abnorm al Abnormal trading volume t return AAR1 T Test Sign Test AAV T Test 5 0.10% 0.29 1.12 0.15 1.47 4 0.23% 0.71 0.08 0.03 0.27 3 0.03% 0.10 0.26 0.05 0.52 2 0.33% 1.02 1.8* 0.11 1.13 1 0.14% 0.43 1.8* 0.32 3.18*** 0.33% 1.01 1.46 0.00 0.05 0.74% 2.26** 3.52*** 0.07 0.66 0.45% 1.36 1.63 0.01 0.06 0.01% 0.04 0.94 0.11 1.07 0.34% 1.03 0.08 0.02 0.17 0.29% 0.88 0.94 0.07 0.69 Frame CAAR T test Sign Test MAAV T stat [15;1] 1.83% 1.94* 2.15** 0.05 0.79 [0;15] 1.49% 1.50 0.77 0.10 0.99 [0;30] 1.28% 1.11 0.09 0.16 1.64 [15;15] 3.32% 2.21** 2.15** 0.02 0.31 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) In order to enhance evidence, the thesis examines investors’ reaction at the transaction date to become majority shareholders Table 6.2: Abnormal return and abnormal trading volume inspection results around the transaction implementation day of a foreign investor to become a majority shareholder. 29 t 5 4 3 2 1 Frame [15;1] [0;15] [0;30] [15;15] Abnor mal return AAR1 0.39% 0.55% 0.14% 0.07% 0.29% 0.39% 0.15% 0.02% 0.00% 0.24% 0.23% CAAR 2.55% 0.66% 0.73% 3.21% Abnormal trading volume T Test Sign Test 1.99** 2.16** 2.76*** 1.47 0.72 1.30 0.37 0.61 1.45 1.13 1.98** 1.30 0.77 1.45 0.11 0.59 0.02 0.27 1.23 1.30 1.14 0.44 T test Sign Test 2.77*** 2.16** 0.64 0.27 0.59 0.78 2.11** 2.67*** AAV 0.29 0.22 0.15 0.16 0.12 0.21 0.03 0.02 0.00 0.15 0.29 MAAV 0.12 0.08 0.14 0.02 T Test 2.81*** 2.11** 1.49 0.63 1.17 2.02** 0.25 0.21 0.04 1.48 2.8*** T stat 2.09** 0.86 1.45 0.27 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) The results in table 6.2 shows that at days before the event that foreign investors are planned to become majority shareholders and able to purchase stock to gradually cumulate, demand for stock increases and thus potential to have impact on market which makes stock price increase. Especially, at event date, foreign investors’ purchasing big volume of stock to become majority shareholders makes demand for stock at day [0] highly increased resulting in stock price increased at the event date. After event date, the foreign investors didn’t positively purchase more and thus trading volume and stock price no longer extraordinarily fluctuate. However, ticker of AAVs also indicates that stock liquidity dropped after event date. In a word, the results show that foreign investors’ purchasing stocks to become majority shareholders has impact on stock price, stronger the purchasing power is and higher volume is, the higher stock price is. Escalation of price is purely due to rule of supply and demand. Besides, there is no evidence showing that other investors in market implemented transactions according to foreign investors since after event date, neither abnormal return nor abnormal trading volume exists. 6.2. Investors’ reaction is expressed through stock price and stock trading volume when the announcement of stock sell registration of foreign investors become no longer majority shareholders. Table 6.3: Abnormal return inspection results at the disclosure date of stock sell registration information of foreign investors become no longer majority shareholders T 5 Abnormal return AAR1 T Test 0.33% 1.33 Abnormal trading volume Sign Test 0.49 AAV 0.01 T Test 0.07 30 Abnormal Abnormal trading volume return T AAR1 T Test Sign Test AAV T Test 4 0.03% 0.13 0.40 0.17 1.01 3 0.43% 1.73* 1.06 0.08 0.45 2 0.15% 0.60 0.27 0.08 0.46 1 0.05% 0.20 0.40 0.06 0.34 0.25% 1.01 1.37 0.07 0.44 0.15% 0.61 1.50 0.15 0.91 0.25% 1.00 0.93 0.02 0.11 0.01% 0.03 0.27 0.10 0.61 0.12% 0.48 0.04 0.28 1.66* 0.09% 0.36 0.40 0.27 1.60 Frame CAAR T test Sign Test MAAV T stat [15;1] 0.80% 0.75 1.73* 0.09 1.00 [0;15] 0.36% 0.33 0.27 0.01 0.05 [0;30] 1.36% 1.01 0.62 0.04 0.34 [15;15] 1.17% 0.75 0.18 0.05 0.51 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) The results of table 6.3 suggest there was no evidence showing investors’ reaction, this is expressed through no abnormal return existence as well as abnormal trading volume has statistical meaning at the disclosure date of information. After disclosure date of the information of decrease in stock price and transaction volume (abnormal return and abnormal trading volume are negative, but have no statistical meaning). In a word, event of announcement of stock sell registration of foreign investors become no longer majority shareholders no longer has obvious impact on stock price and stock trading volume in the market. Therefore, the event of announcement of stock sell registration of foreign investors become no longer majority shareholders does not contain or convey information out to market. Similar to the content of foreign investors become majority shareholders, to further enhance evidence for the conclusion that foreign investors sell stock to become no longer majority shareholders doesn't contain or convey information out to the market. The thesis further examines investors’ reaction at the successful transaction date of foreign investors become no longer majority shareholders. Table 6.4: Abnormal return inspection results at the transaction of foreign investors become no longermajority shareholders T 5 4 3 2 1 Abnorma l return AAR1 0.15% 0.33% 0.26% 0.04% 0.30% 0.05% T Test 0.66 1.44 1.15 0.17 1.30 0.22 Abnormal trading volume Sign Test AAV 1.02 0.19 0.26 0.19 0.81 0.42 0.59 0.20 0.16 0.17 0.59 0.66 T Test 1.94* 1.97** 4.29*** 2.02** 1.74* 6.66*** 31 Abnorma l return Abnormal trading volume T AAR1 T Test Sign Test AAV T Test 0.34% 1.93* 1.67* 0.26 2.64*** 0.21% 1.8* 1.24 0.42 4.32*** 0.20% 0.89 1.02 0.40 4.11*** 0.20% 0.89 1.02 0.48 4.87*** 0.17% 0.75 0.05 0.22 2.26** Frame CAAR T test Sign Test MAAV T stat [15;1] 1.19% 1.25 0.05 0.12 1.62 [0;15] 0.55% 0.55 1.02 0.30 3.02 [0;30] 0.10% 0.08 1.02 0.17 1.98 [15;15] 1.74% 1.22 0.81 0.21 2.80 ***; **; * means 1%; 5%; 10% respectively. (Source: Calculated and summarized by the Research Student) The results in table 6.4 show stock price has no abnormal fluctuation before and at the event date, demonstrated by the AAR inspection results having no statistical meaning during this stage; besides, the was no evidence on existence of accumulated LNTB (CAAR) in period before event. After event date, there is evidence showing drop in stock price, however, stock price didn’t form new balance level, since no existence of mean accumulated abnormal return in post event period. Vice versa, stock liquidity is significantly improved in period surrounding the event, positive abnormal return exists from day [6] to day [12]. This result shows that foreign investors could have gradually sold stock before they are illegible to be majority shareholders. In a word, we can see from the said above analysis result, information of stock sell transaction of foreign investors to become no longer majority shareholders has impact on stock price and trading volume, however, this is only short term effect on stock price. The results indicate, stock price and trading volume are mainly impacted by sell behaviors of foreign investors. The results have inadequate evidence showing the information contained in stock sell of foreign investors to be bad information. Moreover, there may be symptom of transaction of other investors according to transaction behavior of foreign investors. CONCLUSION CHAPTER 6 The study findings show: Firstly, stock purchase and sell to become majority shareholders and no longer majority shareholders of foreign investors have impact on stock price and stock trading volume. Fluctuation in price and volume in these two events is mainly due to transaction behavior of foreign investors; Secondly, for event of announcement of foreign investors become majority shareholders or no longer majority shareholders has no obvious impact on stock price and trading volume, these events contain no information; Thirdly, the study findings have no evidence that other investors in the market implement sell transactions according to foreign investors but has evidence showing that other investors follow sell transaction of foreign investors 32 CHAPTER 7 CONCLUSION AND SUGGESTION OF POLICY 7.1. Conclusion Research findings clarified following set targets: Firstly, Investors’ reaction is expressed through stock price and stock trading volume when the announcement of stock transaction registration of internal shareholders Information contained in the announcement of stock purchase registration of internal shareholders is considered good information for the market and the internal shareholders may implement stock purchase behavior as one important strategy to partially prevent the trend of decrease in stock price in the market Stock price immediately reverse to increase when the information of stock purchase registration of internal shareholders is announced and followed the sudden increase in the trading volume surround this event date The information contained in announcement of stock sell registration of internal shareholders is considered bad information to the market. Stock price drops and the trend of price decrease is formed at the date of announcement of stock sell registration of internal shareholders, trading volume extraordinarily increase at days around the event date Secondly, Investors’ reaction is expressed through stock price and stock trading volume when the announcement of stock transaction registration of stakeholders: (i) Personal stakeholders Information contained in announcement of stock purchase registration of personal stakeholders is considered good information Stock price increases and new price is formed. Trading volume extraordinarily increases from the date information is announced and maintains later days There is a symptom that other investors implement transactions or the transactions increases according to the one of stakeholders Investors’ reaction is similar to the case of stock sell registration of internal shareholders, the market considers the information of stock sell registration of personal stakeholders a bad signal. Stock price drops and new price is formed lower after the event. Trading volume significantly fluctuates before, during and after event (ii) Organizational stakeholders Information contained in announcement of stock purchase registration of organizational stakeholders is considered good information, stock price increases from the event is announced and new price is formed after the event. Trading volume increases but not obviously The information contained in announcement of stock sell registration of organizational stakeholders is bad information. Stock price immediately decreases and forms a trend of decrease in stock price from the announcement date. Trading volume extraordinarily increases before, during and after event Thirdly, Investors’ reaction is expressed through stock price and stock trading volume to the influence from information of foreign investors become majority shareholders or no longer majority shareholders: (i) Event of foreign investors become majority shareholders The disclosure date of foreign investors to become majority shareholders. There was no statistical evidence on investors reaction expressed through trading volume before and at the 33 disclosure date of event that foreign organizations become majority shareholders of the company. The event didn't contain or convey signal to the market The transaction date of foreign investors to become majority shareholders. Date of foreign investors’ purchasing stocks to become majority shareholders has impact on stock price, stronger the purchasing power is and higher volume is, the higher stock price is. Escalation of price is purely due to rule of supply and demand (ii) Event of foreign investors become no longer majority shareholders The announcement date of stock sell registration of foreign investors become no longer majority shareholders. There was no obvious impact on stock price and stock trading volume on the market. The event neither contained information The date of stock sell registration of foreign investors become no longer majority shareholders. There was inadequate evidence showing that the information contained in stock sell of foreign investors is bad information. Stock price didn't abnormally fluctuate before and at the event date. Abnormal big trading volume around the event date 7.2. Implied policies Investors Some implications for investors include: Firstly, investors may purchase stock or continue to hold stock according to purchase registration transaction of internal shareholders and stakeholders. Secondly, shortterm investors should consider selling stock or decreasing stock holding density with information related to stock sell registration announcement of internal shareholders and stake holders (personal, organizational). Thirdly, investors shouldn’t rely on stock sell, purchase transaction information of foreign investors to become majority shareholders or no longer majority shareholder for business. For managers Firstly, managers need to well control and have satisfactory sanctions for violations in disclosing transaction information of internal shareholders and stakeholders. Secondly, managers need to have policies on management, control and strict treatment for intentional behaviors of revealing information and collusion between internal shareholders with other financial organizations for making stock price. Thirdly, managers, controllers of the disclosing correct information related to fluctuations of majority shareholders including foreign investors. 7.3. Scientific and practical contribution 7.3.1. Scientific contribution Although applications of event study methodology in economic were studied by authors with different events, the studies actually done on samples of foreign markets, moreover, study on impact of the information of stock transaction registration of internal shareholders, stakeholders and information that foreign investors become majority shareholders and no longer majority shareholders has never been studied by scientists. Therefore, this is a new study contributing to the academic treasure 34 7.3.2. Practical contribution Study findings of the thesis create one more experimental evidence on: i) impact of the information of stock transaction registration of internal shareholders; ii) effect of the information on stock transaction registration of stakeholders on security market; and iii) impact of the information that foreign investors become majority shareholders and no longer majority shareholders on security market from that help investors to make appropriate decisions. How investors should react on the information of stock transaction of internal shareholders, stakeholders and majority shareholders being foreign investors since then help to make an investment decision for the best efficiency For market managers, the subject studies on whether there is or not information reveal before stock transaction registration date of internal shareholders, stakeholders and majority shareholders being foreign investors which is disclosed. This helps market managers and supervisors to work out strict regulations and hard sanctions for violations of confidentiality, insider trading regulations. Especially, alone trading related to internal shareholders and stakeholders for nonappropriate nature of information, securities market management agencies also need to closely supervise stock transaction of these shareholders in order to protect other shareholders creating equality and transparency for Vietnam securities market 7.4. Shortcomings In spite of making best endeavors to complete the thesis, we can't avoid some following shortcomings: Firstly, besides the considered events, there may be existence at the same time of other events that has impact on stock price and stock trading volume. However, the study has not have solutions This is also considered a outstanding particular shortcoming of the event study methodology; Secondly, the study has not mentioned how the factor of features of the company has impact on price fluctuation and trading volume corresponding to each studied event Thirdly, new point of the thesis is also a limitation, the thesis topic studied has not previous studies available In spite of having attempted to refer studies posted on domestic and foreign articles, similar thesis in the world. However, no previous studies of the same topic have not been found. Therefore, the study findings are lack of comparison with previous studies; Fourthly, there was not supporting software and the data of the project were manually processed. At present, there is supporting software for event study methodology application called Event Study Metrics, however, it is designed to process information from https://finance.yahoo.com/. Thus, application in cases in Vietnam is now unrealizable. Besides, some supporting softwares such as Stata, however, preprocessing sections before applying to Stata is also very complicated, completely manually treated and Stata only helps inspection run. Therefore, to the thesis implementing time, the data processing was totally manual 7.5. Next studies Based on the shortcomings of the thesis, following study orientation is recommended: Firstly, besides consideration impact of information, price and trading volume events, the factors of features of the company should be considered: market capitalization, profitability (ROE, ROA), degree of financial leverage or administration structure of company, etc. how they have impact on price and trading volume; 35 Secondly, considering individual impact according to characteristic of each event subject. For example, next studies analyze impact of information of stock transaction of each specific case, including: stock transaction of member of Board of Directors; Board of Supervisors; General Director or Vice General Director; Financial Director; Chief Accountant on stock price and trading volume. Similar to the case of stakeholders. For example: Stakeholders are individuals having relationship with: BOD; General Director; Board of Supervisors; Chief Accountant, etc.; Thirdly, besides application of event study methodology, next studies will combine or use another methodology rather than analysis ... announcement of internal shareholders? • How does the stock price fluctuate to the stock trading announcement of stakeholders? • How does the trading volume fluctuate to the stock trading announcement of stakeholders? ... The events selected to implement in the thesis include: The announcement of stock buying registration of the internal shareholders; The announcement of stock selling registration of the internal shareholders; The announcement of stock buying registration of the stakeholders; ... CHAPTER 4: INVESTORS’ REACTION TO THE STOCK TRANSACTION REGISTRATION ANNOUNCEMENT OF INTERNAL SHAREHOLDERS 4.1. The Investors’ reaction based on stock price and trading volume to the stock buying