Foreign ownership and firm level chacracteristics in the vietnamese stock market

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS VIETNAM - NETBERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS FOREIGN OWNERSHIP AND FIRM-LEVEL CBARACTERISTICS IN THE VIETNAMESE STOCK MARKET Case study: Ho Chi Minh Stock Exchange (HOSE) A thesis submitted in partial fulfilment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS By NGUYEN TRI KIM CUC Academic Supervisor: Dr PBAM HOANG VAN Dr NGUYEN TRONG BOAI HOCHI MINH CITY, NOVEMBER 2011 Acknowledgments First of all, I want to express my thanks to the Vietnam Netherlands Program for create opportunities and help me to pursue and complete an academic course of the Master of Art in Development Economic I would like to send my sincere thank to Dr Nguyen Trong Hoai who has devote all of his efforts to develop this program and help many students have more knowledge on development economic — a new economic major in Vietnam Next, I also want to say thanks to my supervisor professor Dr Pham Hoang Van for his enthusiasm, his helpful comments and suggestions during my thesis In the process of collecting data, I also received helps from the Market Information department, Hochiminh Stock Exchange Finally, I would like to send my sincere thanks to all of you Wish the Program more and more develop HCMC, NOVEMBER 2011 NGUYEN THI KIM CUC TABLE OF CONTENTS Abstract CHAPTER l Introduction 1.2 Research objectives I Research questions 1.4 Structure of the thesis CHAPTER .6 I Background .6 2.2 Achievements 2.3 Foreign investors in the Vietnamese stock market 2.4 Chapter remark 12 CHAPTER 13 Key concepts 13 2.2 Theoretical literature 14 2.2.1 Financial development and economic growth 14 2.2.2 Stock market and economic growth .14 2.2.3 Foreign ownership and firm-level characteristics 15 2.3 Empirical literature 18 2.4 Chapter remark 21 CHAPTER 22 4.1 Research methodology 22 4.2 Data description 24 4.3 Steps to analyzing data 27 CHAPTE 5.1 Estimation results 29 5.2 Correlation in pattern growth between VN Index and some other indices .36 l Conclusion 40 6.2 Policy recommendations .42 6.3 Limitations and suggested studies 43 6.3.1 Limitations 43 6.3.2 Suggested studies 43 References 45 Appendix Tables 49 Abstract This paper investigates foreign ownership and firm-level characteristics of firms listed on the Hochiminh Stock Exchange — the formal and biggest stock exchange in Vietnam Applying fixed-effects and random-effects models to quarterly data from 2006-2010 for 30 companies, the findings show that foreign investors often invest into large firms — firms with high market capitalization and in firms with high leverage firms with high debt over equity ratio Furthermore, the results also show that returns on equity have significance on foreign ownership ratio of foreign investors at listed firms The results show no effect of Earnings per Share (EPS) and Price to Earnings ratio (P/E) on foreign ownership The paper also checks the pattern growth between VN Index with Shanghai, and Dow Jones indices and answers why foreign investors invest in the Vietnamese stock market Keywords: foreign ownership, firm-level characteristics, Hochiminh Stock Exchange, VN Index, ShangHai Index, Dow Jones Index CHAPTER I Introduction 1.1 Introduction Vietnam’s equity market has benefited from the country’s high economic growth of around 7% of gross domestic product (GDP) per year over the past decade, especially in 2007 at 8.5% as well as rapid equitization of state-owned enterprises (SOEs) Passing more than 10 years of development, Vietnamese stock market has developed quickly and attracted more and more foreign capital, adding a large capital source for listed companies to produce and helping the stock market to develop strongly Before 2005, the role of foreign investors in the Vietnamese stock market was very blurred This can be explained by new establishment, not yet strong growth of the market to attract both domestic and foreign investors However, 2006 is an important transitional year of foreign investors to the stock market Foreign ownership in 2006 increased three-fold, from 6% to 17%, and up to end of 2007 this number is 30% And from 2007, the foreign ownership is always at high level The Vietnamese stock market is an emerging market that attracts more and more foreign investors who play a very important role in development of the market as well as the economy Over the past 10 years of working of Vietnamese stock market, foreign investors play an important role not only in Vietnamese capital markets but also Vietnamese economic growth In fact, foreign investors help listed companies gain more capital to produce as well as to innovate their technologies Foreign investors also help listed companies to enhance their reliability Moreover, foreign investors bring experiences in management and investment even corporate governance into Vietnam Douma, Pallathiatta and Kabir (2006) investigated the impact of foreign institutional investment on the performance of emerging market firms and found that there is positive effect of foreign ownership on firm performance So, finding indicators affecting foreign investors’ holding decisions is important to attracting even greater levels of foreign investment in the future According to the article International Investing on the website of the U.S Securities and Exchange Commission, there are two main reasons why people invest internationally The first is a diversification strategy or to spread investment risk among foreign companies and markets that are different from the United States economy; and second is growth strategy, exploiting the potential for growth in some foreign economies, particularly in emerging markets Obviously, foreign investors invest into another country in order to diversify their investment portfolios Moreover they pay more attention to emerging markets which usually have faster and higher growth However they first consider whether Government’s monetary policies affecting interest rate, exchange rate, inflation rate and the political environment are stable or not to ensure that they will not meet potential risks when withdrawing their profits Foreign investors also consider characteristics of listed companies will help them to choose which kinds of stocks or which kinds of portfolios to invest in These characteristics include ownership structure, financial structure, stock structure, and stock performance Investors indeed hold fewer shares in firms with ownership structures that are more conducive to expropriation by controlling insiders Finally, some foreign investors have ethical, moral, strategic, national, or cultural criteria that lead them to invest in certain countries and companies, and to avoid others Determining which of these criteria are the most significant for listed firms at Hochiminh stock exchange will provide valuable information aiming at attracting more capital for the Vietnamese equity 1.2 Research objectives Knowing the role of foreign investors for Vietnamese stock market and economy, the objectives of this research are: - To identify, rank, and test the significance of which main listed firms’ financial indicators affect to foreign investors’ holding decisions with respect to the Hochiminh stock exchange; - Examine the pattern growth between VN Index and some indices such as ShangHai Index and Dow Jones Index to understand why foreign investors invest into Vietnam stock market if there is correlation - To generate practical recommendations for listed firms to attract more foreign investors into Vietnamese stock market The research limits its research scope to the Hochiminh Stock Exchange which is the largest stock exchange in Vietnam 1.3 Research questions To attain above objectives, the study will answer following questions: - Is there any relationship between foreign investors’ holding at listed firms with their financial indictors? Do foreign investors invest into the firm’s value or just speculate? - Is there a correlation in pattern growth between VN Index and other indices? Answering the above questions permits listed firms to have suitable policies in their business process to attract even more foreign investors, contributing for development of the Vietnamese equity 1.4 Structure of the thesis The paper is organized as follows Chapter presents an overview of development of the Vietnam stock market, Hochiminh stock exchange and foreign investors in the market A brief literature review is provided in Chapter Chapter describes the panel data model used to estimate the hypothesis, the research methodologies and a description of the data set Research results are given in Chapter S Conclusions and policy implications complete the thesis CHAPTER VIETNAMESE STOCK MARKET DEVELOPMENT (Case study: Hochiminh Stock Exchange) The process of industrialization and modernization of Vietnam requires a large source of capital both local and foreign Hence, establishing a stock market in Vietnam to mobilize capital for companies to operate and develop is essential Knowing this, in 1998, the Prime Minister decided to establish Hanoi and Hochiminh City Securities Trading Centers Passing more than 10 years of establishment and development, the Vietnamese stock market has developed quickly In this process, equitization of state- owned enterprises (SOEs) has been important to create a more open and healthier economy 2.1 Background The establishment of the Vietnam Securities Market is marked by official operation th of Hochiminh City Securities Trading Center (HoSTC) on July 20 2000 and its first trading session on July 28'h 2000 In 2007, HoSTC was transferred into Hochiminh Stock Exchange (HOSE) HOSE is regulated by Securities Law, Business Law, the Charter of HOSE and other relevant regulations The event was a milestone in HOSE development and helped it to have an appropriate position in the regional and international Stock Exchanges Development of HOSE is accompanied by the ups and downs of the economy; its quick development has benefited from high growth rate of GDP of around 7% per year Moreover, there are many specific events that made the stock market develop quickly including joining the World Trade Organization (WTO) and the official visit to Vietnam of the American President George W Bush in late 2006 In 2007 we saw a sharp increase in the number of listed companies and blooming of the market, and the Securities Law is issued and came into effect the same year However, being affected by global financial crisis from 2008 until now, the stock market faces many difficulties with the sharp fall in prices of many stocks The macro economy is faced with a tight budget, trade deficits, and high inflation 2008 was the year with the highest inflation in the last 20 years and up to 23%, decreasing economy growth All of these factors created strong impacts to the Vietnam stock market 2.2 Achievements Through 10 years of establishment and growth, the Vietnam Securities market experienced lots of ups and downs However, the most important in the period of conformation, establishment and development, the stock market always receives deep interests of the Party and Government and thorough instructions from the Ministry of Finance (MoF) and the State Securities Commission (SSC) Although it is young, with the role of “thermometer” of the economy, the Vietnam Securities Market, expressed by VN Index has gained significant development However it also shows strong fluctuations From 307.5 in late 2005, VN Index th increased to 809.86 in the sessions on Dec 20 2006 The closing of 2006 was 753.81, up by 446.31 equivalents to 145.14% of increase compared to the end of 2005 In the first few months of 2007, VN Index rapidly increased and reached 1170.67 records in sessions on Mar 12‘, 2007 The Vietnam Index then fluctuated and got under 250 in the first sessions of Mar, 2009 and presently stays around over 500 This is also a specific feature of emerging markets, including Vietnam market It’s very volatile (Source: Summarize from Hochiminh Stock Exchange) Landmarks Covrig, Vicentiu, Lau, Ste Ting & Ng L K., 2007, Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross country analysis, Journal ofInternational Business Studies, Forth coming Issue Dahlquist, M., and Robertsson, 2001, Direct foreign ownership, institutional investors, and firm characteristics, Journal ofFinancial Economics 591, pp413440 Dahlquist, M., Pinkowitz, L., Stulz, R M., and Williamson, R., 2003, Corporate Governance and Home Bias, Journal of Financial and Quantitative Analysis, Vol 38(1), pp87-110 Demirguc-Kunt, Asli and Maksimovic, Vojislav, 1996, Stock market development and financing choices of firms, World Bank Economic Review Douma, S., Rejie, G., and Kabir, R., 2006, Foreign and domestic ownership, business groups and firm performance-Evidence from large emerging market, Strategic Management Journal, Vol 27(7), pp 637-657 Falkenstein, E G., 1996, Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings, Journal ofFinance I, ppl 11-135 Frenkel, M & Menkhoff, L., 2004, Are Foreign Institutional Investors good for emerging markets, 77ie World Economy, Vol 27(8), pp1275-1293 Gillan, S., and Starks, L T., 2003, Corporate Governance, Corporate Ownership, and the Role of Institutional Investors: A Global Perspective, Journal of Applied Finance, Vol 13(2) Gompers, P A., and Metrick, A., 2001, Institutional Investors and Equity Prices, QuarteFlfi Journal ofEconomics 16, pp229-259 Habibullah, M 5.,1999, Financial development and economic growth in Asian countries: testing the financial-led growth hypothesis, Savings and Development 46 Haw, I., Hu, B., Hwang L S., and Wu, W., 2004, Ultimate ownership, Income management and legal and extra legal Institutions, Journal Accounting Research, Vol 42(2), pp423-462 Kang, J.K., and R.M Stulz, 1997, Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal ofFinancial Economics 46, pp3-28 Keynes, J.M., 1930, A Trecitise on Money London: Macmillan King, Robert E and Levine, Ross (1993b), “Finance and Growth: Schumpeter Might Be Right,” Quarterly Journal ofEconomic Ko, K., Kim, K and Cho, S.H., 2007, Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets, Journal of the Japanese and International Economies, Vol 1, No 2, pp195213 Leuz, C., Nanda, D., and Wysocki, P D., 2003, Earnings management and investor protection: An international comparison, Journal of Financial Economics, Vol 69(3), pp505-527 Levine, R., and Zervos, S., 1998, Stock markets, banks and economic growth, American Economic Review Lewis, W A., 1955, The theory of economic growth, London Li, S., 2005, Why a poor governance environment does not deter foreign direct investment: The case of China and its implications for investment protection, Business Horizons, Vol 48(4), pp 297-302 Li, J., and Jeong-Bon, K V., 2004, Foreign Equity Ownership and Information Asymmetry: Evidence from Japan, Journal of International Financial Management and Accounting, Vol 15(3), pp185-211 Lin, C H., and Shiu, C.Y., 2003, Foreign ownership in the Taiwan stock market: An empirical analysis, Journal ofMultinational Financial Management 13, pp19-41 Merton, R C., 1987, A simple model of capital market equilibrium with incomplete information, Journal ofFinance 421, pp483-510 47 Morin, F., 2000, A transformation in the French model of share holding and Management, Economy and Society, Vol 29(1), pp36-53 Prasanna, P K., (2008), Foreign Institutional Investors: Investment Preferences in India, J6IAAG, Vol 3, No Rhee, S.G and Wang, J., 2009, Foreign institutional ownership and stock market liquidity: Evidence from Indonesia, Journal of Banking & Finance, Vol 33, No 7, pp1312-1324 Sarkar, P., 2007, Stock Market Development, Capital Accumulation and Growth in India since 1950, online at http://mpra.ub.uni-muenchen.de/5050/, MPRA Paper No 5050 Seasholes, M.S., 2000, Smart foreign traders in emerging markets, University of California at Berkeley Schumpeter, J A., 1911, The theory of economic development Cambridge, MA: Harvard University Press Solnik, B H., 1974, An equilibrium model of the international capital market, Journal ofEconomic Theory' 8, pp500-524 U.S Securities and Exchange Commission, International Investing Online at: http.-77www.sec.gov 7investor pubsFininvest.htm modified at 1st August, 2007 Vo, Xuan Vinh, 2010, Foreign ownership in Vietnam stock market: an empirical analysis, Munich Personal RePEc Archive Paper, No 29863, posted 25 March Wang L & Shen, C., 1999, Do foreign investment affect foreign exchange and stock markets: The case of Taiwan, Journal of Applied Economics, Vol 31(11), pp1303-1317 HOSE Annual Reports 2008, 2009, 2010 and financial reports of listed firms 48 Appendix Tables Teble Variables Summary Obs Mean | | | | | 497 497 28.84889 0483863 476 497 lev | 497 Variable | fo roe eps pe size 481 Min Max 15.91868 043355 17 -.2225 49 2243 19.99735 2816.091 60.28285 5574.516 2.23 51 1288 32898 741328 7066774 02 4.61 4.577277 Std Dev 3.687839 -4.6 44.07 Tnble Correlation Matrix fo roe eps pe size lev fo roe eps pe size lev 1.0000 | | -0.0207 | 0.0866 | 0.0272 | 0.1639 | -0.1601 1.0000 0.2267 0.0780 0.3616 0.1657 1.0000 -0.0206 0.1702 -0.0110 1.0000 0.0789 -0.0035 1.0000 0.0523 1.0000 49 Teble I•ooled OLS Regression rsg fo roe ops ps logsize lev Source | SS Model | 22585.2745 Residual | 96708.5847 Coef fo | roe eps pe logsize lev cons | | | | | | -65.80876 -.0895793 -.0007491 4.639032 -3.098772 3.913431 df 470 Number of obs - MS 4517.05491 205.762946 95 0.0000 R-squared Adj Rsquared Root MSE 0.1893 0.1807 14.344 - [95% Conf Interval] Std Err 17.37219 l936084 0109991 4887111 9703773 3.082494 476 F ( 5, 4701 Prob > F - -3.79 -0.46 -0.07 9.49 -3.19 1.27 0.000 0.644 0.946 0.000 0.002 0.205 -99.94555 -.4700245 -.0223627 3.678703 -5.005587 -2.143745 ’31.67198 2908659 0208645 5.599361 -1.191958 9.970606 Teble Rendom-effects at the company level xtsmt coepenylD yearl panel variable: companyID (unbalanced) tims variable: yearl, 2006q2 to 2010q2 delta: guartor Random-effects GLS regression Group variable: companyID Number of obs Number of groups R-sq: within 0.0239 between 0.2138 overall 0.1438 Obs per group: = avg = max = Random effects u_i - Gaussian corr(u_i, X) - (assumed) fo | roe l Coef -38.21862 eps | -.0635653 pe logsize lev cons l -.0050069 | 2.560102 | 9998136 | 13.30485 sigma u | 11.461302 sigma_e | 8.9349025 rho | 62199443 Wald chi2(5) Prob > chi2 Std Err = = = 476 15.9 17 16.69 0.0051 [95% Conf Interval] 12.16796 -3.14 0.002 -62.06739 l421l46 -0.45 0.655 -.3421048 2149743 00709 78l0325 9539387 5.628459 -0.71 3.28 1.05 2.36 0.480 0.001 0.295 0.018 -.0l89031 1.029306 -.86987l9 2.273278 0088893 4.090897 2.869499 24.33643 (fraction of variance due to u_i) -14.36985 Table Breusch-Pagan Lagrange Multiplier (LM) Test with Random-Effects at the company level Breusch and Pagan Lagrangian multiplier test for random effects fo[companyID, t] = Xb + u[company1D] + e[companyID,t] Estimated results: Test: Var sd - sqrt(Var) fo | 251.145 15.84755 e | u | 79.83248 131.3614 8.934902 11.4613 Var(u) - chi2(1) - 1253.47 Prob > chi2 - 0.0000 Teble Rendom-effects ct the year level xtset yoarl companyID time variable: cogpanylD, to 30, but with gaps delta: unit Random-effects GLS regression Group variable: yearl Number of obs Number of groups R-sq: within 0.1937 between 0.1699 overall 0.1892 Obs per group: avg max - Random effects u_i - Gaussian corr(u i, X) - (assumed) Wald chi2(5) Coef roe eps pe logsize lev cons | -62.20565 | -.08491 | -.0000975 | 4.675104 | -3.105218 | 3.465322 sigma_u | sigma_e | rho | [95% Conf Interval] -3.56 -0.44 -0.01 9.56 -3.21 1.12 0.000 0.660 0.993 0.000 0.001 0.265 -96.41836 -.462687 -.0215838 3.716925 -4.998476 -2.623585 1.6286413 14.15891 01305818 22 28.0 30 Prob > chi2 Std Err 17.45579 1927469 0109626 4888759 9659658 3.106642 476 - (fraction of variance due to u i) 51 -27.99293 292867 0213887 5.633283 -1.21196 9.554228 Table Breusch-Pagan Lagrange Multiplier (LM) Test with Random-Effects at the year level Breusch and Pagan Lagrangian multiplier test for random effects fo[year1,t] - Xb + u[yearl] + e[year1, t] Estimated results: Var fo | e | sd - sqrt(Var) 251.145 200 15.84755 14.15891 1.628641 47447 u | Test: 2.652473 Var(u) chi2 (1) - Prob > chi2 - 3.73 0.0267 Teble Fi:aed-effects at the company level xtaet coepanylD yearl panol variable: companylD (unbalanced) time variable: yearl, 2006q2 to 2010q2 dolta: quarter Fixed-effects (within) regression Group variable: companyID Number of obs Number of groups R-sq: within 0.0253 between 0.1674 overall 0.1136 Obs per group: avg max - corr(u i, Xb) 0.2157 F(5, 441) = - Prob > F fo | roe eps pe logsize lev cons Coef | -36.01381 | -.0657222 | -.0047923 | 1.836663 | 1.369604 | 17.9681 sigma u | 12.628213 sigma_e | 8.9349025 rho | 66639754 Std Err 12.20965 1427163 0070751 90l7427 9825209 6.02795 = - 476 30 15.9 17 2.29 0.0452 [95% Conf Interval] -2.95 -0.46 -0.68 2.04 1.39 2.98 0.003 0.645 0.499 0.042 0.164 0.003 -60.01013 -.3462107 -.0186975 0644155 -.5614007 6.121016 -12.01749 2147664 009ll29 3.60891 3.300609 29.81517 (fraction of variance due to u_i) F test that all u i-0: F(29, 441) - 26.57 52 Prob > F - 0.0000 Table Hausman Test with Fixed-effects at the company level xtset compenylD yearl xtreg fo roe eps pe logsize lev, fe estimates store fixed xtreg fo roe eps pe logmice lev, re estimates store random hauseen fiwed rendom, sigeamore Coefficients -(b) (B) fixed random roe eps pe logsize lev | | | | | -36.01381 -.0657222 -.0047923 1.836663 1.369604 -38.21862 -.0635653 -.0050069 2.560102 9998136 (b-B) sqrt(diag(V_b-V_B)) Difference 2.204806 -.0021569 0002146 -.7234391 3697908 1.483229 0182513 0004319 4578052 2510264 b - consistent under Ho and Ha; obtained from xtreg B - inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(5) - (b-B)' [(V_b-V B)’ (-1)] (b-B) 8.62 Prob>chi2 0.1252 Table 10 Fixed-effects at the year level xtset yearl companyID timg variable: coepenylD, to 30, but vith gepe delta: unit xtreg fo ros eps pe logsize lev, fe Number of obs Number of groups Fixed-effects (within) regression Group variable: yearl R-sq: F(5,454) roe eps pe logsize lev cons | -51.50278 | -.0742688 | 0020243 | 4.783245 | -3.131287 | 2.138337 sigma u | 3.572621 sigma_e | 14.15891 rho | 05985612 F test that all u i-0: Std 18.0211 1937212 01l0514 4988187 9724178 3.144113 22 28.0 30 - Prob > F corr(u_i, Xb) - -0.0753 Coef 476 17 Obs per group: - within - 0.1948 between - 0.1326 overall - 0.1872 fo | Err - [95% Conf Interval] -2.86 -0.38 0.18 9.59 -3.22 0.68 0.004 0.702 0.855 0.000 0.001 0.497 -86.9179 -.4549704 -.0l96939 3.802965 -5.042286 -4.040482 -16.08767 3064327 0237426 5.763525 -1.220289 8.317157 (fraction of variance due to u_i) F(16, 454) - 1.77 54 Prob > F - 0.0319 Teble 11 Hausman Test with Freed-effects at the year level xtoet yearl compsnylD xtreg fo roe eps pe logsize lev, fe emtimatea store fixed xtreg fo roe eps pe logsize lev, re estimetss store random hausman fixed rendom, sigeamore b-B ) Coefficients -(b) (B) Difrn sqrt(diag(V_b-V_B)) S.E fixed random roe | -51.50278 -62.20565 10.70287 4.828492 -.0849l 01064l2 pe | logsize | lev | 0020243 4.783245 -3.131287 -.0000975 4.675104 -3.105218 0021219 0274433 0017835 1109835 eps | -.0742688 l081407 -.026069 1483085 b - consistent under Ho and Ha; obtained from xtreg B - inconsistent under Ha, efficient under No; obtained from xtreg Test: No: difference in coefficients not systematic chi2(5) - (b-B)'[(V b-V B) 9.19 0.1017 55 -1)] (b-B) Table 12 Two-way Fixed-effects with both year and company areg fo roe eps pe logsize lev y1-y17, a(compenyID) note: y1 omitted because of collinearity Linear regression, absorbing indicators Number of obs F( 21, 425) - Prob > F fo | lev yl y2 y3 y4 ¿5 ¿6 y7 /8 y9 ¿10 /11 yl2 y13 yl4 yl5 yl6 y17 _cons companyID | | | | | | | | | | | | | | | | | | | | - 0.0000 R-squared Adj R-squared Root MSE - 0.7647 0.7370 8.1278 [95% Conf Interval] Coef Err roe | -9.101029 eps | 012208 pe | -.0022064 logsize | 476 5.80 4.194981 2.983368 (omitted) 2.882272 2.856032 1.355888 5.087504 6.500309 6.27195 9.774166 12.69899 9.998351 8.990413 8.425468 3.840422 -.l970788 -.507663 -1.021746 -.5l35799 -5.365481 Std 11.83249 l3275l4 0065461 1.234392 -0.77 0.09 -0.34 0.442 0.927 0.736 -32.35852 -.248723 -.0150733 14.15647 273139 0l06604 9362803 3.19 3.40 0.001 1.768708 1.143052 4.823685 2.437005 2.405453 2.563344 2.549964 2.63296 2.69413 2.44204 2.381669 2.397811 2.435015 2.460689 2.459306 2.54591 2.531278 2.518529 2.494698 7.967685 1.18 1.19 0.53 2.00 2.47 2.33 4.00 5.33 4.17 3.69 3.42 1.56 -0.08 -0.20 -0.41 -0.21 -0.67 0.238 0.236 0.597 0.047 0.014 0.020 0.000 0.000 0.000 0.000 0.001 0.119 0.938 0.841 0.685 0.837 0.501 -1.907812 -1.872033 -3.682521 0753933 1.325064 9764712 4.974186 8.017671 5.285305 4.204241 3.588833 -.9934946 -5.201221 -5.483045 -5.97207 -5.417063 -21.02646 7.672356 7.584097 6.394298 10.09961 11.67556 11.56743 14.57415 17.38031 14.7114 13.77658 13.2621 8.674339 4.807063 4.467719 3.928578 4.389903 10.29549 F(29, 425) - 32.854 56 0.002 0.000 6.621254 (30 categories) Teble 13 Two-way Fixed-effects with FO Chenge areg fo_change roe epa pe logsize lev y1-y17, a(compenyID) note: yI omitted because of collinearity Linear regression, absorbing indicators Number of obs = Prob > F fo_change | F( 21, 475 424) R-squared Adj R-squared Root MSE - 1.84 0.0137 0.1200 0.0162 6.6525 [95% Conf Interval] roe eps pe logsize lev y1 Coef Err | -7.909417 | 0866899 | -.0010735 | 2.611448 | 0912739 | (omitted) Std | | | | | | | | | | | | | | | | y2 | -1.831163 y3 ¿5 ¿6 y7 ¿8 ¿9 ¿10 ¿11 yl2 ¿13 ¿14 ¿15 yl6 yl7 cons companyID | -2.845582 -4.335875 -1.137229 -3.411711 -5.392521 -2.317747 -1.6B264 -5.510097 -4.865398 -3.638922 -5.983751 -6.069267 -4.629277 -5.20209 -3.999165 -13.69418 9.685477 1086631 005358 1.01039 766824l -0.82 0.80 -0.20 2.58 0.12 0.415 0.425 0.841 0.010 0.905 -26.94695 -.1268955 -.011605 6254507 -1.415976 11.12811 3002752 009458 4.597446 1.598524 1.994701 -0.92 0.359 -5.751897 2.089571 1.982985 2.098113 2.087162 2.155085 2.205137 1.998806 1.949384 1.962603 1.993046 2.01406 2.012943 2.083839 2.07185 2.061415 2.041909 6.523603 -1.43 -2.07 -0.54 -1.58 -2.45 -1.16 -0.86 -2.81 -2.44 -1.81 -2.97 -2.91 -2.23 -2.52 -1.96 -2.10 0.152 0.039 0.586 0.114 0.015 0.247 0.389 0.005 0.015 0.072 0.003 0.004 0.026 0.012 0•05l 0.036 -6.743287 -8.459873 -5.239702 -7.647691 -9.726882 -6.246549 -5.514299 -9.367741 -8.782B79 -7.597707 -9.940341 -10.16521 -8.701654 -9.253954 ’8•0l2689 -26•5l68l 1.052123 -.2118774 2.965243 8242683 -1.058159 1.611056 2.14902 -1.652454 -.947917 319863 -2.027161 -1.973326 -.5569008 ’1.150226 • 0l43598 ’‹8715487 0.708 0.871 F(29, 424) - 57 (30 categories) ... and some other indices such as Shanghai Index and Dow Jones index also show a high correlation between Vietnamese stock market and some other markets including emerging market and developed market. .. determinants affecting to foreign ownership using dataset for the period 1996-2000 in the Taiwan equities The findings are that foreign investors like to invest in large firms Simultaneously, they... with indicm Although the Vietnamese stock market is infant, volatile but it tends to follow other markets Or other speaking, foreign investors can predict the operation of the Vietnamese stock market,