(Luận văn thạc sĩ) empirical investigation of market value change in vietnam stock market

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY - oOo - HUỲNH THỊ BÍCH THẢO EMPIRICAL INVESTIGATION OF MARKET VALUE CHANGE IN VIETNAM STOCK MARKET MASTER THESIS Ho Chi Minh City – 2011 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY - oOo - HUỲNH THỊ BÍCH THẢO EMPIRICAL INVESTIGATION OF MARKET VALUE CHANGE IN VIETNAM STOCK MARKET MAJOR: FINANCE - BANKING MAJOR CODE: 60.31.12 MASTER THESIS SUPERVISOR: Assoc Prof, Ph.D TRAN HUY HOANG Ho Chi Minh City – 2011 ACKNOWLEDGEMENT I am grateful to my master thesis supervisor, Assoc Prof, Ph.D Tran Huy Hoang, for his guidance, time and insightful comments on my work It is my honor indeed to have the opportunity to work with him and I appreciate on the things we have shared during this time I would like to express profound gratitude to Dr Vo Xuan Vinh for his invaluable supports and useful suggestions as well as his excellent advising from the very first to the final steps of mine in conducting the work leading to this thesis I would like to express my sincere gratitude to all of my lecturers for their teaching and guidance during my maser course at the University of Economics, Ho Chi Minh City Finally, the people I would like to thank the most are my parents and my fiancé Without their continual encouragement and understanding, I would not have been able to complete this journey In addition to immediate family members, there are many closed friends who have supported me through this rough journey I feel very fortunate to have such wonderful friends and supporters in my life With my appreciation Huynh Thi Bich Thao i ABSTRACT This paper attempts to determine stock price volatility in Vietnam stock market using a rich and detailed data set, including both market data and firm attributes In particular, we aim to investigate which firm characteristics affect stock price volatility From the perspective of informational asymmetry, the paper examines the relationship between stock price volatility and firm characteristics of Vietnamese listed firms on Ho Chi Minh City Stock Exchange A sample of 110 listed companies in Vietnam stock market is examined for a period from 2007 to 2009 The empirical estimation is based on panel data modeling technique The findings of the paper indicate that stock price volatility is positively affected by dividend yield, firm age and liquidity Meanwhile, it is negatively correlated with firm size In addition, the results of this study also report that stock price volatility favors foods and beverages, industrials and real estates, construction & materials industries Keywords: Stock price volatility, firm attributes, Vietnam stock market, panel data ii CONTENTS ACKNOWLEDGEMENT i ABSTRACT ii CONTENTS iii LIST OF ABBREVIATION v LIST OF TABLES vi INTRODUCTION 1.1 Background, research motivation and rationale 1.2 Research objectives and research questions .2 1.3 Methodology 1.4 Contribution 1.5 Structure of the thesis LITERATURE REVIEW 2.1 Stock price volatility and dividend policy 2.2 Stock price volatility and firm age 2.3 Sstock price volatility and trading liquidity .8 2.4 Other firm attributes and stock price volatility DATA DESCRIPTION AND DEVELOPING EMPIRICAL RESEARCH HYPOTHESES 11 3.1 Data description 11 3.2 Developing empirical research hypotheses 20 METHODOLOGY 25 4.1 Descriptive statistics and correlation matrix 25 4.2 Bivariate analysis 25 4.3 Multivariate analysis .26 4.3.1 Ordinary Least Square (OLS) regression 27 4.3.2 Fixed effects regression 28 4.3.3 Random effect regression .29 4.3.4 F-statistic test 29 iii 4.3.5 Hausman test 29 RESULTS AND DISCUSSION OF RESULTS 31 5.1 Correlation matrix 31 5.2 Bivariate analysis 33 5.3 Multivariate analysis .35 5.2.1 Overall regression results 35 5.2.2 Overall regression with industry dummies .39 5.2.3 Regression results in each year .42 5.2.3.1 Regression results of 2007 42 5.2.3.2 Regression results of 2008 43 5.2.3.3 Regression results of 2009 44 5.2.4 Regression results for each industry 45 5.2.4.1 Basic materials industry .45 5.2.4.2 Consumer goods and services industry 46 5.2.4.3 Food and beverage industry 47 5.2.4.4 Industrials industry .48 5.2.4.5 Real estate, construction & materials industry .49 5.2.4.6 Others industry 50 CONCLUSIONS 54 6.1 Reviews of findings .54 6.2 Contribution 55 6.3 Limitations and recommendations for future researches 55 REFERENCES 57 APPENDICES 60 Appendix A: Regression results 60 Appendix B: List of 110 companies 88 iv LIST OF ABBREVIATION HOSE Ho Chi Minh City Stock Exchange HNX Hanoi Stock Exchange PV Price volatility EV Earning volatility ROA Return on assets ROE Return on equity ASGR Asset growth rate LEVR Firm leverage CURR Current ratio DY Dividend yield POR Payout ratio SIZE Firm size AGE Firm age TOVR Liquidity EBIT Earning Before Interest and Tax IPO Initial Public Offer OLS Ordinary Least Square v LIST OF TABLES Table 3.1 Summary of industry structure .14 Table 3.2 Description of stock price volatility in Vietnam .15 Table 3.3 Data descriptive statistics for firm attributes 16 Table 3.4 Data descriptive statistics for firm attributes by year 17 Table 3.5 Data descriptive statistics for firm attributes by industry 18 Table 3.6 Data description and expected relation to stock price volatility 24 Table 5.1 Correlation matrix among variables .32 Table 5.2 Variance Inflation Factor .33 Table 5.3 Bivariate regression results 34 Table 5.4 Overall regression results .36 Table 5.5 OLS, fixed effect and random effect tests 39 Table 5.6 Overall regression results with industry dummies 41 Table 5.7 Regression results of 2007 without and with industry dummies .42 Table 5.8 Regression results of 2008 without and with industry dummies .43 Table 5.9 Regression results of 2009 without and with industry dummies .44 Table 5.10 Regression results for basic materials industry .45 Table 5.11 Regression results for consumer goods and services industry .46 Table 5.12 Regression results of food and beverage industry .47 Table 5.13 Regression results of industrials 48 Table 5.14 Regression results of real estates, construction & materials industry 49 Table 5.15 Regression results of others industry 50 Table 5.16 OLS Regression results with ROA, ROE and EV .52 Table 5.17 Cross-section fixed effect regression results with ROA, ROE and EV 53 vi Empirical investigation of stock price volatility in Vietnam stock market INTRODUCTION This section starts with reviewing background and figuring out motivation and rationale of this research This section is then followed by discussing research objectives and research questions After that, a brief of methodology, contribution and structure of this study is presented 1.1 Background, research motivation and rationale Stock price volatility and its determinants remain a source of controversy despite years of theoretical and empirical research Investigations of share price changes appear to yield evidence that changes in fundamental variables should jointly bring about changes in share prices both in developed and emerging markets However, the actual fundamental factors found to be relevant may vary from market to market It is widely agreed that a set of fundamental variables as suggested by individual theories is no doubt relevant as possible factors affecting share price changes in the short and the long-run A substantial a mount of research has been directed toward analyzing the relationship between stock price volatility and firm attributes Among those substantial research in developed market, it can be listed out some outstanding findings such as Baskin (1989) and Fama and French (1992) in the United States context and Allen and Rachim (1996) in Australian context While Baskin (1989) reports a strongly significant relationship between dividend yield and stock price volatility, Allen and Rachim (1996) cannot find any evidence to support this hypothesis but finds another interesting results related to payout ratio 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 2009, there are about 250 firms listed on the Ho Chi Minh Stock Exchange and the smaller exchange in Hanoi Huynh Thi Bich Thao Empirical investigation of stock price volatility in Vietnam stock market Most of the previous studies on determinants of stock return volatility focus on well-developed markets with less attention given to the developing markets To the best of the author knowledge, there are very few studies that address the issue of stock price volatility and fundamental factors in the Vietnamese context This motivates the present study to examine whether firm characteristics can affect the stock price volatility of the Vietnamese companies This study focuses on the same issue for Vietnam Stock market, a developing market Apart from using the latest data, we develop this study by incorporating selected variables for selected purposes to examine the determinants of stock price volatility In addition, industry effects are also taken into consideration of this research As general thinking, the stock prices response to market news everyday Therefore, many researches are conducted on investigation over a short horizon with event study on information announcement effects By contrast, this study attempts to examine the relationship between stock price volatility and firm attributes in a long run basis In order to facility our primary aim, the stock price volatility is calculated using Parkinson (1980) method which reduces the mismatch between relevant time for the share prices and the fundamental ratios Under this method, this study in ideal situation should employ quarterly data for analysis However, there is a large difference between the internal financial statements of firms and the audited reports In addition, according to the regulation, only annual audited reports are required to submit This study, therefore, use annual data from audited reports for more accurate firm attributes 1.2 Research objectives and research questions This study is conducted to analyze the behavior of stock price from a broad perspective The main purpose of this paper is to determine the relationship between stock price volatility and firm attributes We also look at the influence of industry effect on stock price volatility In addition, stock price behavior in each year and each industry is also discussed in this study in order to identify whether there is any Huynh Thi Bich Thao Regression results of Model 11 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 IF DUM3=1 Periods included: Cross-sections included: 22 Total panel (balanced) observations: 66 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR -2.218620 -1.387198 -0.236031 0.924361 -0.052719 5.714203 0.029441 -0.066486 0.438747 0.526943 1.726028 0.661569 0.131818 0.717493 0.066228 1.706490 0.023677 0.170042 0.302722 0.164674 -1.285391 -2.096832 -1.790577 1.288321 -0.796028 3.348513 1.243413 -0.390996 1.449339 3.199925 0.2039 0.0405 0.0788 0.2029 0.4294 0.0015 0.2189 0.6973 0.1528 0.0023 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.586438 0.519973 0.466844 12.20483 -37.95178 8.823223 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.169684 0.673812 1.453084 1.784850 1.584181 1.784286 78 Regression results of Model 12 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 IF DUM4=1 Periods included: Cross-sections included: 22 Total panel (balanced) observations: 66 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR -1.482197 -1.616394 0.039128 -0.529547 0.005706 8.062600 -0.199824 -0.120192 0.118269 0.533064 1.753788 0.933219 0.079739 0.504808 0.018986 2.481871 0.241869 0.185209 0.316791 0.136251 -0.845140 -1.732063 0.490700 -1.049005 0.300510 3.248598 -0.826166 -0.648954 0.373336 3.912362 0.4016 0.0888 0.6256 0.2987 0.7649 0.0020 0.4122 0.5190 0.7103 0.0002 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.479612 0.395979 0.499889 13.99381 -42.46563 5.734676 0.000013 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.093101 0.643203 1.589868 1.921633 1.720964 2.436231 79 Regression results of Model 13 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 IF DUM5=1 Periods included: Cross-sections included: 29 Total panel (balanced) observations: 87 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR -6.364844 0.468811 -0.120627 -0.860374 -0.066556 3.699594 -0.284710 0.231015 0.139972 0.678381 2.253184 0.819086 0.085304 0.514226 0.041671 1.953520 0.162495 0.208315 0.336356 0.181662 -2.824822 0.572359 -1.414079 -1.673143 -1.597175 1.893809 -1.752120 1.108968 0.416144 3.734295 0.0060 0.5687 0.1614 0.0984 0.1143 0.0620 0.0837 0.2709 0.6785 0.0004 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.356527 0.281316 0.592156 26.99994 -72.54946 4.740354 0.000050 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.148991 0.698501 1.897689 2.181126 2.011820 2.132193 80 Regression results of Model 14 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 IF DUM6=1 Periods included: Cross-sections included: 11 Total panel (balanced) observations: 33 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR 0.600956 -4.047578 -0.052499 -1.522029 -0.022253 15.51578 -1.082379 -0.178202 0.144916 0.404294 1.715111 1.364705 0.144190 0.502991 0.019584 3.429893 0.297899 0.213348 0.451653 0.204215 0.350389 -2.965900 -0.364097 -3.025956 -1.136271 4.523692 -3.633379 -0.835262 0.320858 1.979751 0.7292 0.0069 0.7191 0.0060 0.2675 0.0002 0.0014 0.4122 0.7512 0.0598 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.692967 0.572824 0.279239 1.793413 1.229412 5.767832 0.000327 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.828913 0.427241 0.531551 0.985038 0.684135 2.634010 81 Regression results of Model 15 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR 0.418900 -0.155525 -0.060420 0.151068 -0.013482 3.110236 0.021446 -0.331465 0.379646 0.585396 0.897724 0.358455 0.048603 0.250215 0.013480 0.849818 0.026895 0.091665 0.152785 0.077679 0.466624 -0.433877 -1.243132 0.603755 -1.000129 3.659884 0.797429 -3.616052 2.484847 7.536131 0.6411 0.6647 0.2147 0.5464 0.3180 0.0003 0.4258 0.0003 0.0135 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.299216 0.279506 0.563495 101.6086 -273.8856 15.18123 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.720519 1.835643 1.766440 1.874697 82 Regression results of Model 16 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C ROE ASGR LEVR CURR DY POR SIZE AGE TOVR 0.489738 0.041689 -0.064609 0.191406 -0.014150 3.031924 0.023255 -0.339810 0.384048 0.585414 0.903251 0.081626 0.048784 0.247437 0.013344 0.845086 0.026936 0.092400 0.151973 0.077656 0.542195 0.510736 -1.324387 0.773554 -1.060404 3.587709 0.863339 -3.677591 2.527083 7.538537 0.5881 0.6099 0.1863 0.4398 0.2898 0.0004 0.3886 0.0003 0.0120 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.299374 0.279669 0.563431 101.5856 -273.8482 15.19274 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.720292 1.835416 1.766214 1.918772 83 Regression results of Model 17 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C EV ASGR LEVR CURR DY POR SIZE AGE TOVR 0.432290 -0.090703 -0.061259 0.161055 -0.013988 3.099175 0.021661 -0.332289 0.383402 0.584279 0.897174 0.332444 0.048548 0.249033 0.013399 0.853221 0.026908 0.091663 0.152429 0.077641 0.481835 -0.272837 -1.261833 0.646723 -1.043923 3.632323 0.805004 -3.625102 2.515287 7.525399 0.6303 0.7852 0.2079 0.5183 0.2973 0.0003 0.4214 0.0003 0.0124 0.0000 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Huynh Thi Bich Thao 0.298966 0.279250 0.563595 101.6448 -273.9443 15.16320 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.720874 1.835998 1.766796 1.883118 84 Regression results of Model 18 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C ROA ASGR LEVR CURR DY POR SIZE AGE TOVR -12.01505 -0.969101 -0.088417 -0.264332 0.033770 4.004380 0.008552 0.720966 1.523781 0.458125 4.734600 0.528619 0.056007 0.631755 0.024587 1.010747 0.030241 0.427568 0.520192 0.106282 -2.537712 -1.833267 -1.578690 -0.418409 1.373532 3.961802 0.282783 1.686200 2.929269 4.310488 0.0119 0.0682 0.1159 0.6761 0.1710 0.0001 0.7776 0.0932 0.0038 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) Huynh Thi Bich Thao 0.629032 0.421572 0.504894 53.78762 -168.9316 3.032055 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.745040 3.115016 2.291503 3.022667 85 Regression results of Model 19 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C ROE ASGR LEVR CURR DY POR SIZE AGE TOVR -12.07482 -0.203611 -0.086812 -0.175268 0.029886 3.874772 0.010167 0.726062 1.606484 0.448448 4.747329 0.116409 0.056210 0.629886 0.024358 1.011329 0.030148 0.428750 0.518643 0.106560 -2.543497 -1.749105 -1.544433 -0.278254 1.226975 3.831365 0.337250 1.693440 3.097472 4.208410 0.0117 0.0817 0.1240 0.7811 0.2212 0.0002 0.7363 0.0918 0.0022 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) Huynh Thi Bich Thao 0.628510 0.420757 0.505249 53.86338 -169.1638 3.025276 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.746447 3.116423 2.292911 3.052962 86 Regression results of Model 20 Dependent Variable: PV Method: Panel Least Squares Sample: 2007 2009 Periods included: Cross-sections included: 110 Total panel (balanced) observations: 330 Variable Coefficient Std Error t-Statistic Prob C EV ASGR LEVR CURR DY POR SIZE AGE TOVR -11.47897 -0.732983 -0.092689 -0.210983 0.030915 4.053656 0.008981 0.674973 1.556894 0.456365 4.724186 0.499611 0.056029 0.631983 0.024519 1.016126 0.030547 0.426751 0.520800 0.106607 -2.429830 -1.467107 -1.654308 -0.333844 1.260873 3.989322 0.293988 1.581656 2.989425 4.280801 0.0159 0.1438 0.0996 0.7388 0.2087 0.0001 0.7691 0.1152 0.0031 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) Huynh Thi Bich Thao 0.626929 0.418292 0.506323 54.09257 -169.8644 3.004881 0.000000 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 1.092619 0.663858 1.750693 3.120669 2.297157 3.054330 87 Appendix B: List of 110 companies No CODE ABT COMPANY NAME Bentre Aquaproduct Import and Export Joint Stock Company INDUSTRY Food & Beverages LISTED DATE 25-Dec-06 ACL Cuulong Fish Joint Stock Company Food & Beverages AGF Angiang Fisheries Import & Export Joint Stock Company Food & Beverages ALP Alphanam Joint Stock Company Industrials ANV Namviet Corporation Food & Beverages 7-Dec-07 BBC Bibica Corporation Food & Beverages 17-Dec-01 BHS Bienhoa Sugar Joint Stock Company Food & Beverages 20-Dec-06 BMC Binhdinh Minerals Joint Stock Company Basic Materials 28-Dec-06 BMP Binhminh Plastics Joint Stock Company Real Estate, Construction & Materials 10 BT6 620 Chauthoi Concrete Corporation Real Estate, Construction & Materials 18-Apr-02 11 CII Hochiminh City Infrastructure Investment Joint Stock Company Real Estate, Construction & Materials 18-May-06 12 CLC Catloi Joint Stock Company Consumer Goods and Services 16-Nov-06 13 COM Materials - Petroleum Joint Stock Company Consumer Goods and Services 7-Aug-06 14 CYC Chang Yih Ceramic Joint Stock Company Real Estate, Construction & Materials 31-Jul-06 15 DCC DESCON Construction Corporation Real Estate, Construction & Materials 12-Dec-07 16 DCT Dongnai Roofsheet and Construction Material Joint Stock Company Real Estate, Construction & Materials 10-Oct-06 17 DHA Hoaan Joint Stock Company Real Estate, Construction & Materials 14-Apr-04 18 DHG Haugiang Pharmaceutical Joint Stock Company Others 21-Dec-06 19 DIC DIC Investment and Trading Joint Stock Company Real Estate, Construction & Materials 28-Dec-06 20 DMC Domesco Medical Import Export Joint Stock Corporation Others 25-Dec-06 21 DPM Petrovietnam Fertilizer and Chemicals Corporation Basic Materials 5-Nov-07 22 DPR Dongphu Rubber Joint Stock Company Basic Materials 30-Nov-07 23 DRC Danang Rubber Joint Stock Company Consumer Goods and Services 29-Dec-06 24 DTT Dothanh Technology Corporation Industrials 22-Dec-06 25 FMC Saota Foods Joint Stock Company Food & Beverages 7-Dec-06 26 FPC Full Power Joint Stock Company Real Estate, Construction & Materials 25-Jul-06 Huynh Thi Bich Thao 88 5-Sep-07 2-May-02 18-Dec-07 11-Jul-06 27 FPT FPT Corporation Others 28 GIL Binhthanh Import-Export Production and Trade Joint Stock Company Consumer Goods and Services 2-Jan-02 29 GMC Saigon Garment Manufacturing Trade Joint Stock Company Consumer Goods and Services 22-Dec-06 30 GMD General Forwarding and Agency Corporation Industrials 22-Apr-02 31 GTA Thuanan Wood Processing Joint Stock Company Consumer Goods and Services 23-Jul-07 32 33 HAP HAS Hapaco Group Hanoi Post - Telecominication Construction and Installation Joint stock Company Consumer Goods and Services Real Estate, Construction & Materials 4-Aug-00 19-Dec-02 34 HAX Hangxanh Motors Service Joint Stock Company Consumer Goods and Services 26-Dec-06 35 HBC Hoabinh Construction and Real Estate Corporation Real Estate, Construction & Materials 27-Dec-06 36 HDC Baria – Vungtau House Development Joint Stock Company Real Estate, Construction & Materials 37 HMC Hochiminh City Metal Corporation Basic Materials 21-Dec-06 38 HPG Hoaphat Group Joint Stock Company Basic Materials 15-Nov-07 39 HRC Hoabinh Rubber Joint Stock Company Basic Materials 26-Dec-06 40 HSI General Materials Biochemistry Fertilizer Joint Stock Company Basic Materials 21-Dec-07 41 HT1 Hatien Cement Joint Stock Company Real Estate, Construction & Materials 13-Nov-07 42 HTV Hatien Transport Joint Stock Company Industrials 43 ICF Investment Commerce Fisheries Corporation Food & Beverages 18-Dec-07 44 IFS Interfood Shareholding Company Food & Beverages 17-Oct-06 45 IMP Imexpharm Pharmaceutical Joint Stock Company Others 46 ITA Tantao Investment-Industry Corporation Real Estate, Construction & Materials 47 KDC Kinhdo Corporation Food & Beverages 12-Dec-05 48 KHA Khanhhoi Import Export Joint Stock Company Real Estate, Construction & Materials 19-Aug-02 49 KHP Khanhhoa Power Joint Stock Company Others 27-Dec-06 50 L10 Lilama 10 Joint Stock Company Industrials 25-Dec-07 51 LAF Longan Food Processing Export Joint Stock Company Food & Beverages 15-Dec-00 52 LBM Lamdong Building Materials Joint Stock Company Real Estate, Construction & Materials 20-Dec-06 53 LGC Lugia Mechanical Electric Joint Stock Company Industrials 27-Dec-06 54 MCP Mychau Printing and Packaging Holdings Company Industrials 28-Dec-06 55 MCV Cavico Vietnam Mining and Construction Joint Stock Company Real Estate, Construction & Materials 11-Dec-06 Huynh Thi Bich Thao 89 13-Dec-06 8-Oct-07 5-Jan-06 4-Dec-06 15-Nov-06 56 MHC Hanoi Maritime Holding Company Industrials 21-Mar-05 57 MPC Minhphu Seafood Corporation Food & Beverages 20-Dec-07 58 NAV Namviet Joint Stock Company Real Estate, Construction & Materials 22-Dec-06 59 NKD North Kinhdo Food Joint Stock Company Food & Beverages 15-Dec-04 60 NSC National Seed Joint Stock Company Food & Beverages 21-Dec-06 61 NTL Tuliem Urban Development Joint Stock Company Real Estate, Construction & Materials 21-Dec-07 62 PAC Dry Cell and Storage Battery Joint Stock Company Consumer Goods and Services 12-Dec-06 63 PET Petrovietnam General Services Joint Stock Corporation Consumer Goods and Services 12-Sep-07 64 PGC Petrolimex Gas Joint Stock Company Others 24-Nov-06 65 PJT Petrolimex Joint Stock Tanker Company Industrials 28-Dec-06 66 PNC Phuongnam Cultural Joint Stock Corporation Consumer Goods and Services 67 PPC Phalai Thermal Power Joint Stock Company Others 68 PVD PetroVietnam Drilling and Well Services Joint Stock Company Others 69 PVT PetroVietnam Transportation Corporation Industrials 70 RAL Rangdong Light Sources and Vacuum Flask Joint Stock Company Consumer Goods and Services 6-Dec-06 71 REE Refrigeration Electrical Engineering Corporation Industrials 28-Jul-00 72 RIC Royal International Corporation Real Estate, Construction & Materials 31-Jul-07 73 SAM Sacom Development and investment corporation Industrials 28-Jul-00 74 SAV Savimex Corporation Real Estate, Construction & Materials 9-May-02 75 SC5 Construction Joint Stock Company No Real Estate, Construction & Materials 18-Oct-07 76 SCD Chuongduong Beverages Joint Stock Company Food & Beverages 25-Dec-06 77 SFC Saigon Fuel Company Others 21-Sep-04 78 SFI Sea and Air Freight International Industrials 29-Dec-06 79 SJD Candon Hydroelectric Joint Stock Company Others 25-Dec-06 80 SJS Songda Urban & Industrial Zone Investment and Development Joint Stock Company Real Estate, Construction & Materials 6-Jul-06 81 SMC SMC Trading Investment joint stock company Real Estate, Construction & Materials 30-Oct-06 82 SSC Southern Seed Corporation Food & Beverages 83 ST8 Sieuthanh Joint Stock Corporation Industrials Huynh Thi Bich Thao 90 11-Jul-05 26-Jan-07 5-Dec-06 10-Dec-07 1-Mar-05 18-Dec-07 84 TAC Tuongan Vegetable Oil Joint Stock Company Food & Beverages 26-Dec-06 85 TCM Thanhcong Textile Garment Joint Stock Company Consumer Goods and Services 15-Oct-07 86 TCR Taicera Enterprise Company Real Estate, Construction & Materials 29-Dec-06 87 TDH Thuduc Housing Development Corporation Real Estate, Construction & Materials 14-Dec-06 88 TMS Transforwarding Warehousing Joint Stock Corporation Industrials 89 TNA Thiennam Trading-Import Export Joint Stock Company Consumer Goods and Services 90 TNC Thongnhat Rubber Joint Stock Company Basic Materials 22-Aug-07 91 TPC Tandaihung Plastic Joint Stock Company Industrials 28-Nov-07 92 TRC Tayninh Rubber Joint Stock Company Basic Materials 93 TRI Saigon Beverage Joint Stock Company Food & Beverages 28-Dec-01 94 TS4 Seafood Joint Stock Company No Food & Beverages 8-Aug-02 95 TSC Techno-Agricultural Supplying Joint Stock Company Food & Beverages 4-Oct-07 96 TTP Tantien Plastic Packaging Joint Stock Company Industrials 5-Dec-06 97 TYA Taya Vietnam Electric Wire and Cable Joint Stock Company Industrials 15-Feb-06 98 UIC Idico Urban And House Development Joint Stock company Real Estate, Construction & Materials 12-Nov-07 99 VFC Vinafco Joint Stock Corporation Industrials 100 VHC Vinhhoan Corporation Food & Beverages 24-Dec-07 101 VIC Vincom Joint Stock Company Real Estate, Construction & Materials 19-Sep-07 102 VID Viendong Paper Joint Stock Company Consumer Goods and Services 25-Dec-06 103 VIP Vietnam Petrolium Transport Joint Stock Company Industrials 21-Dec-06 104 VIS Vietnam-Italy Steel Joint Stock Company Basic Materials 25-Dec-06 105 VNE VietNam Electricity Construction Joint Stock Corporation Real Estate, Construction & Materials 106 VNM Vietnam Dairy Products Joint Stock Company Food & Beverages 19-Jan-06 107 VPK Vegetable Oil Packing Joint Stock Company Industrials 21-Dec-06 108 VSH Vinhson-Songhinh Hydropower Joint Stock Company Others 109 VTB Viettronics Tanbinh Joint Stock Company Consumer Goods and Services 110 VTO Vietnam Tanker Joint Stock Company Industrials Huynh Thi Bich Thao 91 4-Aug-00 20-Jul-05 24-Jul-07 24-Jul-06 9-Aug-07 18-Jul-06 27-Dec-06 9-Oct-07 Huynh Thi Bich Thao 92 ...MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY - oOo - HUỲNH THỊ BÍCH THẢO EMPIRICAL INVESTIGATION OF MARKET VALUE CHANGE IN VIETNAM STOCK MARKET MAJOR: FINANCE... 19 AGE TOVR Empirical investigation of stock price volatility in Vietnam stock market Table 3.2 shows description of stock price volatility in Vietnam in each year, each industry and in general... 30 Empirical investigation of stock price volatility in Vietnam stock market RESULTS AND DISCUSSION OF RESULTS In this section, we present the empirical findings and an in- depth analysis of the