scholarly journals Essays on the Vietnam Stock Market

2021 ◽  
Author(s):  
◽  
Phuong Nguyen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Surveillance System ◽  
Negative Relationship ◽  
Informed Trading ◽  
Market Liquidity ◽  
Foreign Investor ◽  
Foreign Investors ◽  
One Year ◽  
The Relationship

<p>This thesis consists of three substantive studies about the Vietnam stock market. In particular, I study the asymmetric information, corporate governance (CG) practices, and foreign investment of publicly listed companies in Vietnam, presented in Chapters 2, 3, and 4, respectively.  In Chapter 2, I investigate the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnam stock market, as measured by liquidity and informed trading level. I find that market liquidity decreased after the introduction of the MSS, and that the effect is more pronounced for small firms. Although informed trading, on average, does not change significantly after the MSS, subsample analysis indicates a significant decrease in informed trading among large and liquid firms.  In Chapter 3, I investigate the relationship between firms’ CG practices and informed trading. I find a negative relationship between the two variables. Firms with better CG practices have a lower level of informed stock trading. Moreover, a natural experiment on a shock of firms’ CG practices generated by the CG policies shows that the negative relationship between CG practices and informed trading is a causal one, in which a change in the former causes a change in the latter. In another analysis around the implementation of the MSS, I find that the implementation of the surveillance system affects the relationship between the two variables, and this effect is driven by large and liquid firms.  In Chapter 4, I investigate whether foreign investors in the Vietnam stock market are informed about firms’ performance. Using the residuals of foreign investor ownership as a measure of the abnormal foreign investor holding, I find that the abnormal foreign investor holding is positively correlated with firm performance in the following one year. I also find a positive correlation between abnormal foreign investor holding and the stock returns in the next three quarters. These findings indicate that foreign investors are informed about the firms up to a one-year period.</p>

scholarly journals Essays on the Vietnam Stock Market

2021 ◽  
Author(s):  
◽  
Phuong Nguyen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Surveillance System ◽  
Negative Relationship ◽  
Informed Trading ◽  
Market Liquidity ◽  
Foreign Investor ◽  
Foreign Investors ◽  
One Year ◽  
The Relationship

<p>This thesis consists of three substantive studies about the Vietnam stock market. In particular, I study the asymmetric information, corporate governance (CG) practices, and foreign investment of publicly listed companies in Vietnam, presented in Chapters 2, 3, and 4, respectively.  In Chapter 2, I investigate the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnam stock market, as measured by liquidity and informed trading level. I find that market liquidity decreased after the introduction of the MSS, and that the effect is more pronounced for small firms. Although informed trading, on average, does not change significantly after the MSS, subsample analysis indicates a significant decrease in informed trading among large and liquid firms.  In Chapter 3, I investigate the relationship between firms’ CG practices and informed trading. I find a negative relationship between the two variables. Firms with better CG practices have a lower level of informed stock trading. Moreover, a natural experiment on a shock of firms’ CG practices generated by the CG policies shows that the negative relationship between CG practices and informed trading is a causal one, in which a change in the former causes a change in the latter. In another analysis around the implementation of the MSS, I find that the implementation of the surveillance system affects the relationship between the two variables, and this effect is driven by large and liquid firms.  In Chapter 4, I investigate whether foreign investors in the Vietnam stock market are informed about firms’ performance. Using the residuals of foreign investor ownership as a measure of the abnormal foreign investor holding, I find that the abnormal foreign investor holding is positively correlated with firm performance in the following one year. I also find a positive correlation between abnormal foreign investor holding and the stock returns in the next three quarters. These findings indicate that foreign investors are informed about the firms up to a one-year period.</p>

scholarly journals Media Coverage and Sustainable Stock Returns: Evidence from China

2019 ◽  
Vol 11 (8) ◽  
pp. 2335 ◽  
Author(s):  
Tian Yang ◽  
Jinsong Liu ◽  
Qianwei Ying ◽  
Tahir Yousaf
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Media Coverage ◽  
Positive Influence ◽  
Chinese Stock Market ◽  
Investor Attention ◽  
Monthly Data ◽  
News Reports ◽  
One Year ◽  
The Relationship

This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns in the following months over a one-year period compared with those with lower media coverage, which means that media coverage has a more significant and positive influence on sustainable stock returns in the markets, dominated by individual/immature investors. These results are largely robust to various robustness checks. Further empirical results demonstrate that in the Chinese stock market, a higher level of media coverage might cause higher sustained investor attention, which may drive up the buying pressure and thus lead to higher sustainable stock returns in the following year. Our results show that the effect of media coverage on stock returns depends on the characteristics of investors.

scholarly journals Correlates of Stock Market Development and Economic Growth: A Confirmatory Study from Ghana

2022 ◽  
Vol 14 (3) ◽  
pp. 1
Author(s):  
Edward Alabie Borteye ◽  
Williams Kwasi Peprah
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Positive Relationship ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Positive Association ◽  
Market Liquidity ◽  
Market Development ◽  
Stock Market Development ◽  
The Relationship

The study confirms the debate on whether stock market development correlates to economic growth. The dimensions used for the stock market development consisted of market liquidity, size, and capitalization. Economic growth was represented by the real gross domestic product (GDP) growth rate. Based on secondary data obtained from the Ghana Stock Exchange (GSE) and Ghana Statistical Service from 2014 to 2018, a correlational research design was adopted to analyze the data with SPSS 20v by using bivariate and regression. The study found that there is a high positive relationship between market liquidity and economic growth, a moderate negative relationship between market size and economic growth, and a moderate positive relationship between market capitalization and economic growth. Also, the stock market development of market liquidity, size, and capitalization predict 95.7 percent of economic growth. The study summarized that there is a high positive association between stock market development and economic growth as a confirmatory revelation, but all the relationship results were not statistically significant. The result points to the casualty of the relationship between stock market development and economic growth. The study recommends that more firms must be encouraged to be listed on GSE to enhance economic growth in Ghana.

Predicting US recessions with stock market illiquidity

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Shiu-Sheng Chen ◽  
Yu-Hsi Chou ◽  
Chia-Yi Yen
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Market Liquidity ◽  
Credit Spreads ◽  
Stock Market Liquidity ◽  
Predictive Content ◽  
Dynamic Link

AbstractIn this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.”

scholarly journals EARNINGS ANNOUNCEMENTS AND COMPETING INFORMATION: THE INDONESIAN EVIDENCE

2015 ◽  
Vol 29 (1) ◽  
Author(s):  
Dedhy Sulistiawan ◽  
Jogiyanto Hartono ◽  
Eduardus Tandelilin ◽  
Supriyadi Supriyadi
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Earnings Announcements ◽  
Negative Relationship ◽  
Technical Analysis ◽  
Earnings Announcement ◽  
Price Reaction ◽  
Price Reactions ◽  
The Relationship ◽  
The U.S

The main purpose of this study is to provide empirical evidence of the relationship betweeninvestors’ responses to two events, which are, (1) earnings anouncements, and (2) technicalanalysis signals, as competing information. This study is motivated by Francis, et al. (2002),whose study used stock analyst’s recommendations as competing information in the U.S stockmarket. To extend that idea, this study uses technical analysis signals as competing informationin the Indonesian stock market. Using Indonesian data from 2007-2012, this study shows thatthere are price reactions on the day of a technical analysis signal’s release, which is prior toearnings announcements. It means that investors react to the emergence of competinginformation. Reactions on earnings announcements also produce a negative relationship withthe reaction to a technical analysis signal before an earnings announcement. This study givesevidence about the importance of technical analysis as competing information to earningsannouncements.Keywords: competing information, earnings announcements, technical analysis, price reaction

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

scholarly journals State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange

2020 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Szymon Stereńczak
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Liquidity Premium ◽  
Stock Liquidity ◽  
Holding Period ◽  
State Dependent ◽  
Warsaw Stock Exchange

The effect of stock liquidity on stock returns is well documented in the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to analyze the state-dependent variance of liquidity premium in the Polish stock market. The Polish capital market may serve as a benchmark for other emerging markets in the region of Central and Eastern Europe, hence the results of this research should be of great interest for investors and policy makers in Poland and other post-communist European countries. In the empirical, study a unique empirical methodology has been applied, which guarantees the uniqueness of the results obtained. The results obtained suggest that on the Polish stock market exists stock liquidity premium, which is statistically significant, but constitutes only a small fraction of returns. It also does not increase during periods of bearish market, what results from the lengthening of average holding period when market liquidity decreases.

scholarly journals The Linkage between Sentiments and Stock Market Dynamics New Evidence from Iran

2020 ◽  
Vol 9 (2) ◽  
pp. 29
Author(s):  
Heshmatollah Asgari ◽  
Hamed Najafi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Screening Method ◽  
Market Price ◽  
Investor Sentiment ◽  
Financial Assets ◽  
Causality Test ◽  
Research Criteria ◽  
The Impact ◽  
The Relationship

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market

2018 ◽  
Vol 3 (5) ◽  
pp. 7-11 ◽  
Author(s):  
Godwin Olasehinde-Williams
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
West African ◽  
Expected Returns ◽  
Economic Agents ◽  
The Impact ◽  
The Relationship

Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility on BRVM stock returns in the integrated regional West African stock market. A positive but insignificant relationship was found between volatility and stock returns. The study concludes that there is no significant feedback from volatility to average returns in the stock market. Our findings indicate that investors are not compensated for taking risks in the regional stock market.

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