Search Results (8)

The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market. Full article

The study investigates how the depreciation of the Vietnam dong (VND) against the US dollar (USD) affected export turnover and the stock market in Vietnam during the period from 2000 to 2020. A Markov triple regime-switching model is developed for time-series data involving multistructural breaks. Empirical results reveal that the impact of exchange rates on export turnover and stock price existed both in the long and short run. In the short run, the depreciation of VND led to (i) an increase in export turnover after 12 months; (ii) a decrease in export turnover of the high-growing regime in the short term; (iii) a reduction in stock returns in most cases. In addition, the common cycle from order receipt, preparation, production, and export is about 12 months for all states. The high volatility of export turnover was associated with high export growth. The commonly used phrase of “high risk, high return” seems to not be true for Vietnam’s stock market. The results of this study suggest the feasibility of a slight appreciation of VND against USD, which is the key to escape from being labeled a currency manipulator by the US Treasury. Full article

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market—a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed companies on both HOSE (the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2 January 2020 to 13 December 2020. The study shows that the number of daily COVID-19 confirmed cases in Vietnam has a negative impact on stock returns of listed companies in the market. The impacts were more severe for the pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors, with the financial sector being the most affected. With significant government control and influence over the bank-dominated financial system, the financial sector was expected to absorb some of the negative shocks hitting the real sector. Such expectations were reflected in the stock market movement during the pandemic. Full article

This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE). Daily returns of the VN30-Index for the period 6 February 2012 through 31 December 2019 are used in this study to ascertain the new VN30-Index futures contract influence on the day-of-the-week anomaly observed in the HOSE. To test this effect, ordinary least square (OLS), generalized autoregressive conditional heteroskedasticity [GARCH (1,1)] and exponential generalized autoregressive conditional heteroskedasticity [EGARCH (1,1)] regression models were employed. The empirical results obtained from the models support the presence of the day-of-the-week effect for the HOSE during the study period. Specifically, a negative effect was observed for Monday. However, the analysis revealed that the day-of-the-week effect was only present in stock returns for the pre-index futures period, not for the post-index futures period. These findings suggest that the introduction of the VN30-Index futures contract had a significant impact on the daily returns anomaly in Vietnam’s HOSE, providing evidence that the introduction of the index futures contract facilitated market efficiency. Full article

Corporate risk-taking behavior and investment is a crucial factor in order to seek higher profits and a better trading strategy. Competitive advantage and innovation, while maintaining profitability and state ownership, are considered as crucial resources. Furthermore, it is essential to connect the short-term and long-term business and investment objectives plus stakeholder’s expectations to corporate sustainability and development. This connection is especially important in the context of transforming economies and getting better trading strategies. This study estimates the relationship between state ownership, profitability, corporate risk-taking behavior, and investment in Vietnam by using Generalized Method of Moments (GMM) methods. Using the data of 501 listed non-financial corporates during the period 2007–2015 from Ho Chi Minh City and Hanoi Stock Exchanges, we find that profitability is determined as a factor to reduce corporate risk-taking acceptance caused by the chances of entrenchment. Meanwhile, the impact of state ownership on the risk appetite of corporate has a non-linear effect. In particular, state ownership reduces corporate risk-taking behavior and investment but yet increases the risk-taking behavior and investment when the state ownership rate exceeds a threshold. One the one hand, this implies that the low level of state ownership not only prevents risk-taking behavior and investment but also results in more severe agency problems, causing unsustainability due to the imbalance of interests among various stakeholders. On the other hand, a dominant role of state ownership concentration causes a boost in corporate risk-taking decision-making in investment and trading strategy, leveraging the connection of significant external resources to deal with uncertain problems. The study contributes to existing theories of corporate governance in the context of a socialist-oriented market. Full article

This research is conducted to investigate the impact of corporate governance on stock price synchronicity in the context of the Vietnamese market. The paper tests four hypotheses proposing the effect of four crucial components of corporate governance including board size, board independence, managerial ownership, and foreign ownership on stock price synchronicity. The study sample includes 247 non-financial listed companies on the Ho Chi Minh Stock Exchange (HOSE) in Vietnam over a period of five years from 2014 to 2018. The fixed effects model is employed to address econometric issues and to improve the accuracy of the regression coefficients. The research results show the positive impact of board size and foreign ownership but the negative impact of managerial ownership on stock price synchronicity. This study confirms the viewpoint that stocks in the market move more together when the firms’ corporate governance gets better. In other words, the research findings suggest that low synchronicity signifies the corporate intransparency and weak information environment and vice versa. From this, the paper provides a new insight to managers on how to improve stock price synchronicity with corporate governance. Full article

Raising capital efficiently for the operations is considered a fundamental decision for any firms. Since the 1960s, various theories on capital structure have been developed. Various empirical studies had also been conducted to examine the appropriateness of these theories in different markets. Unfortunately, evidence is mixed. In the context of Vietnam, a rising powerful economy in the Asia Pacific region, this important issue has been largely ignored. This paper is conducted to provide additional evidence on this important issue. In addition, different factors affecting the capital structure decisions from the Vietnamese listed firms are examined. The Generalized Method of Moment approach is employed on the sample of 227 listed firms in Ho Chi Minh City stock exchange over the period from 2008 to 2017. Findings from this study suggest that the Vietnamese listed firms follow the trade-off theory to determine their capital structure (i.e., to determine the optimal debt level). In contrast, no evidence has been found to confirm that the pecking order theory can explain the financing decisions of the Vietnamese listed firms, as previously expected. In addition, findings from this study also indicate that ‘Fund flow deficit’ and ‘Change in sales’ are the most two important factors that affect the amount of debt issued for the Vietnamese listed firms. Implications for academics, practitioners, and the Vietnamese government have also been emerged from the findings of this paper. Full article

The purpose of this research is to investigate whether there is an optimal cash holding ratio, in which firm’s performance can be maximized. The threshold regression model is applied to test the threshold effect of the cash holding ratio on firm’s performance of 306 non-financial companies listed on the Vietnam stock exchange market during the period of 2008–2017. Experimental results showed that a single-threshold effect exists between the ratio of cash holding and company’s performance. A proportion of cash holding within a threshold of 9.93% can contribute to improvement of the company’s efficiency. The coefficient is positive but tends to decrease when the cash holding ratio passes the 9.93% check point, implying that an increase in cash holdings ratio will continue to diminishment of efficiency eventually. Therefore, the relationship between cash holding ratio and firm’s performance is nonlinear. From this result, this paper provides policy implications for non-financial companies listed on the Vietnam stock exchange market in determining the proportion of cash holding flexibly. In detail, non-financial companies listed on the Vietnam stock exchange market should not keep the cash holding ratio over 9.93%. To ensure and enhance the company’s performance, the optimal range of cash holding ratios should be below 9.93%. Full article