Tác động của thanh khoản đến biến động giá cổ phiếu: Nghiên cứu trường hợp các ngân hàng thương mại cổ phần Việt Nam

Abstract

Stock price is considered the top priority factor in attracting the attention of investors when investing in the stock market. In developed markets, changes in liquidity can help predict future changes in price volatility. The paper was conducted with the aim of analyzing the impact of banking liquidity on the stock price volatility of commercial banks listed on the Vietnam stock market. With a data sample of 27 commercial banks in the period from 2012 to 2022. By regressing panel data through system- GMM estimation (SGMM), the research results show that banking liquidity (LIQ) and bank size (SIZE) have a negative impact on banking stock price volatility (SPV). Meanwhile, changes in the deposit interest rate (IR) and changes in the exchange rate (EXR) have a positive impact on the volatility of banking stock prices (SPV). Besides, the study does not have enough evidence to prove that allowance for credit losses (AFCL), the price-to-earnings ratio (P/E) and the economic growth (GDP) have an impact on banking stock price volatility (SPV).