The impacts of dividend policy and foreign ownership on stock price volatility of Vietnamese listed firms

Abstract

The paper investigates the effects of dividend policy and foreign ownership on stock price volatility of Vietnamese listed firms by using multivariate regression analysis. Besides, the impact of foreign ownership on the association between the dividend policy and the stock price volatility is also studied. The Baskin's approach is deployed to measure the stock price volatility while dividend yield and payout ratio are proxies for the dividend policy. The data sample includes 420 firms listed on the HSX and HNX for 10 years, from 2009 to 2018. The FEM and PCSE are applied to examine the panel dataset with 4045 observations. The key findings indicate that both dividend yield and payout ratio are negatively correlated with stock price volatility. Besides, the stock price volatility of firms with higher dividend payments and a greater rate of foreign ownership is less volatile than those of other companies. Foreign ownership stimulates the negative relationship between dividend yield and stock price volatility, implying that foreign ownership also plays a crucial role in the stability of the stock price. Finally, the results illustrate that the volatility of earnings and the debt ratio are positively related to stock price fluctuation, while the business size and state ownership indicate negative associations with the variability of the stock price.