Ho Chi Minh Stock Exchange Research Articles

Determinants of Profitability: Case Study of Real Estate Companies in Hochiminh Stock Exchange

This study is conducting an empirical examination on the determinants of firm profitability of real estate companies listed on HOSE from 2010 to 2018. The difference from previous studies would lie in the usage of explanatory variables, the quantity of sample and the period of study. Based on data of 34 companies with 306 observations, this research methodology applies descriptive statistics, correlation statistics and regression analysis. The empirical results revealed that firm size, asset turnover, liquidity have a significant impact on firm profitability, while firm growth showed no significant effect on profitability denoted by ROA and ROE.

The Impact of COVID-19 on Stock Market Returns in Vietnam

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.

Ownership Structure and Debt Financing Decision of Vietnamese Listed Companies

Raising capital not only helps firms to meets the capital needs for production and business's development, but also supports them to endure financial risks. Hence, the problem of proactively choosing a reasonable financing structure between equity and debt to maximize corporate value becomes more and more imperative. This paper aims to investigate the relationship between corporate governance, especially ownership structure, and funding decision of Vietnamese listed firms. The study data include 209 non-financial companies with 1,045 firm-year observations obtained from two main stock exchange in Vietnam, including Hanoi Stock Exchange and Ho Chi Minh Stock Exchange, covering a 5-year period from 2014 to 2018. The finding of this study reveals that CEOs, state government, and foreign ownership significantly impact on capital structure, whilst there is no evidence to support the correlation between board ownership and funding decision. As for capital structure specific control variables, including firm size (Size), current ratio (CAR), cash ratio (OPCFTA), tangibility ratio (PPETA), and profitability (ROA) significantly effect on firm leverage.

The Impact of the Introduction of Index Futures on the Daily Returns Anomaly in the Ho Chi Minh Stock Exchange

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.

The Relationship Between Corporate Governance and Underpricing: A Case Study in Ho Chi Minh Stock Exchange

Faculty of Management and Economics, Tomas Bata University in Zlin (Czech Republic) [IGA/FaME/2020/011]

Impacts of Capital Structure and Dividend Policy on the Financial Performance of Listed Companies on Vietnamese Stocks Market

This study is taken to describe the relationship between the levels of debt, dividend policy and the performance of firms listed in Vietnamese stock market. The dividend policy is proxied by the dividend yield while firm’s performance is measured by ROE, ROA, and P/E. The total number of observations is 552, collecting from 92 listed companies on Hochiminh Stock Exchange during 2012 and 2019. The analysis results from generalized least squares (GLS) models report that the choice of firm’s performance proxy affects the relationship between firm’s performance and leverage as well as dividend policy. While leverage has positive impact on ROE and ROA, it has negative impact on P/E. In contrast, dividend yield ratio is negatively correlated with ROA and P/E but positively correlated with ROE. However, the impact of debt levels on firm’s performance is independent with the choice of leverage proxy. The findings of this research are expected to provide better understanding about the connection between debt, dividend and performance of the firm that can support the managers to make relevant decisions.

Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

This paper studies how to construct and compare various optimal portfolio frameworks for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the Vietnamese stock market. The study contains a census of the top 43 companies listed on the Ho Chi Minh stock exchange (HOSE) over the ten-year period from July 2010 to January 2021. Optimal portfolios are constructed using Mean-Variance Framework, Mean-CVaR Framework under different copula simulations. Two-thirds of the data from 26/03/2014 to 27/1/2021 consists of the data of Vietnamese stocks during the COVID-19 recession, which caused depression globally; however, the results obtained during this period still provide a consistent outcome with the results for other periods. Furthermore, by randomly attempting different stocks in the research sample, the results also perform the same outcome as previous analyses. At about the same CvaR level of about 2.1%, for example, the Gaussian copula portfolio has daily Mean Return of 0.121%, the t copula portfolio has 0.12% Mean Return, while Mean-CvaR with the Raw Return portfolio has a lower Return at 0.103%, and the last portfolio of Mean-Variance with Raw Return has 0.102% Mean Return. Empirical results for all 10 portfolio levels showed that CVaR copula simulations significantly outperform the historical Mean-CVaR framework and Mean-Variance framework in the context of the Vietnamese stock exchange.

Multi-agent reinforcement learning approach for hedging portfolio problem.

Developing a hedging strategy to reduce risk of losses for a given set of stocks in a portfolio is a difficult task due to cost of the hedge. In Vietnam stock market, cross-hedge is involved hedging a long position of a stock because there is no put option for the stock. In addition, only VN30 stock index futures contracts are traded on Hanoi Stock Exchange. Inspired by recently achievement of deep reinforcement learning, we explore feasibility to construct a hedging strategy automatically by leveraging cooperative multi-agent in reinforcement learning techniques without advanced domain knowledge. In this work, we use 10 popular stocks on Ho Chi Minh Stock Exchange, and VN30F1M (VN30 Index Futures contracts within one month settlement) to develop a stock market simulator (including transaction fee, tax, and settlement date of transactions) for reinforcement learning agent training. We use daily return as input data for training process. Results suggest that the agent can learn trading and hedging policy to make profit and reduce losses. Furthermore, we also find that our agent can protect portfolios and make positive profit in case market collapses systematically. In practice, this work can help Vietnam’s stock market investors to improve performance and reduce losses in trading, especially when the volatility cannot be controlled.

Factors Affecting the Adoption of IFRS: The Case of Listed Companies on Ho Chi Minh Stock Exchange

Factors Affecting the Adoption of IFRS: The Case of Listed Companies on Ho Chi Minh Stock Exchange

The Impact of Working Capital Management on Solvency: Empirical Study From Listed Companies in Vietnam

Working capital management has a great impact on the solvency of any business entity. This paper examines the impact of working capital management on the solvency of enterprises listed on the Vietnamese stock exchange. Data were collected from the financial statements of 395 enterprises listed on the Ho Chi Minh Stock Exchange and the Hanoi Vietnam Stock Exchange with a total of 1,580 observations in the period of 2015 - 2018. The study used Ordinary Least Square (OLS), Fixed Effect Model (FEM), and Random Effect Model (REM) to investigate the impact of some variables such as average collection period index, inventory conversion cycle index, and average payment period index on the solvency in both short and long terms. The empirical results showed that the average collection period and inventory cycle have a positive impact on short-term solvency and long-term solvency while the average payment period has the opposite impact.

The Effect of Macroeconomic Conditions on the Performance of Vietnamese Stock Market

Vietnam plays an important role in the global supply chain. As one of important emerging markets, many studies have focused on Vietnam-related issues. Vietnam established two stock markets in 2000s. The market performance becomes one of interesting issues to explore. This study is to investigate the impact of macroeconomic variables, including inflation rate, exchange rate, interest rate, imports, exports, and gold price, on Ho Chi Minh stock market.
 The study period is from July 2000 to October 2014. Using the monthly data collected from Vietnam General Statistic Office, IMF International Financial Statistics, and Ho Chi Minh stock exchange, the empirical findings of our regression model show that there exists a positive relationship for imports and gold price, while the relationships for exchange rate and interest rate are negative. No significant relationship has been found for the variables of inflation rate and exports.

Location Choice and the Firm Performance in Developing Countries: The Exploration-Exploitation Perspective

Location choice has been one of the key elements to affect the performance of firms. While existing literature highlights the strategic value of agglomeration, we question whether the value also applies in the context of developing economies, considering the weak institutional environment would hamper the overall benefit of clusters. Based on the exploitation-exploration framework proposed by March (1991), this study posits that the exploration-oriented locations provide more opportunities for firms operating in developing countries. Reflecting the characteristics of developing countries that state intervention is common and strong, we hypothesize that the state ownership, opposite to the venturing spirit, flexibility, and agility on the private businesses, weakens the strategic fit with the exploration-oriented location choices. Using a dataset of Vietnamese firms listed in the Ho Chi Minh Stock Exchange, our statistical findings show that firms’ level of exploration orientation would have a positive effect on firm performance. Additionally, the level of state ownership would weaken the effect of exploration-oriented location choice on the performance. Overall, this study suggests that exploration-oriented locations may be the optimal choice for firms who would seek profitability and achieve competitive advantage in developing countries. At the same time, state ownership may prevent firms from efficiently utilizing the accessible resource in those locations.

Ho Chi Minh Stock Exchange Market: Operations and Efficiency

This paper presents an up-to-date account of market operations of the Ho Chi Minh Stock Exchange and examines its informational efficiency in recent years. The daily closing prices and rates of return of VN Index – the major market index of Ho Chi Minh Stock Exchange and 10 stocks chosen from different sectors are employed, from 2 January 2018 to 31 December 2019, to investigate the random walk hypothesis of market efficiency using the Lo-MacKinlay variance ratio test and Chow-Denning multiple variance ratio test. Our results show that the market index and individual sample stocks conform to the null hypothesis of a random walk type 3 model of a weak form market efficiency. The paper also presents the results of an Event Study to examine the semi-strong form market efficiency of the HOSE. The empirical results on this type indicate that there are significant abnormal returns and significant cumulative abnormal returns by trading the stocks around the events. These results are inconsistent with the requirements of a semi-strong form market efficiency, and it thus appears that further improvements in transmission of information and its speed within this market are needed to further improve the efficiency of this emerging market.

Independent directors and performance of companies listed on the Ho Chi Minh stock exchange

This paper examines the impact of independent directors on firm performance by using a sample of companies listed in Ho Chi Minh stock exchange over the period from 2012 to 2018. The sample is an unbalanced data panel with 1693 observations. GMM estimation system is employed to control endogeneity as well as other problems in the model, and is suitable for the data with short time periods and a large number of companies. The results show that independent directors negatively affect firm performance. In addition, the study examines the impact of the number of independent directors on listed firm performance, which is also a new contribution of the study. In particular, public companies with one or two independent directors on board have a negative impact on their performance. However, it is unfounded that three or more independent directors cause a reduction in the performance of listed companies. Thus, independent directors have not supported improving firm performance partly due to information asymmetry among the insiders and outsiders as well as the independent director’s governance capacity. Furthermore, this study proposes policy implications aiming to promote the effective governance role of independent directors with the listed firm performance.

Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market

This article examines how investor sentiment affects stock returns on Vietnam's stock market. Investor sentiment index is measured by a relative strength index (RSI) of 57 companies listed on the Ho Chi Minh Stock Exchange from January 1, 2015 to July 31, 2020. Control variables include investors' stock trading behavior, firm size, and cash flow per share. Using Fama-MacBeth regression estimation and general least square estimation (GSL) on a daily basis, both methods find the sentiment of high investors producing higher stock returns, on the contrary, the sentiment of low investors erodes stock returns. Different from the results of Brown and Cliff (2004) [Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27], the article found that the investor sentiment factor plays the most important role in explaining the return of the stock market compared to the rest of the factors.

Jumps Across Asset Classes and Their Diversification Benefits: Evidence from Vietnamese Asset Markets

This study considers the jump correlations across gold, imported crude oil, the Ho Chi Minh stock exchange (VN-Index), the Ha Noi stock exchange index (HNX-Index), and their impacts on diversification benefits. Understanding jumps is critical for investors because cross-asset diversification is reduced when jumps occur often and are correlated. Results indicate the presence of jumps in all assets. The average correlation between the asset classes is -0.025, indicating that diversifying across asset classes reduces the jump risk to which an investor is exposed. The findings highlight the downside of assessing the advantages of diversification across asset classes solely on the basis of returns. While this can seem to be of little importance, diversification is likely to result in a substantial reduction in jump risk. An analysis of the domestic oil price surge, the gold ban as a payment vehicle under Government Resolution No: 11/NQ-CP, and the Covid-19 pandemic show the benefits of cross-asset diversification from a jump risk standpoint. According to the results, jump correlations do not always have a negative impact on diversification benefits. A return shift in one asset and a transition in the other asset in the same direction are common characteristics of co-jumps between assets.

Covid 19 pandemic and Abnormal Stock Returns of listed companies in Vietnam

Covid-19 pandemic is affecting the health of the public, and it is also impacting business and economy. The main objective of this paper is to investigate the impact of Covid-19 pandemic on listed firms’ performance and the abnormal stock returns in Vietnam. To study the impact of Covid-19 on firms’ performance, we collected data about announced earnings on Q1/2020 and Q4/2019 of 714 enterprises and made comparison. The results revealed the enormous impacts of Covid-19 pandemic on the business performance. However, the level of influence varies among sectors. To study the impact of Covid-19 on the abnormal stock returns, the study employed the event research method with 3 events related to Covid-19 pandemic in Vietnam. A sample of 364 companies listed on Ho Chi Minh Stock Exchange (HOSE) was utilized. The findings revealed that the Covid-19 event affects the abnormal returns of stocks and the level of influence varied from each stage of Covid-19 prevention measure in Vietnam. The degrees of influence of the Covid-19 event on each stock were also different. The paper concluded that Covid-19 pandemic information can be used to predict stocks’ prices.

The impact of tax avoidance on the value of listed firms in Vietnam

The study aims to examine the impact of tax avoidance on the value of listed firms in Vietnam. Using a sample of 209 non-financial businesses listed on the Ho Chi Minh Stock Exchange (HOSE) in Viet...

Linkage Between Exchange Rate and Stock Prices: Evidence from Vietnam

The study investigates the asymmetric effect of exchange rate changes on stock prices in Vietnam. We use the nonlinear autoregressive-distributed lag (ARDL) analysis for monthly data from 2001:01 to 2018:05, based on VN-Index stock price collected from Ho Chi Minh Stock Exchange (HOSE); the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is estimated both in the long-run relationship and the short-run error correction mechanism. The research results show that the effect of exchange rate changes on stock prices is asymmetrical, both in the short run and in long run. Accordingly, the stock prices react to different levels to depreciation and appreciation. However, the currency appreciation affects a stronger transmission of stock prices when compared to the long-run currency depreciation. In the absence of asymmetry, the exchange rate only has a short-run impact on stock prices. This implies a symmetrical assumption that underestimates the impact of exchange rate changes on stock prices in Vietnam. This study points to an important implication for regulators in Vietnam. They should consider the relationship between exchange rate changes and stock prices in both the long run and the short run to manage the stock and foreign exchange market.

State Ownership and Firm Performance in Vietnam: The Role of State-Owned Holding Company

Manuscript type: Research paper Research aims: Ownership structure is crucial to corporate governance as it explains sources of the agency conflicts. Despite the studies performed on the roles and impacts of diverse corporate ownership on corporate performance and corporate governance, the role of state-owned holding company (SOH), as a particular type of state ownership, has not been duly explored. This study addresses the gap by examining the relationship between SOH ownership in listed companies, and how they perform. Design/Methodology/Approach: This quantitative study applies empirical models which test the impact of the different ownerships of firms on firm performance by controlling board characteristics. Regression models are used to test the explanatory power of the variables of interest. Data are collected from all the non-financial firms listed on the Ho Chi Minh Stock Exchange (HOSE), and the Hanoi Stock Exchange (HNX), prior to 31 December, 2009. The selected period equals to a balanced panel dataset of 242 firms for a period of 9 years, ranging from 2009 to 2017. Research findings: The results show that firms with SOH ownership, or SOH-linked companies (SLCs), tend to deliver superior returns. They also enjoy higher valuations than government-linked companies(GLCs), and non-GLCs. There is evidence to show that when the SOH holds a dominant ownership, it exercises positive control over firms, thereby resulting in better market performance. Theoretical contribution/Originality: The evidence of this study focusses on Vietnam. It is also consistent with the findings of other countries. This study confirms that the SOH model mitigates the agency problems that exist in companies with state capital. This study also provides empirical evidence which support that SOH is a mechanism that resolves the various problems noted in state-linked companies caused by conflicting objectives, political influences, and poor management and governance. Practitioner/Policy implications: This study offers regulators a reference which can be used when making policies that would suit the environment of Vietnam. In that regard, it offers an indepth look into the SOH model which is further encouraged for replication. The outcome derived from this study can help managers to make adjustments and improvements in company’s corporate governance so as to achieve better firm performance. This study also helps investors and other stakeholders to better understand the problems arising from corporate governance in Vietnam. In that regard, the outcome can be used to help them make better decisions such as investments, choosing board directors, or making corporate governance policies. Research limitation/Implications: This study faces some limitations, among which is that it focusses solely on firm performance.