UNIVERSITY OF ECONOMICS HO CHI MINH CITY International School of Business NGUYEN HOANG MINH TRI THE RELATION BETWEEN STOCK PRICE VOLATILITY AND FIRM CHARACTERISTICS OF VIETNAMESE LISTED FIRMS ON HO CHI MINH CITY STOCK EXCHANGE MASTER OF BUSINESS (Honours) Ho Chi Minh City - 2014 UNIVERSITY OF ECONOMICS HO CHI MINH CITY International School of Business NGUYEN HOANG MINH TRI THE RELATION BETWEEN STOCK PRICE VOLATILITY AND FIRM CHARACTERISTICS OF VIETNAMESE LISTED FIRMS ON HO CHI MINH CITY STOCK EXCHANGE ID: 22110071 MASTER OF BUSINESS (Honours) SUPERVISOR: Dr PHAM PHU QUOC Ho Chi Minh City – 2014 ACKNOWLEDGEMENTS Firstly, I would like to express my deep gratitude to Dr Pham Phu Quoc, my supervisor who has given highly support and valuable advices during the process of my conducting the research Especially, I am grateful for his enthusiasm in answering, reminding as well as his feedback, guidance and correction thank to that I can able to accomplish this thesis Second, I would like to thank Prof Sarath Delpachitra of Flinders University Australia and invited lecturer at International School of Business (ISB) – University of Economics Ho Chi Minh City (UEH) for his review and revision my thesis Third, I would like to express profound gratitude to Dr.Dinh Thai Hoang who taught me the methodology of data analysis, and give me guidance in data analysis of this thesis as well Next, I would like to express my sincere gratitude to all of my lecturers at International School of Business (ISB) – University of Economics Ho Chi Minh City (UEH) who have transmitted their knowledge and experience to me during my master course Furthermore, the enthusiastic assistance of the ISB’s executive board and staffs was greatly appreciated Last but not least, I would also want to thank my friends and classmates who have shared their knowledge, supported, and worked with me during the i time of my studying at ISB Without their continual encouragement and understanding, I would not have been able to complete this journey It is very fortunate for me to have such wonderful friends and supporters in my life With my appreciation Nguyen Hoang Minh Tri ii STATEMENT OF AUTHORSHIP I hereby declare that this submission is my own work and except where due reference is made; this thesis contains no material previously published or written by another person(s) This thesis does not contain material extracted in whole or in part from a thesis or report presented for another degree or diploma at University of Economics Ho Chi Minh City (UEH), International School of Business (ISB), or any other education institution Nguyen Hoang Minh Tri May 2014 iii ABSTRACT This paper attempts to determine stock price volatility in the Vietnamese stock market using a rich and detailed data set, including both market data and firm characteristics In particular, this research aim to investigate whether firm’s characteristics affect stock price volatility and examines the relation between stock price volatility and firm characteristics of Vietnamese listed firms on Ho Chi Minh City Stock Exchange A sample of 110 listed companies in Vietnam stock market is examined for a period from 2008 to 2012 The empirical estimation is based on panel data modeling technique The findings of the paper indicate that stock price volatility is negative affected by firm leverage, positively influenced by asset growth rate and firm size firm Meanwhile, this study find out that dividend yield and dividend pay-out ratio insignificant to the stock price volatility in Vietnam stock market Keywords: Stock price volatility, firm characteristics, Vietnam stock market, panel data iv Table of Contents ACKNOWLEDGEMENTS i STATEMENT OF AUTHORSHIP iii ABSTRACT iv ABBREVIATION viii LIST OF TABLES ix CHAPTER INTRODUCTION 1.1 Introduction 1.2 Research background 1.3 Research objectives and research questions 1.4 Research scope 1.5 Thesis contributions 1.6 Structure of the thesis CHAPTER LITERATURE REVIEW 2.1 Introduction 2.2 Stock price volatility 2.3 Stock price volatility and dividend policy 10 2.4 Stock price volatility and firm age 13 2.5 Stock price volatility and trading liquidity 13 2.6 Other firm’s characteristics and stock price volatility 14 2.7 Developing empirical research hypotheses 15 2.7.1 Dividend yield and dividend payout ratio 17 2.7.2 Firm Leverage 19 v 2.7.3 Asset growth rate 21 2.7.4 Firm size 22 2.8 Chapter summary 24 CHAPTER DATA AND METHODOLOGY 25 3.1 Introduction 25 3.2 Data sources 25 3.3 Variables: 26 3.3.1 Dependent variable -Price volatility (PV) 26 3.3.2 Independent variables -Firm characteristics 27 3.4 Methodology 28 3.4.1 Multiple regression 29 3.4.2 Ordinary Least Square (OLS) regression 30 3.5 Chapter summary 30 CHAPTER EMPIRICAL RESULTS 31 4.1 Introduction 31 4.2 Descriptive Statistics and Correlation Analysis 31 4.2.1 Descriptive Statistics 31 4.2.2 Correlation Analysis amongst Variables 32 4.3 Multiple Linear Regressions Analysis 34 4.3.1 Regression analysis 34 4.3.2 Hypothesis test 36 4.4 Chapter Summary 41 CHAPTER 5.1 CONCLUSION 42 Reviews of findings 42 vi 5.2 Contributions 43 5.3 Implications 44 5.4 Limitations and recommendations for future researches 45 References 47 APPENDIX A: LIST OF SAMPLE COMPANIES 54 APPENDIX B REGRESSION RESULT 57 vii ABBREVIATION AGE Firm age ASGR Asset growth rate CURR Current ratio DY Dividend yield EBIT Earnings Before Interest and Tax EV Earning volatility HNX Hanoi Stock Exchange HOSE Ho Chi Minh City Stock Exchange IPO Initial Public Offer LEVR Firm leverage OLS Ordinary Least Square POR Payout ratio PV Price volatility ROA Return on assets ROE Return on equity SIZE Firm size TOVR Liquidity viii ... whether firm? ??s characteristics affect stock price volatility and examines the relation between stock price volatility and firm characteristics of Vietnamese listed firms on Ho Chi Minh City Stock Exchange. ..UNIVERSITY OF ECONOMICS HO CHI MINH CITY International School of Business NGUYEN HOANG MINH TRI THE RELATION BETWEEN STOCK PRICE VOLATILITY AND FIRM CHARACTERISTICS OF VIETNAMESE LISTED. .. 315 firms listed on the Ho Chi Minh Stock Exchange (HOSE) and 399 other firms on Hanoi stock exchange (HNX) At the end of Jan 2013, there were two more firms jointed in HNX Most of the previous