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Vol. 24(2) , April 2017 |
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Stock price reaction to cash dividend announcements in Vietnam
(pages 74-89)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.01
Abstract
This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.
Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
(pages 90-113)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.03
Abstract
This study examines and applies the three statistical value at risk models including variance-covariance, historical simulation, and Monte Carlo simulation in measuring market risk of VN-30 portfolio of Ho Chi Minh stock exchange (HOSE) in Vietnam stock market and some back-testing techniques in assessing the validity of the VaR performance in the timeframe of January 30, 2012–February 26, 2016. The models are constructed from two volatility methods of stock price: SMA and EWMA throughout the five chosen confi-dence level: 90%, 93%, 95%, 97.5%, and 99%. The findings of the study show that the differences among the results of three models are not significant. Additionally, three VaR (Value at Risk) models have generally the similar accepted range assessed in both types of back-tests at all confidence levels considered and at the 97.5% con-fidence level. They can work best to achieve the highest validity level of results in satisfying both conditional and unconditional back-tests. The Monte Carlo Simulation (MCS) has been considered the most appropriate method to apply in the context of VN-30 port-folio due to its flexibility in distribution simulation. Recommenda-tions for further research and investigations are provided according-ly.
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation
(pages 51-73)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.04
Abstract
This study analyzes volatilities in the relations between stock mar-ket, bond market, and foreign exchange market in Vietnam from April 2014 through December 2015. Particularly, we address the questions of whether there exist sudden changes in correlations be-tween the markets to respond to volatility shocks and whether these changes are temporary or extended. By using VAR(p) – FIEGARCH(1,d,1) – cDCC and PELT approaches in combination with a regression estimation with dummy variables, our empirical results validate the interdependence between the markets, which is found to vary over time. More importantly, volatility shocks give rise to sudden changes in their correlations, and at certain times these are long-lasting. Investors and policy makers in Vietnam should accordingly have due consideration of long-term spillovers.
Monetary policy effect in an economy with heavily managed exchange rate
(pages 31-50)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.06
Abstract
The primary objective of this paper is to investigate the effect of monetary policy on macroeconomic variables in Vietnam, which is a small, open, and developing economy with heavily managed ex-change rate. Monetary policy shock is identified by the sign re-striction methodology. Unlike previous studies, this paper identifies a monetary contraction by a combination of an increase in interest rates, a decrease in central bank credit, a drop in the stock of foreign exchange reserves, and a fall in broad money. The empirical results show that output and prices begin to reduce after a restrictive mone-tary shock in the medium term, suggesting the adverse effect of monetary policy in the short term and the necessity to improve the transparency of monetary setting. Meanwhile, exchange rates are unresponsive to a tightening decision, which is not a sign of puzzle but plausible when the nature of a peg regime is taken into account. Furthermore, foreign exchange policy causes inflation to rise since its effect is partially sterilized by changes in monetary policy instru-ments. Therefore, Vietnamese monetary authorities should consider a shift toward a more floating regime to achieve monetary inde-pendence or foster the development of financial markets in order to alleviate inflationary pressure caused by foreign exchange policy.
Determinants of capital structure of listed firms in Vietnam: A quantile regression approach
(pages 114-131)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.07
Abstract
This study empirically examines the link between firm characteristics
and leverage using the data of Vietnamese non-financial listed firms
from 2006 to 2015. In addition to traditional panel data methods, we
employ a conditional quantile regression that unveils the behavior of
regressors throughout the leverage distribution. The results confirm
the non-linear relationship between firm characteristics and leverage
at different levels of debt.
Factors affecting green banking practices: Exploratory factor analysis on Vietnamese banks
(pages 04-30)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.05
Abstract
This paper aims at studying the factors affecting green banking practices in Vietnam and the role of green banking in sustainable development of the Vietnamese economy. A large scale survey con-ducted with 32 banks and financial organizations in Vietnam to obtain 329 questionnaire forms in the period from May to July 2016 provides evidence for the research. By using EFA analysis and the regression model, we find that understanding the definitions of green banking, the current activities of green banking, the advantages in developing green banking, and the focused sectors have positive relationships with the willingness of Vietnamese banks to adopt green banking practices, whereas the barriers have negative relation-ships with the willingness to utilize green banking services among Vietnamese banks. From the research findings, we suggest some solutions to not only enhance the understanding of the importance of green banking in economic development but also improve the willingness to follow green banking practices among Vietnam’s banking institutions.
Preference-based segmentation: A study of dish preferences among Vietnamese teenagers
(pages 132-153)
Version of Record online: 30 Oct 2020 | DOI: 10.24311/jabes/2017.24.2.02
Abstract
The purpose of this paper is to evaluate the usefulness of prefer-ence-based segmentation in understanding food-related behavior among Vietnamese teenagers. A sample of 413 teenagers in second-ary and high schools in three different regions is used. Their prefer-ences for 36 common Vietnamese dishes are evaluated. Four seg-ments based on their preferences are identified, including food likers (29%), poultry dislikers (27%), seafood dislikers (19%), and pork dislikers (25%). Differences between segments are profiled by a di-verse set of variables including consumption frequencies, food choice motives, attitudinal variables, and socio-demographic varia-bles. Dish preferences appear to be an appropriate basis for segmen-tation of Vietnamese adolescents. The differences found across the clusters for the differentiating variables can provide the basis for developing marketing strategies to target different segments, and also theoretical and practical implications are accordingly discussed.
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