Foriegn ownership in viet nam stock market an empirical analysys luận văn thạc sĩ

MAJOR:BANKINGMAJ ORCODE:60.31.12 MASTERTHESIS INSTRUCTOR:DR.VÕXUÂNVINH HoChiMinhCity–2011... TABLEOFCONTENTS ACKNOWLEDGEMENTS...i Abstract...ii TABLEOFCONTENTS...iii LISTOFFIGURES...iv L

MAJOR:BANKINGMAJ ORCODE:60.31.12

MASTERTHESIS

INSTRUCTOR:DR.VÕXUÂNVINH

HoChiMinhCity–2011

ACKNOWLEDGEMENTS

Manyindividualshavehelpedimprovethequalityandcompletenessofthist h e s i s F i r s t a n d f o r e m o s t , I w i s h t o e x p r e s s myd e e p e s t g r

a t i t u d e t o t h e instructorofmythesis,Dr.VoXuanVinh,forhisidea,guidance,commentsandreviewingmythesis

duringmythesisandespecially,writingthesoft-matesand myfriendswhoh a v e helpedmeinstatisticalsoftwareandgivenmesupportasalways

Lastbutnotleast,Iamverygratefulfortheloveandsupportofmyfamily,especial ly myparentsandmyelderbrother,whogivemecontinuoussupportatalltimes

TranThanhThao

December2010

Abstract

Thist h e s i s i n v e s t i g a t e s t h e f o r e i g n o w n e r s h i p i n V i e t n a m s t o c kmarketf r o m 2 0 0 7 to2010byemployingarichanddetaileddataset.Inviewofinformationalasymmetry,theresearchexaminestherelationshipbetweentheforeigno w

n e r s h i p levelandattributesofVietnameselistedfirmsinHoChiMinhCityS t

o c k Exchange.Ourmainfindingsarethatforeigninvestorshavepreferenceforfirmswithlargesize,firmswithlowdividendyield,firmswithlowleverageandfirmswithlowvolatilityofreturn.T h e foreigninvestorsalsoavoidfirmswithdominantshareholdersandprefertoinvestinfirmswheretheycanhavei n f l u e n c e Inotherwords,theresultsshowthatforeigninvestorsfavortoinvesti n firmswithlowinformationalasymmetry

TABLEOFCONTENTS

ACKNOWLEDGEMENTS i

Abstract ii

TABLEOFCONTENTS iii

LISTOFFIGURES iv

LISTOFTABLES v

LISTOFTABLES v

ABBREVIATIONS vi

PART1:INTRODUCTION 7

PART2:LITERATUREREVIEW 11

PART3:EMPIRICALRESEARCHHYPOTHESES 15

PART4:DATADESCRIPTION 20

PART5: RESEARCHMETHODS 29

PART6:EMPIRICALRESULTS 30

PART7:CONCLUSION 47

REFERENCES 48

APPENDIXA 50

APPENDIXB 56

APPENDIXC 68

LISTOFFIGURES

Figure1-1:MarketCapitalization 21

LISTOFTABLES

Table1:MarketCapitalization 21

Table2:TheStatisticsofForeignownershipontheVietnamesestockmarket 22

Table3:DataDescriptiveStatisticsfor2007 25

Table4:DataDescriptiveStatisticsfor2008 26

Table5:DataDescriptiveStatisticsfor2009 27

Table6:DataDescriptiveStatisticsfortheWhole 28

Table7:CorrelationMatrixfor2007 31

Table8:CorrelationMatrixfor2008 32

Table9:CorrelationMatrixfor2009 33

Table10:CorrelationMatrixfortheWholesample 34

Table11:Regressionresults 37

Table12:Panelregressionresults 38

Table13:Regressionresultswithdummy 41

Table14:Panelregressionresultswithdummy 42

Table15:Panelregressionresults(quarterly) 45

Table16:Panelregressionresultswithdummy(quarterly) 46

HOSE HoChiMinhCityStockExchangeFOWN foreignownership

Event h o u g h V i e t n a m i n i t i a t e s t h e s t o c k m a r k e t l a t e r t h a n

m a n y o t h e r d e v e l o p e d countries,t h e r e h a s b e e n a s u b s t a n t i a l g r o w t h T h e f i r s t s t o c k e x c h a n g e i n H o C h i MinhCityw a s e s t a b l i s h e d i n 2 0 0 0

w i t h f o u r l i s t e d c o m p a n i e s I n c r e a s e d f o r e i g n in t e re st a n d t h e p r

i v a t i z a t i o n o f s t a t e

-o w n e d e n t e r p r i s e s l e a d t -o a r a p i d i n c r e a s e i n li stin gs Attheend-of2010,thereareabout290firmslistedonHose.OneofthemostprominentfeaturesinVietnamstockmarketsistherapidincreaseinthestocko w n e r s h i p levelandtradingvolumebyforeigninvestorsovertime.Increasesinforeigno w n e r sh i p areexpectedtoresultinanincreaseintradingvolume,thenumberoftrades,v i s i b i l i t y a n d a n a l y s t c o v e r a g e A s t h e i m p o r t a

n c e o f f o r e i g n i n v e s t o r s i n V i e t n a m stockmarketsincreases,boththecharacteristicsoftheirinvestmentbehaviorandtheiri m p a c t onstockpricesarebecomingtheinterestingtopicfordiscussion

However,thereisnotmuchpublishedresearchemployingadetaileddatasetofforeigni n v e s

t o r s ’ s t o c k o w n e r s h i p a n d firmch a r a c te r i s t i c s T h i s p a p e r i s o n e o f t h e f i r s t

t o attemptt o f i l l t h e g a p i n t h i s f i e l d I n t h i s p a p e r , w e c h a r a c t e r i z e t h e o w n

e r s h i p o f foreigni n v e s t o r s i n V i e t n a m S t o c k marketsbyu s i n g a d a t a s

e t o f o w n e r s h i p a n d

InVietnam,underregulationthatforeigninvestorsareallowedtoownupto30%incommercialbanksand49%inotherlistedcompanies.Therefore,foreignownershipismorel i k e l y tor e f l e c t t h e i n v e s t m e n t c h o i c e s o f f o r e i g n i n v e s t o r s w i

t h somefirma t t r i b u t e s

Itistheoreticallyarguedthatinvestorsdiversifytheirportfoliototakeadvantageoftheg a i n

f r o m d i v e r s i f i c a t i o n Theadvantages ofinternationaldiversificationarewellillustratedintheliterature.FrenchandPoterba(1991)andTesarandWerner(1995),f o r example,arguedthatdiversifiedinternationalinvestmentdramaticallyimprovestheperformanceo f p o r t f o l i o s T h e o r i e s a s s u m i n g u n d e r -

d i v e r s i f i c a t i o n o f i n v e s t o r p o r t f o l i o s , s u c h a s Levy( 1 9 7 8 ) a n d M e r

t o n ( 1 9 8 7 ) p r e d i c t s a p o s i t i v e r e l a t i o n s h i p bet ween idiosyncraticriskandexpectedreturn.However,investorsinrealityoftendonotholdperfectlydiversifiedportfolios(Fu2009).Inglobalmarkets,investorsn o r m a l l y havestrongprefere

ncefordomesticequitiesandthisiswelldocumentedast h e ‘homebias’phenomenonbyLewis(1999).Inaddition,globalinvestorsdonothold

portfolioaspredictedbyInternationalCAPMaspresentedbySolnik(1974)butactu al ly c o

n s i d e r s p e c i f i c a d v a n t a g e s w h e n s e l e c t i n g t h e i r f o r e i g n a s s e t s( R h e e & Wang2009)

Theextentofthehomebiaspuzzleneededtobeaddressedtoprovideaninsightintof acto r s drivethedeviationfromtheoptimalinternationalequityportfolio.Ifinvestorsmoreg e n e r a l l y a l r e a d y h o l d t h e optimalp o r t f o l i o , t h e n t h e d i v e r s i f i c a t i o n g

a i n s a r e a c h i e v e d However,theliteraturesuggeststhatportfoliosarenotoptimalandthatthec o s t intermsoflower returnand higherrisk islarge.Lewis (1999) arguesthatcosts

ofhomebiasduetoforgonegainsfrominternationaldiversificationintherangeof20%toalmostdoubleoflifetime(permanent)consumption

Thedisproportionalholdingofstocksisnotonlyevidentininternationalinvestment,b u t alsoappliedtodomesticportfolioselection(Coval&Moskowitz1999;Dahlquist

&R o b e r t s s o n 2 0 0 1 ) T h e academicl i t e r a t u r e a t t r i b u t e s t h e p r e f e r

e n c e s i n f o r e i g n i n v e s t o r s ’ f i r m s e l e c t i o n t o i n v e s t m e n t b a r r i e r s a n

d a s y m m e t r i c i n f o r m a t i o n amongi n v e s t o r s Toavoidtheinformationalasymmetry,foreigninvestorstendtoselectfirmsw i t h certaincharacteristics.Resultsfrommanyresearchesshowthatforeigninvestorsf avo rfirmswithcertaincharacteristics,suchaslargesizeandlowdebtratio(Dahlquist

&Robertsson2001;Kang&Stulz1997;Lin&Shiu2003)

Thispaperdeepenstheunderstandingofholdingsofforeigninvestorsingeneralandh o l d i n g s offoreigninvestorsinemergingmarketlikeVietnaminparticular.Byanalyzingarichanddetailedfirmleveldatasetofequityownership,andstudyingthed e t e r

m i n a n t s o f f o r e i g n o w n e r s h i p i n V i e t n a m e s e firms,w e

i d e n t i f y v a r i o u s f i r m a t t r i b u t e s thatarecommontoforeignownership.Inparticularly,thepaperinvestigateswh e t h er f o r e i g n i n v e s t o r s i n v e s t i n g i n f i r m s b a s e

d o n s o m e c o m m o n f i r m a t t r i b u t e s

m p i r i c a l r e s u l t s F i n a l l y , s e c t i o n sevenconcludestheresearch.

Manyauthorsstatesthatforeigninvestorshavebetterinformationthanlocalinvestors(Froo t&Ramadorai2001).Seasholes(2000)’s resultsindicatethatforeign investorsh a v e superiorinformationoverTaiwaneseinvestorswhenforeigninvestorstendtobuyp r

i o r topositiveandsellpriortonegativeearningssurprises

Ont h e o t h e r s i d e , f o r e i g n i n v e s t o r s a r e a r g u e d t o s t a n d a t a n i n f o r m a t i

o n a l disadvantagerelativetodomestics.Brennan&Cao(1997)developamodelofint ern ati on al e q u i t y p o r t f o l i o f l o w s t h a t r e l i e s o n i n f o r m a t i o n a l d i f f e r e

n c e s b e t w e e n f o r e i g n anddomesticinvestors.TheyfindoutthatU.S.investorsareofinformationald i s a d v a n t a g e re lat iv e tot h e l o ca l s i nf o r e i g n markets,an dt r a d

e o n n e w informationw i t h alag.ThefindingsfrommorerecentresearchbyHau(2001)usi

ngGermandata,D v o r a k (2005)usingIndonesian data, andChoeetal(2005) usingK o r e a n dataalso su p p or t t h i s argument.Theproblemofinformationasymmetryandinvestmentbarriers

tendst o b e materialine m e r g i n g m a r k e t s T h e r e f o r e , f o r e i g n i n v e s t o r s t e n d to

h a v e p r e f e r e n c e t o i n v e s t infirmsw i t h s p e c i f i c a t t r i b u t e s i n s t e a d o f h o

l d i n g d i v e r s i f i e d p o r t f o l i o s Therearemanyauthorsfavorthisschoolofthoughtandempiricallyi n v es t ig a t e thelinkbetweenforeignownershipindomesticmarketandfirmattributes

Kang& S t u l z ( 1 9 9 7 ) examines t o c k o w n e r s h i p i n J a p a n e s e f i r m s byn o n

-J a p a n e s e i n v e s t o r s f r o m 1 9 7 5 to1 9 9 1 T h e i r f i n d i n g s a r e i n c o n s i s t e n t w i

t h t h e o t h e r e x i s t i n g modelspredicting thatforeigninvestorsholdnationalmarketportfoliostowards

stocksw i t h highexpectedreturns T h i s researchdocuments thatforeigninvestorsinJapanholddisproportionatelymoresharesoffirmsinmanufacturingindustries,largefirms,a n d firmswith good accounting performance,low unsystematic risk,andlow

leverage.Co nt ro llin g forsize,thereisevidencethatforeigninvestorsfavorsmallfirmswithhighe x p o r t sales,firmswithgreatershareturnoverandfirmswithADRs

GrinblattandKe lo ha rj u (2000) measurethe performanceof f o r e i g n investorsvers

us t h e localonesbycomparingagroup'stendencytobuyfuturewinningstocksandsel

lf u t u r e losingstocks.Futurewinning(losing)stocksarethosewith monthreturnsthatf a l l i n t h e t o p (bottom)q u a r t i l e T h e t e n d e n c y t o buyw i

6-n 6-n e r s a6-nds e l l l o s e r s iscomputedasthediffere6-ncebetwee6-ntheforeig6-nsharei6-nbuyvolumeofwinningstocksminustheforeignshareinbuyvolumeoflosingstocks.Themeasureofperformanceisi n t u i t i v e butrequiresjudgmentastothehorizonatwhichreturnsaremeasuredandthet hresh olds f or c l as s i f y i n g w i n n e r sa n d l o s e r s D a h l q u is t a n d R o b e r

t s s o n ( 2 0 0 1 ) comparet h e p r e f e r e n c e o f f o r e i g n i n v e s t o r s t o t h a t ofdomestici n s t i t u t i o n s u s i n g S w e d i s h firmslistedfrom1991to1997.Thisstudyrevealsthatforeigninvestorsshowapreferenceforfirmspayinglowerdividends,largefirms,

andfirmswithlargecashp o s i t i o n s onthebalancesheets.Theirresearchalsoshowedthatforeigninvestorsaren o t fondoffirmswithdominantshareholders.

Lin& S h i u ( 2 0 0 3 ) i n v e s t i g a t e s f o r e i g n o w n e r s h i p i n t h e T a i w a n s t o c k marketfrom1 9 9 6 to2000.Fromtheviewofinformationalasymmetry,foreigninvestorsappeartof avo rl a r g e firmsa n d firmsw i t h l o w b o o k - t o -

m a r k e t r a t i o s Ther e s u l t s s h o w t h a t f o r e i g n investorsstronglypreferfirmswithhighexportratioswithwhichtheyaremorefamiliaronaccountofthehigherforeignsales.Foreigninvestorsholdmoresharesofh i g h betastocksthanoflowbetastocksforsmallfirms.However,thisresultdoesnoth old f o r l a r g e f i r m s , i m p l y i n g t h a t l a r g e firmsh a

v e l o w e r i n v e s t m e n t b a r r i e r s t h a n s m a l l firms.Foreigninvestors,duetotheirdifferenttaxstatus,mayalsoholdslightlymores t o c k s w i t h l o w d i v i d e n d yield.H o

w e v e r , e v i d e n c e f o r t h i s a s s e r t i o n isincon clu si v e, withonlyaweakeffectdisplayedbythesample

livedi n f o r m a t i o n a d v a n t a g e , b u t t h a t c l i e n t s o f g l o b a l b r o k e r a g e s a r e b e t t

e r a t picking

long-termwinners.Finally,domesticclientsofglobalbrokerageshavehigherprof it s t h a n

f o r e i g n c l i e n t s o f g l o b a l b r o k e r a g e s , s u g g e s t i n g t h a t t h e c o m b i n a t i o n o f localinformationandglobalexpertiseleadstohigherprofits

Koe t a l

( 2 0 0 7 ) e x a m i n e t h e f o r e i g n a n d i n s t i t u t i o n a l i n v e s t o r s ’ p r e f e r e n c e f o r f i r

m at tr ibu tes inJapanand K o r ea withsomeimportantf i n d i n g s First,fo re ig

n investors h ave aclearerpreferenceforstockswithlargemarketcapitalizationandl

owbook-to-marketratiosthandoinstitutionalinvestorsinbothJapaneseandKoreanstockmarkets.Second, foreigninvestors prefer stockswithah ig h return o nequity,e s p e c i

a l l y inKorea.Third,averagereturnshavemoreapparentdifferentiationamongi n s

t i t u t i o n a l (foreign)ownershipportfoliosthanamongforeign(institutional)o w n e

r s h i p p o r t f o l i o s i n J a p a n ( K o r e a ) F o u r t h , t h e s t o c k s t h a t a r e p r

e f e r r e d

Followingthecurrentliterature,the thesisattemptstodeveloptheempiricalhypothesisto beconsistentwithpreviousresearch

Anaversiontowardsinternationalinvestmentsmayalsobeduetoinformationalasymmetriesb e t w e e n f o r e i g n a n d d o m e s t i c i n v e s t o r s V i e t n a m i s a n e m e r g i n g economywherethereisenvironmentofhighinformationalasymmetry;foreigninvestors i n V i e t n a m a r e e x p e c t e d t o h o l d mores t o c k s w i t h s p e c i f i c c h a r a c t

fo r m at io n al a s y m m e t r y s i n c e t h e d e g r e e ofinformationala s y m m e t r y i s h i g h e

r f o r f o r e i g n investorsthanforlocalinvestors.Therefore,thefirsthypothesisisasfollows:H1:F o r e i g n i n v e s t o r s h o l d mores h a r e s o f l a r g e firms,w i t h a l l o t h e r f a

c t o r s h e l d constant

Thedifferencebetweenthestatusofforeigninvestorsintheirparentandhostcountriesr ed u ce s

a f t e r t a x r e t u r n s o n c r o s s

-b o r d e r i n v e s t m e n t F o l l o w i n g s u c h d i s a d v a n t a g e , similartoLin&Shiu(2003),weproposethatadividendclienteleeffectexists,thatis,f or eig ni n v e s t o r s t e n d

t o h o l d mores h a r e s o f firmsw i t h l o w e r d i v i d e n d yields,t o mitigatethenegativeimpactofdisharmonioustaxation

H2:Foreigninvestorsshouldholdmoresharesoffirmswithlowerdividendyield,withal l otherfactorsremainingconstant

b o r d e r i n v e s t m e n t s H e n c e f o r e i g n i n v e s t o r s t e n d t o in v es t intoassetswithhigherexpectedreturnstocoverthesecosts.Undersuchcir cu mstan ce, foreigninvestorsareexpectedtoholdmoresharesofhighbetastocks,yieldinghigherexpectedreturns.H4:Foreigninvestorsshouldholdmoresharesofhighbetafirmsthanlowbetafirms,w i t hallotherfactorsremainingconstant

Famaa n d F r e n c h ( 1 9 9 6 ) p r o p o s e d t h e b o o k - t o - m a r k e t equity( B /

M ) a s a proxyf o r p r o f i t a b i l i t y andg r o w t h L o w B /

M firmsh a v e p e r s i s t e n t l y highe a r n i n g s w h i l e h i g h

Mfirmshaveconsistentlypoorearnings.ThefuturefinancialperformanceforlowB/ M firmsismoretransparentthanforhighB/

Mfirms.Accordingly,wehypothesizet h a t foreigninvestorsshouldfavorsharesoflowB/Mfirms

H7:Foreigninvestorsshouldholdmoresharesoffirmswithlowerleverageratio,allotherfactorsheldconstant

Foreign investorsareassumed tobe rationalinvestorsandtheyconductstockselectionb aseo n f u n d a m e n t a l a n a l y s i s Bydoings o , theywilli n v e s t i n s t o

c k s o f firmsw i t h g o o d p e r f o r m a n c e W e u s e r e t u r n o n e q u i t y a s a proxyf o

r firmp e r f o r m a n c e a n d examinethefollowinghypothesis

H8:Foreigninvestorsshouldholdmoresharesoffirmswithhigherreturnonequity,

a l l otherfactorsbeingequal

H9:F o r e i g n i n v e s t o r s h o l d mores h a r e s i n firmsw i t h h i g h e x p o r t r a t i o s, a l l o t h e r f a c t o r s beingequal.

Anu n r e s o l v e d a r e a int h e f i e l d o f f i n a n c e ist h e r e l a t i o n b e t w e e n s h a r e o

w n e r s h i p structurea n d l i q u i d i t y ( R u b i n 2 0 0 7 ) T e s a r a n d Werner( 1 9

9 5 ) documentt h a t t h e t u r n o v e r rateoninternationalequityinvestmentsishighbothwhencomparedwiththet u r n o v e r rateintheinvestor'shomecountry,andwhencomparedtothemarketofthef o r ei g n security.Theirfindingssuggestthatmarketliquidityisparticularlyimportantf o r foreigninvestors.Forthisreason,wewanttoexaminewhethertheforeigninvestorsp re f e r toholdliquidstocks.Hence,anotherhypothesisissetupas:

Itisnormallyconsideredthatforeigninvestors holds t r at e g y andtherefore, f o r longtermholding,foreigninvestorstend toinvestin lowv o l a ti l i t y stocks.

inVietnamemploythebuy-and-H12:Foreigninvestorsshouldholdmoresharesoffirmswithlowervolatilityofreturn,a l l otherfactorsbeingequal

PART4:DATADESCRIPTION

Thissectionpresentthedescriptionofdataanddefinitionofvariablesemployedinouranalysis

Thedataemployedinthisthesisarecollectedfrom financialreportsoflisted companiesinHoseandfromthewebsiteofHochiminhStockExchangewww.hsx.vn f o r datathatisnotavailableinthefinancialstatements.Forthepurposeofabalanceddatasetandfortheavailabilityofdatarangingfrom2007to2010,notalllistedfirmss a t i s f y ourcriteriafordataselection.Attheoutset,ourdataconsistsof121companiesl i s t e d inHOSEbefore31December2007.Then7financialcompanies,suchasbanks,i n s u r a n c e firms,securityfirms,funds,trustsandotherfinancialfirmsareexcludedasth eir c h a r a c t e r i s

t i c s a r e d i f f e r e n t C o n s e q u e n t l y , t h e f i n a l d a t a samplei n c l u d e s 1 1 4 n o

n -f in an ci al companieslistedinHOSEfortheperiod2007–2010

Wealsogroupthecompaniesinourdatasetintodifferentindustriesaccordingtotheclassification ofH o s e There are 8industries/

sectors inour dat aset including agriculture,

forestry andfishing;miningandquarrying; manufacturing;electricity,gas,s t r e a m andairconditioningsupply;construction; transportationandstorage;realestatea c t i v i t i e s ; a n d o t h e r s ( i n c l u d i n g p r o f e s s i o n a l , s c i e n t i f i c a n d t e c h

n i c a l a c t i v i t i e s ; wholesaleandretailtrade,repairofmotorvehiclesandmotorcycles;accommodationandfoodserviceactivities;informationandcommunication)

Foreignownershiplevelvariableiswellsuitedtoprovideusinsightsaboutthech aracter i

st i cs a n d t r a d i n g b e h a v i o r o f foreigni n v e s t o r s T h e t a b l e 1 b e l o w s h o w

s f o r e i g n ow ner sh ip i n V i e t na m ona yearb a s is o ver t h e p e r i o d f r o m 2007to

0 0 7 to17.46%in2008,however,itreducessignificantlyto14.80%in2009.Asat31December2 0 1 0 , V i e t n a m S e c u r i t i e s D e p o s i t o r y C e n t r a l ( V S D ) h a s a s s i g n e d 1 4 , 8 3

5 s e c u r i t i e s tradingcodesfortheforeigninvestors,including1,442organizationali n v e s t o r s and13,393individualones

(v)

Book-to-market(BMAR):Thisratioismeasuredasthebookvaluedividedbythemarketv a l u e Bookv a l u e i s d e f i n e d a s t h e d i f f e r e n c e b e t w e e n t o t a l a s s e t a n d t o t a l liabilities.Marketvalueisdeterminedthroughitsmarketcapitalization

(vi) Currentr a t i o ( C U R R ) : T h i s r a t i o i s e q u a l t o c u r r e n t a s s e t s d i v i d e dbyc u r r e n t liabilities

(vii) Leverageratio(LEVR): T h i s ismeasuredastheratiooftotalliabilities tototalownerequity

(viii) Returnonequity(ROE):Thisratioisdefinedasthenetincomedividedbythetotal ownerequity(excludingtheotherfunds),expressedasapercentage

Asmentionedabove,weusefirmsizeasafirstproxyforhowwell-knownafirmisa b r o a d Whenwefurtheranalyzethepreferenceforlargefirms,weconsideralternativev a r i a b l e s thatproxyforfirmrecognitionandinvestorinfluence.Thesevariablesare:

(ix) Exportrate(EXPR):Thisiscalculatedasexportsalesdividedbytotalsales

(x) Liquidity(TOVR):Itismeasuredasthetotalvalueofstockstradeddividedbythemarketvalue.

(xi) Concentration(CONC):Thisisusedtomeasuretheownershipconcentrationandd e

f i n e d astheownershipproportionofthe largestshareholderOwnershipcon cent r ati on measuresarealsoanatural

Table3totable6presentsthedatadescriptivestatisticsforallvariablesinoursample.T hemea

no f f o r e i g n o w n e r s h i p f o r t h e s a m p l e r a n g e s from1 0 1 0 % t o 1 4 8 0 % , t h e m i

n im u m i s 0 % a n d t h e maximum,a s r e s t r i c t e d byt h e G o v e r n m e n t , i s 4 9 %

T h e medianissmallerthanthemeaneveryyearandforthewholeperiod,indicatingthatthedistributionofforeignownershipisskewedtotheright

Table3:Data Descriptive Statisticsfor2007

Table4:Data Descriptive Statisticsfor2008

Table5:Data Descriptive Statisticsfor2009

Table6:Data Descriptive Statisticsfor the Whole

yi,t    Xi,t i,t

whereyi,td e n o t e st h e f o r e i g n o w n e r s h i p o f f i r m i a t timet ; Xi,ti sa v e c t o r t

h a t rep r esen ts thefirmcharacteristicvariableiattimet;andεi,tistheerrorterm

sectionalandtimeseriescharacteristicsofourdataset

Toensurethevalidityoftheresults,wealsoconductseveralrobustnesschecks.Firstly,weruntheaboveregressionswithdifferentyear.Inaddition,wealsoconsiderwhetherf oreig ninvestorsfavoraspecificindustryinVietnamstockmarketbyallowingd u m m y variablestoproxyforindustry

PART6:EMPIRICALRESULTS

Table7 t o t a b l e 10r e p o r t s t h e c o r r e l a t i o n c o e f f i c i e n t matrixb e t w e e n f o r e i g nownership andfirmcharacteristicsforthedataset.Atfirstglance itcanbeseenthatforeignownershippositivelycorrelateswithfirmsize,book-to-

marketratioandcurrentr a t i o Foreignownershipmainlycorrelatesinpositiverelationshipwithpreviousreturn,r e t u r n o n equitya n d e x p o r t r a t e H o w e v e r , f o r e i g n o w n e r s h i p

n e g a t i v e l y c o r r e l a t e s withdividendyield,leverageratio,liquidity,

concentrationandvolatilityof

return.Thecor r el ati on s o f f o r e i g n o w n e r s h i p a n d b e t a a r e mixed.T h e r e l a t i

o n s a r e p o s i t i v e in2007andthewholeperiod,whilein2008and2009,theyarenegative.Inthissection,wediscussourregressionsresultsontherelationshipbetweenforeignownershipandotherfirmattributes