PHẢN ỨNG của NHÀ đầu tư với THÔNG báo ĐĂNG ký GIAO DỊCH cổ PHIẾU của NGƯỜI nội bộ, NGƯỜI LIÊN QUAN và cổ ĐÔNG lớn nước NGOÀI – NGHIÊN cứu TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM tt tiếng anh

Thirdly, the thesis analyzes the Investors’ reaction based on stock price and trading volume to the impact of information that the foreign investors become majority shareholders or no lo

LA NGỌC GIÀU

INVESTORS’ REACTION TO THE STOCK TRADING ANNOUNCEMENT OF INTERNAL SHAREHOLDERS, STAKEHOLDERS AND MAJOR FOREIGN HOLDERS – EVIDENCE FROM VIETNAM STOCK MARKET

Major: Finance and Banking (Banking) Code: 9340201

SUMMARY OF Ph.D THESIS

HỒ CHÍ MINH CITY - 2019

Supervisors: Assoc Prof Vo Xuan Vinh, Ph.D and Than Thi Thu Thuy, Ph.D

CHAPTER 1 INTRODUCTION 1.1 Reason for the topic selection

Two in the objects with special advantages in information are internal shareholders andstakeholders Thus, in order to create the equity and limit the asymmetric information betweeninternal shareholders, stakeholders and other shareholders in trading stocks, according toregulations of current laws, all stock trading of the majority shareholders, internal shareholders andstakeholders must announce information before trading1

In addition to the internal shareholders, the stakeholders are considered to have advantage ininformation no less than the internal shareholders In the context of incomplete law system andspecific cultural factors as in Vietnam, it is possible to exclude that the information on businesses istransmitted by the internal shareholders to the stakeholders Therefore, the transaction of theinternal shareholders and stakeholders can cause the extraordinary changes in price and tradingvolume

However, through researching the previous studies, there have not been the study on theinternal shareholders’ impacts on price and trading volume in Vietnam stock market This is a blanknot only in the practical demand but also in the academy to be considered

Other object that the thesis aims is transaction of the foreign investors There are many studies

on the foreign investors in Vietnam as the studies of Vo Xuan Vinh (2014), Batten & Vo (2015),

Vo Xuan Vinh (2016) , Vo Xuan Vinh & Dang Buu Kiem (2016d), etc However, there have notbeen the study which analyzes the impacts of information that the foreign investors becomemajority shareholders or no longer majority shareholders

1.2 Thesis’s targets

Specifically, the thesis studies the following contents:

Firstly, the thesis analyzes the Investors’ reaction based on stock price and trading volume tothe stock trading announcement of internal shareholders

Secondly, the thesis analyzes the Investors’ reaction based on stock price and tradingvolume to the stock trading announcement of stakeholders

Thirdly, the thesis analyzes the Investors’ reaction based on stock price and trading volume

to the impact of information that the foreign investors become majority shareholders or no longermajority shareholders

• How does the stock price fluctuate to the stock trading announcement of stakeholders?

• How does the trading volume fluctuate to the stock trading announcement of stakeholders?

• How does the stock price fluctuate when information that the foreign investors becomemajority shareholders or no longer majority shareholders is announced?

stock market, the internal people are the internal shareholders

• How does the trading volume fluctuate when information that the foreign investors becomemajority shareholders or no longer majority shareholders is announced?

Identify the topic, object, targets and study’s scope

Thirdly: Examine summarily the theories, systematize and summarize the previous studies

related to the topic

Fourthly: From the previous studies, select the suitable estimation method for the topic

Fifth: Collect the essential data for the study

Sixth: Implement the necessary tests to analyze and discuss the results achieved of the

CHAPTER 2 THEORETICAL BASIS AND STUDY OVERVIEW 2.1 Some terms in the thesis

The terms of internal shareholder and stakeholder in this these are defined according toCircular No 155/2015/TT-BTC on 06 October 2015, specifically, the contents are quoted asfollows: Internal shareholders, stakeholders, majority shareholders, date of informationannouncement, information of stock transaction registration, internal information, abnormal return,abnormal volume

2.2 Introduction to the stock market in Vietnam

The stock market is not only a channel of medium and long term capital mobilization butalso an import channel in managing the macroeconomic policies in many countries around theworld In Vietnam, the stock market was officially formed on 11 July 1998 according to Decree No.48/CP on Stock and Stock market, on the same day, the Prime Minister signed Decision No.127/1998/QĐ-TTg to establish Ho Chi Minh City Securities Trading Center

2.3 Legal regulations on information announcement

2.3.1 Legal documents stipulating information announcement

The information announcement is institutionalized by legal documents, when taking part inlisting on the stock exchanges, the companies must comply with information announcement

The information announcement is stipulated specifically in Stock laws and specificized byCirculars as Circular No 38/2007/TT-BTC on 18/4/2007, Circular No 09/2010/TT-BTC on15/01/2010, Circular No 52/2012/TT-BTC on 05/04/2012, and most recently, Circular No.155/2015/TT-BTC on 06/10/2015 The related information announcement is stipulated specifically

as follows (2):

2.3.2 Information announcement

The objects are announced according to Circular No 155/2015/TT-BTC on 06/10/2015

2.3.3 Means of information announcement

As according to Circular No.155/2015/TT-BTC on 06/10/2015

2.3.4 Time of information announcement with internal shareholders and stakeholders

According to Circular No.155/2015/TT-BTC on 06/10/2015

2.4 Investors’ reaction based on stock price and trading volume to the announced information

2.4.1 Investors’ reaction based on stock price to the announced information

The semi-strong efficient market hypothesis is applied in this thesis to explain the investors’reaction to the stock trading announcement of shareholders and investors, with implication that thestock price will automatically be adjusted to update the announced information The AbnormalReturn is defined by Brown & Warner (1980) as the difference between actual return and expectedreturn of this stock Definition of abnormal return turns around the date of informationannouncement to make basis for concluding the efficiency of the market

2.4.2 Investors’ reaction based on trading volume to the announced information

In the market, there are always other transactions created by the buyers and the sellers Thebasis for the investors’ behaviors leading to transactions which create the different positions isexplained by Karpoff (1986) through theory of trading volume This theory mentions 2 main factors

2According to Circular No 155/2015/TT-BTC on 06 October 2015 guiding to announce information in the stock market, the internal people are internal shareholders.

creating all transactions: Firstly, Karpoff (1986) thinks that before one problem or event, theinvestors have the most suitable way to analyze and explain for themselves and have differencebetween investors Thus, they create the different transactions Secondly, in spite of explaining thesame problem, each investors have the different expectation and desire, thus, they have differenttransaction behaviors Simultaneously, if the both factors exist, the transactions in the marketbecome more ebullient

2.5 Theoretical basis of Investors’ reaction based on stock price and trading volume to the stock trading information of the internal shareholders, stakeholders, and foreign investors 2.5.1 Theory of asymmetric information

The theory used in this thesis is theory of asymmetric information, this theory is developed byAkerlof (1970) with the famous article on asymmetric information between related parties in the oldautomobile market, which is posted in The quarterly journal of economics

In this thesis, the asymmetric information is applied to explain the investors’ behaviors asfollows: i) It is possible that the investors are the internal shareholders or stakeholders trading stockbased on information that they hold; ii) The outside investors do not have much information, theythink that the contents of transaction registration of the internal shareholders and stakeholders haveinformation and the outside investors imitate

Based on the theory of asymmetric information, that the stock trading of the internalshareholders, stakeholders and transactions of the foreign investors to become or no longer majorityshareholders, makes the investors in the market doubt of these transactions having unannouncedinformation Therefore, the investors in the market can implement the transactions similar to theones of the internal shareholders, stakeholders and foreign investors to reduce risks and look forreturn This is the reason for creating changes in stock price and trading volume

2.5.2 Signaling theory

The Signaling theory believes that the behaviors and decisions of the internal shareholders,stakeholders and foreign investors being majority shareholders can contain the sign for othershareholders and implies the information that others do not have The Signaling theory shows thatwhen the internal shareholders or stakeholders register stock transaction, that can lead to thechanges in stock price and trading volume in the market

For the transactions of the foreign investors, every transaction contains the signs about thedifferent expectations on the company On the contrary, when the foreign investors want to reducethe stock holding rate to be no longer majority shareholders, the management policies as well astransparency can change, thus, the company’s performance decreases

2.5.3 Efficient market hypothesis

The investors’ reaction when the company announces information is explained by theEfficient market hypothesis of Farma (1970) This hypothesis believes that a market is considered

to be efficient if the stock price reflects all information about this stock Therefore, an investorscan’t earn the abnormal return (Pindyck & Rubinfeld 2009) from stock transaction in the market

Although the Efficient market hypothesis is applied widely in the financial theories, somestudies state that the market is non-efficient (Aharony & Swary 1980; Asquith & Mullins Jr 1983;Bajaj & Vijh 1995; Bernheim & Wantz 1992; Charest 1978; Dyl & Weigand 1998; Grinblatt et al

1984; Lie 2005; Woolridge 1982) These studies prove the existence of the abnormal return beforeand after the date of information announcement

2.6 Overview of previous studies

According to statistic data of (Kothari & Warner 2005) from 1974 to 2000, there were 565studies posted in the prestigious magazines in the world Some typical studies:

2.6.1 The studies related to information of dividend payment

Studies of Pettit (1972), Charest (1978), Aharony & Swary (1980), Woolridge (1982), Asquith &Mullins Jr (1983), Grinblatt et al (1984), Wansley et al (1991), Gurgul et al (2003), Fuller (2003),Lee & Yan (2003), McCluskey et al (2006), Dasilas & Leventis (2011), Chen et al (2014), VoXuan Vinh & Doan Thi Minh Thai (2015), Nguyen Thi Minh Hue (2015)…

2.6.2 Some previous studies related to stock dividend announcement

Some typical studies: (Copeland 1979; Han 1995; Ball & Brown 1968; Chen et al 2011;Chou et al 2005; Desai & Jain 1997; Doran 1994; Dyckman et al 1984; Elfakhani & Lung 2003;Grinblatt et al 1984; Kunz & Rosa‐Majhensek 2008; Lamoureux & Poon 1987, Vo Xuan Vinh &Phan Thi Anh Thu 2014)

2.6.3 Some previous studies related to information of buying stocks back

Some typical studies: Chua (2010); Yook (2010), Wu (2012), Reddy et al (2013), Hillert et

al (2016), Vo Xuan Vinh & Trinh Tan Luc (2015)

2.6.4 Information of releasing the Financial statements of the Enterprise

Ball & Brown (1968), Hew et al (1996), Liu et al (2003), Schadewitz et al (2005), Vo Xuan

Vinh & Le Thi Kim Phuong (2014), many studies examined the investors’ reaction based on stockprice when the Adjusted Auditing Report is publicized, example, some first studies implemented inUnited Kingdom, the United States and Australia: (Baskin 1972; Dodd et al 1984; Dopuch et al.1986; Firth 1978; Herbohn et al 2007; Hsu et al 2011; Ianniello & Galloppo 2015; Pei & Hamill2013); in Vietnam, there was study of Tran Thi Giang Tan & Lam Vu Phi (2017)

2.6.5 Besides, some other studies turn around the events related to stock market

Vo Xuan Vinh & Le Thi Kim Phuong (2014), Vo Xuan Vinh & Trinh Tan Luc (2015), VoXuan Vinh & Dang Buu Kiem (2016d)

2.7 Study slits

Figure 2.4 Document map

Dividend payment (Bajaj & Vijh 1995;

Chen et al 2014; Lee &

Yan 2003; Võ Xuân

Vinh & Đặng Bửu Kiếm

2016a; Võ Xuân Vinh &

Đoàn Thị Minh Thái

Additional stock issue

(Hồ Viết Tiến & Đinh

(Dopuch et al 1986; Herbohn et

al 2007; Hsu et al 2011; Ianniello & Galloppo 2015; Pei

& Hamill 2013; Trần Thị Giang Tân & Lâm Vũ Phi 2017b; Võ Xuân Vinh & Đặng Bửu Kiếm 2016c)

Re-buying stocks

(Chua 2010b; Hillert et

al 2016; Reddy et al

2013; Võ Xuân Vinh &

Trịnh Tấn Lực 2015a,

2015b; Wu 2012; Yook

2010)

Events related to market

(Võ Xuân Vinh & Đặng Bửu Kiếm 2014, 2016b, 2016d; Võ Xuân Vinh & Lê Thị Kim Phượng 2014)

2.8 Thesis’s Study Hypothesis

Firstly, the study hypothesis relates to the impacts of stock transaction registration of theinternal shareholders on price and trading volume:

 Hypothesis 1a: The stock price increases due to buying transaction registration of the internalshareholders

 Hypothesis 1b: The stock price decreases due to selling transaction registration of the internalshareholders

 Hypothesis 2a: The trading volume increases due to the stock buying registration announcement

of the internal shareholders

 Hypothesis 2b: The trading volume increases due to stock selling registration announcement ofthe internal shareholders

Secondly, the study hypothesis relates to the impacts of stock transaction registration of thestakeholders

 Hypothesis 3a: The stock price increases due to stock buying registration of the stakeholders

 Hypothesis 3b: The stock price decreases due to stock selling registration of the stakeholders

 Hypothesis 4a: The trading volume increases due to the stock buying registration announcement

CHAPTER 3 STUDY METHODOLOGY AND STUDY DATA 3.1 Study Methodology

3.1.1 Introduction to Event Study

According to MacKinlay (1997), the Event study is implemented through the following steps:

 Select the event to study;

 Select the company sample;

 Select time for event window, estimate window and window after event;

 Measurement of investors’ reaction is shown through price (through abnormal return) and/orstock volume (through Abnormal trading volume);

 Test

3.1.2 Describe in detail the steps according to event study in the thesis.

3.1.2.1 The events are studied in the thesis

The events selected to implement in the thesis include:

- The announcement of stock buying registration of the internal shareholders;

- The announcement of stock selling registration of the internal shareholders;

- The announcement of stock buying registration of the stakeholders;

- The announcement of stock selling registration of the stakeholders;

- The announcement that foreign investors become majority shareholders;

- The announcement that foreign investors become no longer majority shareholders;

3.1.2.2 Event day, event window, estimate window and window after event

 Event day

Equivalent to each event selected to study, the event day is the date the information onevents is announced on website of Ho Chi Minh City Stock Exchange

 Event window, estimate window and window after event

Three windows in the event framework used to study include: i) Event window is selected

to be 31 days, from -15th date (before the date of announcement 15 days) to +15th date (after thedate of announcement 15 days) including 0 date (the event day), ii) Estimate window is 120 daysfrom -16th date to -135th date, iii) Window after event is from +16th date to +30 date, 15 days intotal

3.1.2.3 Measurement of investors’ reaction is shown through the stock price

Measurement of investors’ reaction is shown through the stock price and considered throughthe existence of cumulative normal return and abnormal return

 Abnormal return (ARi,t)

According to Brown & Warner (1980), the abnormal return is the difference between actualreturn and expected return of the stock In this study, AR is calculated as follows:

AR i,t = R i,t – E (R i,t )

Method 1

The expected return is adjusted by the market’s return(Rm,t)

E (Ri,t) = Rm,t

Method 2

E (Ri,t) = α i,t + β i,t R m,t

 Average Abnormal Return (AARt)

Test abnormal return:

t-test on date t is calculated as follows:

3.2 Data serving the study

Data in this thesis is selected from companies listed on Ho Chi Minh City Stock Exchangeover the period from 2008 to 2015

Table 3.1 Event description statistics are studied in the thesis

Year

Stakeholders

being organizations

Stakeholders being individuals

Internal shareholders

Foreign investors

CHAPTER 4: INVESTORS’ REACTION TO THE STOCK TRANSACTION

REGISTRATION ANNOUNCEMENT OF INTERNAL SHAREHOLDERS

4.1 The Investors’ reaction based on stock price and trading volume to the stock buying registration announcement of internal shareholders

The left results in Table 4.1 prove the existence of the abnormal return on the date ofinformation announcement and two days later Thus, the information implicated in the stock buyingregistration announcement of internal shareholders is good for the market, shown through that themarket has positive response with this information, the stock price ends the downtrend and starts toincrease since the date of stock buying registration announcement of internal shareholders Thestock price constantly decreases before the date of information announcement, that shows theinternal shareholders’ behavior of buying stocks is an important strategy to stop the down impetus

of stocks in the market Additionally, the market does not react to all information implicated on thedate of announcement but continues to react on the following days, which shows that the stockmarket in Vietnam is not efficient in the semi-strong form of the Efficient market hypothesis

The investors’ reaction based on the abnormal trading volume to the stock buyingregistration announcement of the internal shareholders is shown at the right of Table 4.1 Theresults show that the trading volume increases on the date of announcement and the reaction of thestock price on the date of announcement, they indicate that the market has position reaction to theinformation of buying stocks of the internal shareholders through the increase in liquidity alongwith increase in stock price

Table 4.1: Test results of abnormal return and abnormal trading volume to the stock buying registration announcement of the internal shareholders

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

4.2 The Investors’ reaction based on stock price and trading volume to the stock selling registration announcement of the internal shareholders with the different selling rate

Results in Table 4.2 implicate that the information of stock buying of the internalshareholders, even low, prevents the decline in stock price and brings positive sign to the market.The trading volume and stock liquidity are improved significantly before, on and after the eventday

Table 4.2: Test results of abnormal return and abnormal trading volume to the stock selling registration announcement of the internal shareholders with small sale ratio

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

Table 4.3 indicates the test result of the market’s reaction to the stock buying registration

announcement of the internal shareholders in case of big sale ratio The result shows that the event

of big sale ratio of the internal shareholders have significant and positive impacts on price andtrading volume This result further supports the theory of the asymmetric information and thesignaling theory,

Table 4.3: Test results of abnormal return and abnormal trading volume to the stock buying registration announcement of the internal shareholders with big sale ratio

T Abnormal return Abnormal trading volume

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

Thus, the above results show that the market has reaction to the information of buyingstocks of the internal shareholders, even small and big sale ratio However, the market has strongerand clearer reaction in case of big sale ratio These results further support the theory of theasymmetric information and the signaling theory

4.3 The market’s reaction based on stock price and trading volume to the stock selling registration announcement of the internal shareholders

The results in Table 4.4 indicate that the stock price constantly increases before the internalshareholders register to sell stocks This implicates that the internal shareholders choose the timewhen the stock price in the market increase to register to sell The above identification isstrengthened when the cumulative abnormal return before the announcement is positive with highrate and has statistic meaning at 1% (CAAR [-15;-1]:4.47%)

On the date of information announcement, the abnormal return is negative and continues tomaintain on the following days This leads to the fact that the cumulative abnormal return after theannouncement has negative values (CAAR [0;15]: -1.1%; CAAR [0;30]: -1,73%) and has statisticmeaning at 1%

From above results, the information implicated in the stock selling registrationannouncement of the internal shareholders is a bad sign

Table 4.4: Test results of abnormal return and abnormal trading volume to the stock selling registration announcement of the internal shareholders

t Abnormal return Abnormal trading volume

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

The right of Table 4.4 shows the market’s reaction based on the trading volume The resultsshow that the trading volume constantly increase before the date of announcement, the abnormaltrading volume is positive with statistic meaning at 1% from [-5] date to [-1] date On the date ofannouncement, the trading volume increase sharply, after the announcement, the trading volumedecreases but continues to increase significantly on the following days, especially on [3], [4] and [5]dates, the abnormal trading volume is so great (AAV [3]: 0.32; AAV [4]: 0.30 and AAV [5]: 0.30with the respective meaning level at 1%) The results show that a large number of stocks transactedbefore, on and after the stock selling registration announcement of the internal shareholders isannounced

It is possible to conclude that the information implicated in the stock selling registrationannouncement of the internal shareholders is bad information Simultaneously, there is phenomenathat the investors in the market imitate the internal shareholders to implement transactions Because

of the asymmetric information, the selling registration of the internal shareholders creates the signfor the remaining investors in the market that the stock price is higher than the true value or thecompany has bad information about expectations of the company

4.4 The Investors’ reaction based on stock price and trading volume to the stock selling registration announcement of the internal shareholders with the different sale ratio

The results in Table 4.5 and Table 4.6 show that the investors’ reaction to the registrationannouncement of small and big sale ratio of the internal shareholders have the same The stockprice increases and exits the positive abnormal return before the date of information announcement;the stock price decreases right on this day

Table 4.5: Test results of abnormal return and abnormal trading volume to the stock selling registration announcement of the internal shareholders with less selling rate

Abnormal trading volume

t Abnormal return

Abnormal trading volume

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

Table 4.6: Test results of abnormal return and abnormal trading volume to the stock selling registration announcement of the internal shareholders with big sale ratio

***; **; * with the respective meaning level at 1%; 5%; 10%

(Source: The PhD student calculates and summarizes)

CONCLUSION OF CHAPTER 4

The results indicate that the information implicated in the stock buying registrationannouncement of the internal shareholders is considered to be the good information for the marketand the internal shareholders buy stocks as an important strategy to stop the downtrend of stocks inthe market On the contrary, the information implicated in the stock selling registrationannouncement of the internal shareholders is considered as bad information for the market Thestock price decreases and forms the downtrend on the date of announcement of stock sellingregistration of the internal shareholders, the trading volume increases suddenly on the days aroundthe event day Besides, the study’s results show there is phenomena that the investors in the marketimitate the internal shareholders to implement transactions The results further support the theory ofthe asymmetric and the signaling theory