VIETNAM NATIONAL UNIVERSITY UNIVERSITY OF ECONOMICS AND BUSINESS GRADUATION THESIS information on the Vietnamese stock market SUPERVISOR: PhD. Vu Thi Loan STUDENT: Pham Thi Thanh Thuy STUDENT CODE: 19050744 CLASS: TCHC CLC3 QH2019 E Hanoi, 2023 ACKNOWLEDGEMENT During the time of researching and implementing this research topic, our group has received very enthusiastic help and valuable words of encouragement. With all due respect and gratitude, the team would like to express our sincere thanks to: The Board of Directors of the University of Economics - VNU has built a fair and creative scientific research environment. The author sincerely thanks the teachers and experts ofthe Faculty of Finance - Banking and other faculties in the university for taking the time to answer and analyze the questions, contributing to a foundation for the group to be confident in performing the assignment.
The author would like to express his deepest gratitude to Dr. Vu Thi Loan - who directly guides the group. She is a very enthusiastic person, always dedicated to guiding, giving appropriate directions and advice whenever the group encounters problems and difficulties. Not only that, she always encouraging and supported the group to help me feel the most comfortable when doing this research.
Hanoi, May 2023 TABLE OF CONTENTS ACKNOWLEDGEMENT.- G1 HT TH HH nh TH HH kh 1 TABLE OF CONTENTS. Gv 2 LIST OF ABBREVIATIONS .-- HH TH TH TH HH HH Hiệp 4 LIST OF TABLES W[L,L.- -- - - E191 E911 911 111v nh ng nếp 5 LIST OF PIC TU RE .- - - 2c E111 8910 E911 911 911g HH ng 6 CHAPTER 1: INTRODUCTION .- -- G11 1310119 11 9 v1 vn ngư 7 CHAPTER 2: LITERATURE REVIEW AND THEORETICAL FRAMEWORK. HH HH nh 10 2.1 Overview of foreign researCH.-- --c + s xxx ng gệp 10 2.2 Overview of domestic researCHh.- - - -- TH TH ngà 12 2.2 Theory of fraudulent behavior in the stock market.1 Factors that affect share DFÏC©.2 Theconcept of fraudulent behavior in the stock market impacts .2 Classification of fraudulent behavior in the stock market.3 Impact of fraud on the stock market.3 Theoretical foundations of market Íraud.5 Concepts and methods of measuring stock volatility.1 The concept of price moVemeñnf.2 Method of measuring the volatility of stock prices .-- 19 CHAPTER 3: STUDY DESIGN AND METHODS .cceecceeeseeeseeeeteeeeneeeseeeenneeeaees 23 Ki) 0ì)2:1-`i)(HidỶÝỐẼ.2 Description of research variables and data collection methods.3 Methods of data COlÏ@CÏOTI.-- «c1 91 vn HH Hệ 28 3.2 Fixed effects model (FEM) .3 Random Effects Model (REM|)). Minimum Regression Estimation Model.- -- -- 1190119911 9n ng 30 CHAPTER 4: RESEARCH RESULTTS.2 Actual situation of fraudulent behavior in the stock market of Vietnam33 4.1 Stock price manipuÌafÏOT.--- -cc +3 13+ re ret 33 4.2 Disclosure of false information .3 Model F€SUÌfS.- -- c1 SH HH HH HH 39 4.
-- c6 1n HH TH Hà 44 4.3 Discussion of research T€SUÌfS. -- - «c1 1219911 9v vn ngư 47 CHAPTER 5: CONCLUSION AND RECOMMENDATIONS.1 FOr ÏIV€SẨOTS .2 For issuers Of S@CUIÏẨÏ@S.3 For management aØ©'ICÏ©S. c6 11132 11 395 111111 1k rrrree 52 LIST OF ABBREVIATIONS STC Vietnam's stock market HOSE Ho Chi Minh Stock Exchange HNX Hanoi Stock Exchange SEC the United States Securities and Exchange Commission ACFE American Association of Fraud Investigators SAS Statement on Auditing Standards ISA Industrial Automation and Control Systems Security VOL Volatility of Stocks GDP Gross domestic product VND Vietnamese Dong CDO Collateralized Debt Obligation VBMA Vietnam Bond Market Association. VNI VN index IOSCO The International Organization of Securities Commissions LIST OF TABLES WILL Tables Pages Table 4.1: Information collected by enterprises 40 Table 4.2: Facts about informational selection fraud 41 Table 4.3: Descriptive statistical results 43 Table 4.4 Correlation coefficient matrix results 43 Table 4.5 Results of multicollinearity test 44 Table 4.6 OLS Regression Results 44 Table 4.7: FEM and REM regression model results 46 Table 4.8 Results of Hausman test 47 Table 4.9: GLS estimated regression results 47 LIST OF PICTURE Figures Pages Figure 4.1: Vnindex from 2000 to 2023 33 Figure 4.2: Movement of CDO share price 36 Figure 4.3 FLC Stock Movement 37 Figure 4.4 TGG Stock Movement 38 Figure 5.1 The cycle of the Vietnamese stock market 52 CHAPTER 1: INTRODUCTION 1.
The urgency ofthe topic The stock market has been contributing to directing investment capital flows to places of efficient use and playing an important role in the development and promotion of economic growth (Tobin, 1984). Vietnam's stock market has been operating for more than two decades. Along with the growth in quantity, the operation of the Vietnam stock market is gradually becoming more stable, professional and a place to create profits for the capital channel for businesses. At the seminar "Stock market 2023: New trends, new options", economists said that in the long term, Vietnam's stock market (STC) is assessed to have great growth potential.
especially when the Vietnamese economy is benefiting from the pivoting strategy of international investment flows. Volatility is one of the most important characteristics of financial markets and it is also a hot topic in economic and financial research. Volatility is directly related to market uncertainty and affects the investment behavior of businesses and individuals. The prices of securities traded on the market depend on their intrinsic value and market supply and demand forces.
The sudden increase and decrease in the price of securities in the market disturbs the real economic situation and affects the return of investors. The functional efficiency of the market depends largely on the "information efficiency" of the market, whereby stock prices must yield high information (Informativeness). When stock prices rarely (or do not) reflect information relevant to the company, stock prices tend to fluctuate with each other and create a general trend of market volatility (Roll, 1988). The diversity of information sources is now a valuable and sought-after tool in the market.
Investor participation and maturity can be measured through information needs, information analysis. The analysis of price movements has long been an attractive topic in the research world, especially the analysis through the information appearing on the market. In addition to these achievements, the Vietnamese stock market in recent years still has to witness scandals related to information and disclosure of listed companies that affect the volatility of stock prices. Fraudulent acts in the stock market are becoming more and more complex, sophisticated and involving many different parties.
Fraud in the stock market has many negative consequences including negatively affecting the company's stock price, creating damage to the market and reducing the company's ability to raise capital especially affecting the company's stock market. reputation, decrease investors' confidence in the market. Thus, from the practice of issuing decisions of state agencies and the actual situation, it is necessary to have research to assess how the volatility of different stock prices will react in the period. The news segment appears.
The assessment of the characteristics of stocks that affect stock volatility in the context of fraudulent news will help investors choose safe stocks or corporate managers will also take administrative or proactive measures. For the above reasons, the topic: "Measurement of the volatility of stock prices before fraudulent information on the stock market" was chosen as one of the research direction both theoretically and practically. Research objectives and tasks 2. Objectives of the study Find out the factors affecting stock volatility when there is fraudulent information and then propose some recommendations to investors., listed companies, securities issuers and related agencies 2.2 Tasks of the study Systematize the theoretical basis of factors affecting stock prices, fraudulent behavior in the stock market, stock price fluctuations Collect data, evaluate and analyze the influence of company-specific factors on stock price movements during the time when fraudulent information appears.
Proposing some recommendations for investors in the market in making securities trading decisions 3. Research question What are the factors that affect stock price movements under fraudulent conditions? What are the factors affecting the price movement of stocks listed in Vietnam when there is fraudulent information? What are the recommendations from the research results to investors, listed companies, issuers and regulatory agencies? 4. Research objectives and scope 4.1 Research subjects The impact of fraudulent news on stock price volatility and business-specific factors influencing this effect.2 Research scope Scope of content: Measures the volatility of stock prices against fraudulent information in the market. Focused research on frauds including Stock Manipulation; Disclosure of false information; Violating securities business without permission, appropriating property.
Because these frauds are common in Vietnam's stock market, they are closely related to each other. Spatial scope: The study was conducted on 24 companies listed on 2 stock exchanges HOSE, HNX in prominent industry groups: finance, real estate, steel, oil and gas, construction. Time range: Study using data from 2012 to 2022 5. Research Methods Qualitative method: Refer to reputable research papers in advance related to the research topic, thereby synthesizing and providing a theoretical basis, creating a solid argument base for the research.
In addition, the study also analyzes the development of the market, from which to select the appropriate research period and at the same time conducts descriptive statistics to bring about the initial understanding of the research object. Quantitative methods: The thesis implements regression on panel database with least squares regression model (Pooled OLS), fixed effects model (Fixed Effects - FEM), random effects model (Random Effects) - REM) and the general least squares model (GLS). Then, the topic uses tests to choose the appropriate model. Research structure The study is structured in 5 main chapters: - Chapter 1: The Beginning - Chapter 2: Research overview and theoretical basis on the impact of fraud on stock price volatility.
- Chapter 3: Research design and methods - Chapter 4: Results of assessing the impact of fraudulent information on the volatility of stock prices on the Vietnamese stock market. - Chapter 5: Discussion of research results and recommendations CHAPTER 2: LITERATURE REVIEW AND THEORETICAL FRAMEWORK 2.1 Overview of foreign research James M. Patell and Mark A. Wolfson (1982) focus on examining how the announcement of positive and negative news by businesses will affect stock prices during the day.
Research suggests that the timing of corporate news can affect stock prices. Specifically, research suggests that publishing positive news in the morning will increase stock prices throughout the day, while publishing negative news in the morning will lower stock prices throughout the day. Meanwhile, the release of news in the afternoon will not affect the stock price that day. The article "The stock market reaction to fraudulent financial reporting" by Raymond F.
Gorman focuses on studying the impact of fraudulent financial statements on the stock market. The author uses a flexible model to measure the impact of fraudulent financial events on a company's stock price. The results of the study show that information about financial fraud events often leads to a decrease in the stock price of the company concerned within the first 10 days after the news is announced. The decline in stock prices can be as much as 10-15% and has a big impact on individual and institutional investors.
In addition, the paper also shows that the early detection of financial fraud events can minimize their negative impact on stock prices. The author also proposes further research directions to improve the early detection of financial fraud events and enhance the transparency of the stock market. Trading manipulation can have a significant impact on the volatility of stock prices. According to research by Gerace et al.
(2014), stock manipulation has been found to have a significant effect on stock price volatility. This volatility in stock prices can be used by investors to estimate the magnitude of the increase and decrease in stock prices. Gerace et al. (2014) further explain that manipulators aim to artificially raise the share price, resulting in significant fluctuations in stock prices.
Furthermore, the study by Huang et al. (2005) suggests that the increased volatility of stock prices results from manipulation may 10 increase investment risk for investors.