VIETNAM NATIONAL UNIVERSITY UNIVERSITY OF ECONOMICS AND BUSINESS FACULTY: FINANCE - BANKING GRADUATION THESIS THE IMPACT OF DIVIDEND POLICY ON STOCK PRICE VOLATILITY IN VIETNAM STOCK MARKET: DOES OWNERSHIP STRUCTURE MATTER? Supervisor Lecturer : Ph. Vu Thi Loan Student ID : 19050745 Class : QH2019E - TCNH CLC4 Hanoi, 2023 GRADUATION THESIS 2023 VIETNAM NATIONAL UNIVERSITY UNIVERSITY OF ECONOMICS AND BUSINESS FACULTY: FINANCE - BANKING GRADUATION THESIS THE IMPACT OF DIVIDEND POLICY ON STOCK PRICE VOLATILITY IN VIETNAM STOCK MARKET: DOES OWNERSHIP STRUCTURE MATTER? Supervisor Lecturer : Ph. Vu Thi Loan Student : Phi Thanh Thuy Student ID : 19050745 Class : QH2019E - TCNH CLC4 Hanoi, 2023 GRADUATION THESIS 2023 DECLARATION I declare that the graduation thesis "The Impact of Dividend Policy on Stock Price Volatility in Vietnam Stock Market: Does Ownership Structure matter?" was entirely my own independent work under the supervision of Ph. Vu Thi Loan For the purpose of this thesis, references and statistics are reliable and well- sourced.
The findings and assessments have not been published in any other study paper. Supervisor Lecturer Thesis Author Ph. Vu Thi Loan Phi Thanh Thuy GRADUATION THESIS 2023 ACKNOWLEDGEMENT This thesis was completed not only as a result of the author's own effort, but also as a consequence of the author receiving a lot of support from friends, family, teachers, and colleagues. With deep respect and gratitude, the author would like to thank: - The Board of Directors and teachers from the University of Economics - VNU who have taught and imparted professional knowledge and helped the author in the process of studying at the school.
- | would like to extend my sincere thanks deeply to Ph. Vu Thi Loan, my dedicated supervisor, and lecturer. In terms of academic support, she thoroughly annotated my work, made relevant suggestions, closely monitored my development, and demonstrated how to create this thesis in an academic manner. Importantly, she continuously counseled me to make more determined endeavors and her encouragement made it possible for me to achieve the goal.
- Finally, my heartfelt thanks would go to my colleagues and family who not only extended a great amount of assistance to me to finish this thesis but also gave relentlessly emotional support. Best regards, Thesis Author Phi Thanh Thuy GRADUATION THESIS 2023 TABLE OF CONTENT DECLARATION 8. 3 TABLE OF CONTENTT.-- -- <1 TH HH TH HT HH th 4 LIST OF ABBREVLATTIONS.--- - - ST ST TH HT HT TT HH TT TT TH TT Tà TH 6 IRLYð9)v. The urgency of the topic:.
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Study Variables and Hypothesis Developmen. The hypotheses for the dividend policy variables:. Heteroscedasticity Test and Autocorrelation Test?. The results of heteroscedasticity and autocorrelation rectification.
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5 E31 TT TH HT TT Hàn TH Hàn Hiệp 52 kÝ 2 A\\.ịdẽšẽẴäBHdadđdđaađaaadidiaaa. 53 TY ÔÀ/(đưuừỆOĐCUAỆIAIAỒOÊÐdOdẨdaầẨđẦ da. For future researches. Contribution of the research:.
Gà HT TH HH HH TT Tu TH HH HH Hư ch 54 5. Limitation of the resSearrCH:. - - + + nh HT HT TT HT TH Hàn nh ch 54 REFERENCES 0.ccceecccecccceesccseecesseceeeeeneeecaeceeaeceeaecceaeeeeneeeeseecesecceaeeceaeeseaeeeeaeeeeeeceseeseaeeseaeeseaeeseeeeeaeees 56 GRADUATION THESIS 2023 LIST OF ABBREVIATIONS Abbreviation Definition ASEAN Association of South East Asian Nations BOD Board of Directors BVPS Book Value Per Share CEO Chief Executive Officer DP Dividend Payout Ratio DY Dividend Yield EPS Earnings Per Share E-VOL Earning Volatility FEM Fixed Effects Regression Model FGLS Feasible Generalized Least Squares GDP Gross Domestic Product GMM Generalized Method of Moments HNX Hanoi Stock Exchange HOSE Ho Chi Minh City Stock Exchange M-M Modigliani-Miller theorem OLS Ordinary Least Squares P/B Price-to-Book ratio PV Stock Price Volatility GRADUATION THESIS 2023 REM Random Effects Model ROA Return On Assets ROE Return On Equity SPV Stock Price Volatility VIF Variance Inflation Factor LIST OF TABLES Tables Page Table 3. Definition of variables 36 Table 3.
The hypotheses for the dividend policy variables 38 Table 3. The hypotheses for the ownership structure variables 39 Table 3. Descriptive statistics 40 Table 3. Correlation Matrix 41 Table 3.
Multi-collinearity test 43 Table 3. Regression Results 44 Table 3. Heteroscedasticity Test and Autocorrelation Test 46 Table 3. Heteroscedasticity Test and Autocorrelation Rectification Re 47 GRADUATION THESIS 2023 THE IMPACT OF DIVIDEND POLICY ON STOCK PRICE VOLATILITY IN VIETNAM STOCK MARKET: DOES OWNERSHIP STRUCTURE MATTER? ABSTRACT The research assesses how dividend policies have affected stock price volatility under the impact of ownership structure of 200 non-financial companies listed on HOSE (Ho Chi Minh City Stock Exchange) and HNX (Hanoi Stock Exchange) from 2016 to 2022.
Multiple panel data regression models, including pooled regression, fixed effect models, and random effect models, were used to analyze the data. The best regression model has been recommended using the Hausman test. The Hausman test's findings show that the fixed effect model is more appropriate for capturing the relationship between the provided variables. Based on the results of the paper's initial model, which reveals that dividend yield has a correlation with stock price volatility, the research may reject the assumption that there is no relationship between dividend yield and stock price volatility.
The study's findings show that the Miller and Modigliani Theory does not applicable to the Vietnamese stock market between 2016 and 2022. Moreover, the result findings the negative relationship between the state ownership and stock price fluctuation, however the foreign ownership seems to have no impact on stock price volatility. GRADUATION THESIS 2023 CHAPTER 1: INTRODUCTION 1. The urgency of the topic: Stock price volatility refers to the movement of stock prices over time.
It is the result of uncertainty, volatility, and risks. This has an impact on investors’ interests and results in variation in price between purchasing and selling, implying that risk management (stock price variations) is crucial in investment (Beg & Anwar, 2012). The implications of dividend policy on share price volatility are a concern not only for corporate executives, but also for politicians and investors who make judgments about future portfolios. Furthermore, it is critical for academics who are interested in evaluating the performance of capital markets (Miller & Modigliani, 1961).
Dividend policy is still an academic dispute among financial economists today, clouding the view of its importance. There are a few issues of corporate financial policy where scholars and practitioners disagree more than on dividend policy. Dividend policy has been a source of controversy since the 1960s and continues to be so now. Why do companies pay dividends? For decades, academics have been unable to agree on a persuasive answer, while many argue that corporations should not pay dividends, creating a "dividend puzzle" (Borges, 2009).
Certain experts produced ideas explaining the impact of dividend policy on stock prices in the mid-twentieth century. This is referred to as the dividend relevance hypothesis, which was developed by Walter (1963) and Gordon (1962). However, Modigliani and Miller (1961) claimed that in a perfect capital market, dividend policy had no effect on stock prices. According to them, the firm's value is completely determined by its earning potential, not by dividend payout.
As a result, the dividend irrelevance theory was established. Since then, there has been a disagreement between these two ideas on the impact of dividends on firm value. According to Black (1976), "the harder we look at the dividend picture, the more it seems like a puzzle, with pieces that just don't fit together" (p. In the example of Pakistan, Nazir et al.
(2010) used data from the Karachi Stock Exchange from 2003 to 2008 to examine the link between dividend yield and stock price volatility using the fixed effect and random effect models. Their findings were mixed: there is a positive association between dividend yield and stock price volatility, but a negative GRADUATION THESIS 2023 relationship between dividend payout and stock price volatility. Given that Pakistan is a developing country, the study's conclusions fundamentally contradict the findings of wealthy countries, such as Hussainey et al. Furthermore, their studies revealed a substantial positive link between control factors such earnings volatility, earnings per share, asset growth, and stock price volatility.
Nguyen et al. The author investigates the relationship between share price volatility, dividend yield, and dividend payout ratio. Their research found a positive association between stock price volatility and dividend yield, but a negative relationship between stock price volatility and dividend pay-out ratio. On the other hand, Hashemijoo et al.
(2012), studied the relationship between stock price volatility and dividend distribution in a sample of84 firms listed on the Bursa Malaysia from 2005 to 2010. The analysis found a significant inverse link between dividend yield and dividend payout and stock price volatility. As indicated by Baskin (1989), they expanded his research with other control factors such as leverage, earning volatility, market value, and growth. As a result, a negative association between market value and stock price volatility was discovered using multiple regression models, and their research revealed that dividend yield and market value have the most effect on stock price volatility among control factors.
The association that exists between dividend policy and stock price volatility may be influenced by the business's ownership structure; for example, some owners may be more vulnerable to herding than others. According to the analysis of bank dividend policy conducted by Lepetit et al.