شواهدی از ویتنام در مورد تأثیر مقررات افشای اطلاعات بر بازار سهام
Abstract
1- Introduction
2- Literature review
3- Methodology
4- Data
5- Findings
6- Conclusion
References
Abstract
This paper investigates the effects of regulation pertaining to information disclosure on the Vietnam stock market. Using the event study methodology, we examine sectoral reactions, in terms of risk and return, following the announcements on information disclosure regulation in Vietnam. To validate the results, we also conduct several robustness tests such as the removal of firm-specific information and the use of a wide variety of ARCH models such as GARCH (1,1). We find evidence indicating that when the market anticipates a piece of regulation on information disclosure, most sectors experience negative reactions two and five days before the first announcement. Positive reactions are observed on the event date, as well as two and five days afterwards. Furthermore, we document a difference between the Ho Chi Minh Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX) in terms of market reaction. The results also show that the sectors experience changes in short-term systematic risk. Our contributions to the literature are threefold. First, we focus on a complete and more updated set of the Vietnam stock market’s information disclosure regulation. Second, our study examines the effects of a series of events on a single regulation at sectoral and firm levels in an emerging market. Third, in addition to sectoral analysis, we analyse the Vietnam stock market reaction at the firm level.
Introduction
The impact of regulatory announcements on stock market reaction has been examined extensively in the literature. In developed markets, for instance, Sawkins (1996); Antoniou and Pescetto (1997); Dnes et al. (1998); Robinson and Taylor (1998); Morana and Sawkins (2000) and Pescetto (2008) look at the UK market whilst Binder (1985) and Teets (1992) study the US market. In addition, many studies have examined the effects of a single regulation or a series of events pertaining to a single regulation in developed markets. In general, firms tend to face a higher level of risk when a new regulation is introduced (DeLong and Saunders, 2011; Bailey et al., 2006; Eleswarapu et al., 2004). One of the most important regulations on the stock market is information disclosure regulation as this type of regulation directly affects firms as well as investors in terms of information efficiency and transparency (i.e. reducing information asymmetry).