An Empirical investigation of liquidity and stock returns – Relationship in Vietnamese stock market

• المؤلفون الرئيسيون: Do, Phuong Huyen, Nguyen, Thi Kim Duyen, Dao, Tuan Trung
• مؤلفون آخرون: Khoa Quốc tế, ĐHQGHN
• التنسيق: مقال
• اللغة: English
• منشور في: Tạp chí Công thương 2020
• الموضوعات: Liquidity; Fama and French three factors model; Cross-section of stock returns; Vietnamese stock market
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/89405
• المؤسسة: Vietnam National University, Hanoi

This paper is to provide a comprehensive study about the role of liquidity in asset pricing by using the Fama-French (1993) three-factor model for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size, book-to-market and firms beta are also investigated. In this paper, we studied a dataset of 199 Vietnamese firms listed on Ho Chi Minh City Stock Exchange (HOSE) over a 2-year period of April 2015 to March 2017 to find out whether liquidity is priced in Vietnam stock market. The study shows the positive relationship between liquidity and stock returns, which contradicts the negative correlation typically found in developed markets but is compatible with those reseaches in emerging market like Vietnam. In (BE/Me ratio) and market risk (beta) have opposite results with negative correlation.