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Средняя степень эффективности рынка: реакция рынка на сообщения о дивидендах и доходах на бирже ценных бумаг во Вьетнаме // Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Vietnam stock exchange

Author

Listed:
  • T. Tran X.

    (Banking Academy of Vietnam)

  • T. Nguyen P.

    (Banking Academy of Vietnam)

  • T. Pham M.

    (Banking Academy of Vietnam)

  • Т. Тран Х.

    (Банковская академия)

  • Т. Нгуен П.

    (Банковская академия)

  • Т. Пхам М.

    (Банковская академия)

Abstract

The paper seeks an answer to whether Vietnam is efficient in semi-strong form by identifying the market’s reaction to publicized information and events. With a sample covering all listed companies on Ho Chi Minh Stock Exchange from 2014 to 2015, we investigate whether announcements of earnings and dividend changes provide any signaling effect to the share price movements. It is observed that there is insignificant reaction on the dividend announcement dayitself and also in the few days around it. In addition, from the market reactions to both dividend and earnings announcements, it concludes that both announcements have significant effects on the stock price with relative significantly abnormal return surrounding announcement date. However, changes in cash dividends do convey more useful information to the market. Therefore, Ho Chi Minh stock exchange has not fully achieved at its efficient level. Авторы статьи ищут ответ на вопрос: является ли рынок ценных бумаг Вьетнама эффективным в условиях средней степени эффективности путем идентификации реакции рынка на публичную информацию и события? Используя данные с биржи ценных бумаг в городе ХоШи Мин за период с 2014 по 2015 г., авторы исследуют, являются ли сообщения об изменениях доходов и дивидендов сигналами для движения цен ценных бумаг. Замечено, что само по себе сообщение о дивидендах не имеет существенного значения в день объявления, как и в другие дни. Кроме того, наблюдения за реакцией рынка на сообщения о дивидендах и доходах привели авторов к выводу, что данные сообщения имеют существенный эффект на цены ценных бумагс относительно значимым чрезмерным откликом в дни, предшествующие дате сообщений. Однако изменения в денежных дивидендах дают рынку больше полезной информации. Поэтому биржав Хо Ши Мин не достигла еще полной эффективности в своей работе.

Suggested Citation

  • T. Tran X. & T. Nguyen P. & T. Pham M. & Т. Тран Х. & Т. Нгуен П. & Т. Пхам М., 2016. "Средняя степень эффективности рынка: реакция рынка на сообщения о дивидендах и доходах на бирже ценных бумаг во Вьетнаме // Semi-strong form efficiency: Market reaction to dividend and earnings announ," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 4(3), pages 53-67.
    • Handle: RePEc:scn:00rbes:y:2016:i:3:p:53-67
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    References listed on IDEAS

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