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The effects of information disclosure regulation on stock markets: Evidence from Vietnam
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- معلومة اضافية
- Publisher Information:
Research Online 2020-01-01T08:00:00Z
- Added Details:
Hoang, Trang Cam
Pham, Huy
Ramiah, Vikash
Moosa, Imad
Le, Danh
- نبذة مختصرة :
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.
- الموضوع:
- Other Numbers:
LP1 oai:ro.uow.edu.au:dubaipapers-2134
https://ro.uow.edu.au/dubaipapers/1079
1298565045
- Contributing Source:
UNIV OF WOLLONGONG
From OAIster®, provided by the OCLC Cooperative.
- الرقم المعرف:
edsoai.on1298565045
HoldingsOnline
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