Examining herding behavior in Vietnamese stock market: Bachelor thesis of Banking and Finance / Nguyen Thien Nhan ; supervisor Duong Thi Thuy An

BANKING UNIVERSITY OF HO CHI MINH CITY

NGUYEN THIEN NHAN

EXAMINING HERDING BEHAVIOR IN

VIETNAMESE STOCK MARKET

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 52340201

Ho Chi Minh City, April 2022

THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION

AND TRAINING

BANKING UNIVERSITY OF HO CHI MINH CITY

NGUYEN THIEN NHAN

EXAMINING HERDING BEHAVIOR IN

VIETNAMESE STOCK MARKET

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 52340201

ACADEMIC ADVISOR

DUONG THI THUY AN, PHD.

Ho Chi Minh City, April 2022

THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION

AND TRAINING

i

DECLARATION

I honestly declare that this graduation thesis entitled “Examining herding

behavior in Vietnamese stock market” is the final result of my original research

work under the guidance of PhD. Duong Thi Thuy An, my academic advisor.

This thesis has never been submitted for a master's degree at any anywhere else

before. This thesis is the author's own research and the results of the research are

trustworthy. The thesis does not consist of any previously published content or

content made by others except forcitations which are fully cited in the thesis.

Ho Chi Minh City, April 2022

Nguyen Thien Nhan

ii

ACKNOWLEDGEMENT

First of all, I would like to express my special thanks to my academic advisor,

PhD. Duong Thi Thuy An. Thank you for always supporting me whenever I need

your help and all the knowledge you have taught me during my university journey.

Sedconly, I would like to sincerely thank to my parents, who always take care

and encourage me during the time doing this thesis. I will never forget the love you

gave me!

Last but not least, I want to say thanks to my friend, Bao Phuong, who has

appeared at the hardest time to help me.

iii

LIST OF ABBREVIATIONS

Abbreviations Definition

CCK Chang, Cheng and Khorana Model

CH Christie and Huang’s Model

CSAD Cross-sectional absolute deviation

EMH Efficient Market Hypothesis

GDP Gross Domestic Product

HNX Ha Noi Stock Exchange

HS Hwang and Salmon Model

HSX Ho Chi Minh Stock Exchange

NS Nofinger and Sias Model

OLS Ordinary Least Squared

OTC Over-the-Counter market

QREG Quantile Regession

TIP Trading Imbalance Picture

VND Vietnam Dong

iv

LIST OF TABLES

Name of tables Page

Table 2.1. A summary of relevant empirical research about herding

behavior.

13

Table 3.1. Summary of data observations used in the study 19

Table 4.1. Summary statistics of cross-sectional absolute deviation

and absolute market return

26

Table 4.2. T-test result 28

Table 4.3. Correlation among variables 29

Table 4.4. Regression result of herding behavior in Vietnamese stock

market

29

Table 4.5. Regression result of herding in up and down market 30

Table 4.6. Regression result of herding in high and low trading

volume

31

Table 4.7. Table summary of regression results 32

Table 4.8. Summary of regression results 36

v

TABLE OF CONTENTS

DECLARATION .........................................................................................................i

ACKNOWLEDGEMENT ..........................................................................................ii

LIST OF ABBREVIATIONS....................................................................................iii

LIST OF TABLES .....................................................................................................iv

CHAPTER 1: INTRODUCTION ...............................................................................1

1.1. Research background.....................................................................................1

1.2. Research gap..................................................................................................3

1.3. Research question ..........................................................................................4

1.4. Research objectives .......................................................................................4

1.5. Research scope and methodology .................................................................5

1.6. Research structure..........................................................................................5

CHAPTER 2: LITERATURE REVIEW ....................................................................7

2.1. Theoretical literature review.............................................................................7

2.3. Herding in different conditions.......................................................................10

2.2. Empirical literature review .............................................................................11

2.3. Hypothesis development .................................................................................19

CHAPTER 3: RESEARCH METHODOLOGY ......................................................21

3.1. Data collection and sample description ..........................................................21

3.2. Regression model for testing the hypotheses .................................................22

3.2.1 Regression model ......................................................................................22

3.2.2. Regression model for estimation the degree of herd in rising and falling

market:................................................................................................................24