The impact of liquidity on stock returns: An empirical investigation of the banks listed on Viet Nam stock exchange, 2021

MINISTRY OF EDUCATION & TRAINING STATE BANK OF VIET NAM

BANKING UNIVERSITY OF HO CHI MINH CITY

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TRẦN ĐẶNG CẨM TÚ

THE IMPACT OF LIQUIDITY ON STOCK RETURNS: AN

EMPIRICAL INVESTIGATION OF THE BANKS LISTED ON

VIETNAM STOCK EXCHANGE

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 7340201

Ho Chi Minh City, 2021

MINISTRY OF EDUCATION & TRAINING STATE BANK OF VIET NAM

BANKING UNIVERSITY OF HO CHI MINH CITY

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TRẦN ĐẶNG CẨM TÚ

THE IMPACT OF LIQUIDITY ON STOCK RETURNS: AN

EMPIRICAL INVESTIGATION OF THE BANKS LISTED ON

VIETNAM STOCK EXCHANGE

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 7340201

SUPERVISOR

NGUYỄN DUY LINH, PhD.

Ho Chi Minh City, 2021

NHẬN XÉT CỦA GIẢNG VIÊN HƯỚNG DẪN

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TP.HCM, ngày … tháng … năm 2021

Giảng viên hướng dẫn

TS. Nguyễn Duy Linh

NHẬN XÉT CỦA HỘI ĐỒNG XÉT DUYỆT

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KẾT LUẬN: (đánh dấu X vào ô chọn)

Duyệt thông qua

Không thông qua

Ý kiến đề nghị:.................................................................................................

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TP.HCM, ngày … tháng … năm 2021

Hội đồng xét duyệt

i

ABSTRACT

The paper examines the relationship between liquidity and stock returns in the

Vietnam stock market of 18 banks having trading time in the period from 2010 to 2020

and listed on Ho Chi Minh City Stock Exchange (HOSE), Hanoi Stock Exchange (HNX)

and Unlisted Public Company Market (UPCOM). The author applied quantitative

research, then tested and identified the impact of liquidity on stock returns. The result of

the paper indicated that there has a positive connection between liquidity and stock

returns.

The study introduces various regressions and uses turnover to measure liquidity.

The data was annual data for traded shares, outstanding shares, and monthly data for

stock prices.

In the end, the author would give some recommendations for banks listed on the

Vietnam stock market; State administrators; and investors.

ii

COMMITMENT

I hereby declare that this thesis “The impact of liquidity on stock returns: An

empirical investigation of the banks listed on Viet Nam Stock Exchange” is my own

research work, completed from a rigorous working process under the guidance of Dr.

Nguyen Duy Linh.

The research results are honest, no content has been copied and the entire content

in this thesis has not been published anywhere. The data and citations in the thesis are

clearly and transparently annotated.

I take full responsibility for my commitment.

Ho Chi Minh city,............................................2021

Author

Trần Đặng Cẩm Tú

iii

ACKNOWLEDGEMENTS

First of all, I cannot express enough thanks to my teacher, Dr. Nguyen Duy Linh,

for supporting and encouraging me throughout the thesis process.

Next, my completion of this project could not have been accomplished without

the support of professors at Banking University of Ho Chi Minh city for giving me

opportunities to improve my skills and providing me with knowledge about this topic.

Finally, with all love and gratefulness from me to my family and my friends who

have always encouraged me during this time.

With the effort and enthusiast to complete the thesis, but because of the research

time-limited, the paper could not avoid shortcomings, I hope to be received your

comments and contributions so that the topic would be completed and perfect.

Thank you sincerely.

Ho Chi Minh city,............................................2021

Author

Trần Đặng Cẩm Tú