Tính toán hệ số beta của một số công ty niêm yết trên sàn chứng khoán Hà Nội (HNX)

Nguyễn Văn Huy và Đtg Tạp chí KHOA HỌC & CÔNG NGHỆ 117(03): 119 - 123

119

THE CALCULATION OF BETA COEFFICIENT

OF SOME COMPANIES POSTED UP HANOI STOCK EXCHANGE

Nguyen Van Huy*

, Ngo Thi Huyen Trang

College of Economics and Business Administration – TNU

SUMMARY

On the stock market, information about listed companies as profits, risks and other important

information is calculated and published daily in the market to help investors consider, weight out

investment decisions. One of the important parameter reflecting the risk of stocks is the beta

coefficient (β). Base on the database of three garment and textile companies posted up on Hanoi

Stock Exchange, the study computed beta coefficient of each company. The result shows that TNG

stocks are lots of prospects and have smallest volatility, safety group, less risky compared to other

stocks in the same industry such as TET, NPS.

Key words: Beta coefficient, stock returns, risk, garment and textile

INTRODUCTION*

Vietnam‟s stock market had come into

operations since July 28th, 2000 with the first

session at the center of Ho Chi Minh City

Stock Exchange. After more than 12 years of

operation, Vietnamese stock market has

achieved significant growth. Up till now,

Vietnamese stock market has 2 stock

exchanges which are HOSE (Ho Chi Minh

Stock Exchange) and HNX (Hanoi Stock

Exchange) have 105 active stock companies

with about 716 security ticker. On the stock

market, information about listed companies as

profits, risks and other important information

is calculated and published daily in the

market to help investors consider, weight out

investment decisions. One of the important

parameter reflecting the risk of stocks is the

beta coefficient (β). Beta coefficient is the

coefficient measuring the known volatility or

a measure of systematic risk of a security or a

portfolio which is relevant to the overall

market. The purpose of this paper is to

calculate the Beta coefficient of three garment

and textile companies which are TNG

Trading and Investment Joint Stock

Company, Northern Textiles and Garments

Joint Stock Company (TET) and Phu Thinh –

Nha Be Garment joint Stock Company (NPS)

posted up Hanoi Stock Exchange.

*

Tel: 0949 275666, Email: [email protected]

BETA COEFFICIENT

Beta, also known as the beta coefficient,

which is the coefficient measuring the known

volatility is a measure of systematic risk of a

security or a portfolio relative to the overall

market. Beta coefficient is a key parameter in

the capital asset pricing model (CAPM). Beta

is calculated based on the regression analysis

and you can think of beta as the tendency and

the degree of reaction to the volatility of the

stock market. In finance, the Beta (β) of a

stock or portfolio is a number describing the

correlated volatility of an asset in relation to

the volatility of the benchmark that said asset

is being compared to.

The formula for Beta

The actual definition of beta is:

Where is the covariance

between the return on asset and the return

on the market portfolio and is the

variance of the market.

One useful property is that the average beta

across all securities, when weighted by the

proportion of each security‟s market value to

that of the market portfolio, is 1. That is: