The impact of earnings announcement on stock price - A comparison fo HOSE and HNX
Abstract
The study is an event study which analyzes the impact of earnings announcement on Ho Chi Minh stock market and Hanoi stock market. It aims to find if there is any different in reaction regarding earnings announcement between the two markets. The study examines in the year of 2015 with event window of 21 days (-10; +10) and estimation window of 120 days. In this research, the author uses two approaches to estimate the abnormal return which are market model and capital market pricing model. The result obtained indicate that there is abnormal return appears in both HOSE and HNX. The reactions of HOSE and HNX have some similarities which are the existence of insider trading and noise trader. However, there is trace of under-reaction and over-reaction in HOSE market. Hence, it is concluded that earnings announcement do have effect on stock price movement of Ho Chi Minh stock market and Hanoi stock market.