Determinants of stock price synchronicity evidence from HoChiMinh city stock exchange

Abstract

This research examines the presence of stock price synchronicity in Ho Chi Minh City stock exchange then analyzes the factor effect the movement same direction behavior of stock price. The study uses weekly return of 181 companies excluding financial and real estate companies from 2010 to 2012 in Ho Chi Minh stock exchange.

The empirical study found that, Vietnam stock market as well as Ho Chi Minh stock exchange follow high tendency move with each other at same direction. However the trend of movement reduced from 2010 to 2012. It implies that the property right of investor protection is improved and the firm specific information is more transparent.

By using random effect model for panel data, the largest shareholder who is government impacts significant positively on co-movement of stock price. Other two measures of corporate governance which are change in chairman of board of director or general manager and the successors from outside sources cannot explain the tendency move together of stock price. GDP per capita for controlling macroeconomic has significant negative effect on co-movement of return of stock. And increasing in market value of equity represents firm size let the stock price rise synchronous characteristic.