TÁC ĐỘNG CỦA KHỐI LƯỢNG GIAO DỊCH BẤT THƯỜNG CỦA NHÀ ĐẦU TƯ NƯỚC NGOÀI VÀ CÁC ĐẶC TRƯNG CỔ PHIẾU ĐẾN LỢI NHUẬN BẤT THƯỜNG CỦA CỔ PHIẾU NGÀNH NGÂN HÀNG VIỆT NAM

Abstract

This study aims to examine the impact of abnormal trading volume by foreign investors and stock-specific characteristics on the abnormal returns of banking sector stocks in Vietnam. These abnormal trades are identified based on the trading activities of foreign investors across a sample of 27 joint-stock commercial banks listed on the Ho Chi Minh City Stock Exchange (HOSE) and the Hanoi Stock Exchange (HNX) during the period from 2006 to 2023. The study employs cross-sectional Ordinary Least Squares (OLS) regression as the primary estimation method. The results reveal that abnormal buy trades, especially those occurring on net buying days, are associated with significant positive abnormal returns. Conversely, abnormal sell trades, particularly on net selling days, lead to an increase in the magnitude of negative abnormal returns. In contrast, stock-specific characteristics exhibit no significant effect on abnormal returns. These findings offer important implications for policymakers and investors operating in emerging markets such as Vietnam.