Dự báo giá cổ phiếu trước các thông tin tài chính và phi tài chính: Áp dụng phân tích Event Study và Random Forest

Authors

  • Vũ Thị Loan
  • Nguyễn Thị Anh Thu
  • Nông Thị Hương Ly nthuongly1409@gmail.com
  • Vũ Mai Linh

DOI:

https://doi.org/10.57110/jebvn.v3i3.178

Keywords:

Thông tin tài chính, Thông tin phi tài chính, Event Study, Random Forest, Thông tin

Abstract

Bài viết đề xuất và xem xét khía cạnh thông tin có ảnh hưởng như thế nào đến biến động giá cổ phiếu bằng phương pháp Event Study (nghiên cứu sự kiện), từ đó dùng thuật toán học máy Random Forest để dự báo biến động tiếp theo của giá cổ phiếu. Với bộ dữ liệu thu thập từ 84 doanh nghiệp niêm yết trên Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh (HOSE) từ tháng 1/2017 đến tháng 12/2021, kết quả nghiên cứu tìm thấy lợi nhuận bất thường xung quanh ngày công bố thông tin về doanh nghiệp. Đặc biệt, lợi nhuận bất thường xung quanh ngày có thông tin phi tài chính đáng kể hơn so với ngày thông tin tài chính của doanh nghiệp được công bố. Bên cạnh đó, bài viết đề xuất mô hình dự đoán biến động giá cổ phiếu dựa trên 8 yếu tố gồm: thông tin, vốn hóa thị trường, 3 chỉ số tài chính và 3 yếu tố thuộc nền kinh tế vĩ mô.

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Published

25-06-2023

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How to Cite

Loan, V. T., Thu, N. T. A., Ly, N. T. H., & Mai Linh, V. (2023). Dự báo giá cổ phiếu trước các thông tin tài chính và phi tài chính: Áp dụng phân tích Event Study và Random Forest. VNU University of Economics and Business, 3(3). https://doi.org/10.57110/jebvn.v3i3.178

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Short Communication