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.

References

Barberis, N., Shleifer, A., Vishny, R. (1998). “A model of investor sentiment.” Journal of Financial Economics, 49, 307-345.

Bogdan et al (2013). Effects of financial and non-financial information disclosure on prices'mechanisms for emergent markets: The case of Bucharest stock exchange. Accounting and Management Information Systems, 12(1), 76.

Bonnier, K-A & Bruner, R. F. (1989). An analysis of stock price reaction to management change in distressed firms. Journal of Accounting and Economic, 11(1), 95-106.

Dasilas, A. and Leventis, S. (2011). Stock market reaction to dividend announcements: Evidence from the Greek stock market. International Review of Economics and Finance, 20(2), 302-311.

Dasilas, A., & Leventis, S. (2011). Stock market reaction to dividend announcements: Evidence from the Greek stock market. International Review of Economics & Finance, 20(2), 302-311.

DB Ngoc, NC Cuong (2016). Dividend announcement and ex-dividend effects on stock return. International Journal of Economics and Finance 8 (7), 207-215

Filip, A.C. et al. (2012). The Impact of Non-financial Reporting on Stock Markets in Emerging Economies. Procedia Economics and Finance, 3, 781-785.

Gurgul, H., Mestel, R., & Schleicher, C. (2003). Stock market reactions to dividend announcements: Empirical evidence from the Austrian stock market. Financial Markets and Portfolio Management, 17(3), 332.

Hegazy, O., Soliman, O. S., & Salam, M. A. (2014). A machine learning model for stock market prediction. arXiv preprint arXiv:1402.7351.

Kieu, M. N. & Nhien, L. T. N. (2020). Factors affecting the market value of commercial bank stocks in Vietnam. Banking magazine, 7.

Loc, T. D. (2014). Factors affecting stock price change: Evidence from Ho Chi Minh City Stock Exchange. Scientific Journal of Can Tho University, 33, 72-78.

MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39.

Mackinlay, A.c. (1997). Event Studies in economics and finance. Journal of finance, 46(1),3-27.

Malkiel, B. G. and Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work, The Journal of Finance, 25(2), 383-417

Manh, P. T. et al (2018). Impact of dividend and profit disclosure on stock price volatility of companies listed on Ho Chi Minh City Stock Exchange (HOSE). Version B of Vietnam Science and Technology Magazine, 60 (11).

Mehedințu, C., Avram, N., Medrea, N., & Duțescu, C. (2000). Fluorine values in biological fluids and paraclinical changes in industrial fluorosis of ruminants. Studies and Researches in Veterinary Medicine, 8, 89-98.

Moreno, K. K., & Zhang, Y. (2021). The Impact of the Big Fish Effect on Investor Reactions to Financial and Nonfinancial Disclosure. Journal of Behavioral Finance, 22(2), 113-125.

Nam, B. T., & Anh, N. T. K. (2021). The event study in quantitative research. TNU Journal of Science and Technology, 226(08), 149-156.

Nguyen, M.,K (2013). The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market. SCIENCE & TECHNOLOGY DEVELOPMENT, 16.

Nguyet, P. T. B., & Thao, D. P. (2013). Analyze the impact of macroeconomic factors on Vietnam's stock market. Journal of Development and Integration, 8, 34-41.

Nisar, T. M., & Yeung, M. (2018). Twitter as a tool for forecasting stock market movements: A short-window event study. The journal of finance and data science, 4(2), 101-119.

Polamuri, S. R., Srinivas, K., & Mohan, A. K. (2019). Stock market prices prediction using random forest and extra tree regression. Int. J. Recent Technol. Eng, 8(1), 1224-1228.

Puspitaningtyas, Z. (2019). Empirical evidence of market reactions based on signaling theory in Indonesia Stock Exchange. Investment Management and Financial Innovations, 16(2), 66-77.

Reuters Institute Digital News Report (2020). Digital News Report 2020. Reuters Institute for the Study of Journalism, 30.

Robu, M. A. et al (2013). The statistical assessment of an emerging capital market using the panel data analysis of the financial information. Economic Computation and Economic Cybernetics Studies and Research, 47(2), 21-36.

Son, N. (2018). Information communication with security of the stock market in the era of digital information technology. Vietnam Economic and Financial Magazine, no 4/2018

The Association of Chartered Certified Accountants (2013). What do investors expect from non-financial reporting? < https://www.accaglobal.com/gb/en/technical-activities/technical-resources-search/2013/august/investors-and-non-financial-reporting.html >

Thu, H. A. (2016). The relationship between abnormal profit and financial statement disclosure time of companies listed on Vietnam stock market, Lac Hong Scientific Journal, No. 5 (2016).

Todea, A., & Buglea, A. M. (2017). Individualism and stock price reaction to market-wide information. Economics Letters, 160, 4-6.

Usman, B., & Tandelilin, E. (2014). Internet search traffic and its influence on liquidity and returns of Indonesia stocks: An empirical study. Journal of Indonesian Economy and Business: JIEB.,

(3), 203.

Vinh, V. X. (2016). Capital structure and unusual profits accumulated on the Vietnamese stock market. Economic Research No. 7 (458).

Vinh, V. X., & Kiem, Đ. B. (2016). Market reaction to the announcement of stock changes in the VNM ETF portfolio on the Vietnamese stock market. VNU JOURNAL OF ECONOMICS AND BUSINESS, 32(3).

Yu, T. H. K., & Huarng, K. H. (2020). A new event study method to forecast stock returns: The case of Facebook. Journal of Business Research, 115,

-321.

Downloads

Download data is not yet available.

Published

25-06-2023

Abstract View

466

PDF Downloaded

173

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 JOURNAL OF ECONOMICS AND BUSINESS, 3(3). https://doi.org/10.57110/jebvn.v3i3.178

Issue

Section

Original Article