Stock Price Volatility and Firm Specific Financial Variables: Empirical Evidence from Vietnamese listed on Hochiminh of Stock Exchange

Abstract

This paper studies the influence of firm specific financial factors such as cash dividend, earning per share EPS, ROA volatility, total asset growth, firm size, and debt ratio to stock price volatility companies listed on Hochiminh of Stock Exchange (HOSE) in the period 2010-2019. Using Feasible Generalized Least Squares (FGLS) regression with unbalance panel data, the research results showed that cash dividend, earning per share, firm size have significant negative effect on stock price volatility. ROA volatility, total asset growth, debt ratio are positively related with stock price volatility. In addition, the paper analyzes impact level of firm specific financial variables on stock price volatility and found that cash dividend have the strongest impact, the second is debt ratio, the third is firm performance (EPS and ROA), the fourth is firm size and the last is growth of total assets.