The impact of divestment announcement on trading volume

Abstract

This paper investigates the market reaction through the impact of divestment announcement by government
(SCIC) on trading volume including the trading volume by foreign investors. We use divestment announcement
data during the period from February 2012 to March 2017. Employing event study method, the results indicate that
investors (including foreigners) consider divestment announcement as a good new. There exists abnormal trading
volume and average abnormal volume for each buy order before, during and after the event. Average abnormal
volume for each sell order also increases before the event. Moreover, we also find statistically significant evidence
regarding abnormal purchase order by foreign investors before and during the event. The results reinforce the
precise policy of government in boosting divestment process of firms in Vietnam