Open AccessThe impact of financial variables on systematic risk – An empirical study in manufacturing industry on Ho Chi Minh stock exchange
Author(s) -
Minh Tien Pham,
Bich Huy Hai Bui,
Thao Thi Thu Nguyen
Publication year - 2017
Publication title -
khoa học và công nghệ: kinh tế - luật - quản lý
Language(s) - English
Resource type - Journals
ISSN - 2588-1051
DOI - 10.32508/stdjelm.v1iq4.479
Subject(s) - ho chi minh , stock exchange , ordinary least squares , econometrics , heteroscedasticity , panel data , profitability index , fixed effects model , operating leverage , random effects model , economics , leverage (statistics) , systematic risk , business , actuarial science , mathematics , statistics , meta analysis , finance , medicine , socioeconomics , low income
The aim of this study is to examine the effect of financial variables on systematic risk, using the panel data of 64 manufacturing companies listed in Ho Chi Minh City Stock Exchange (HOSE) during the period of 2011-2015. The three models employed are pooled Ordinary Least Squares (OLS), Random Effect Model (REM), and Fixed Effects Model (FEM). The results of model tests show that FEM is the most suitable to carry out the analysis. In order to increase the efficiency of the model, the tests for model problems are conducted. The results point to the presence of heteroskedasticity problem in the model; therefore, the modified FEM is used to deal with this issue. Empirical evidence from HOSE indicates that leverage has a significantly positive impact while operating efficiency and profitability show significantly negative impact on systematic risk (beta).