The impact of policy uncertainty on stock liquidity in Vietnam’s M&A market

https://doi.org/10.31130/ud-jst.2023.117E
Tóm tắt: 93 | PDF: 131

##plugins.themes.academic_pro.article.main##

Author

  • Dang Huu Man
    The University of Danang - University of Economics, Danang, Vietnam
    Nguyen Manh Toan
    The University of Danang - University of Economics, Danang, Vietnam

Từ khóa:

Policy uncertainty
Stock liquidity
M&A
Synergy
CAR

Tóm tắt

This study investigates the impact of policy uncertainty on stock liquidity in Vietnam’s M&A market. Using a comprehensive sample of M&A acquisition deals over the 2005-2020 period, we find that policy uncertainty is negatively associated with stock liquidity of target firms, indicating that firms should increase their information disclosure to improve the information environment during periods of increased asymmetric information due to policy uncertainty. We also find that higher levels of policy uncertainty lead to lower market valuations of target firms, reflecting greater market skepticism about the completion of the transaction and related synergy benefits. This study highlights the importance of transparency in improving stock liquidity and suggests that policymakers need to consider the impact of domestic economic and investment policies on M&A activity and stock liquidity in Vietnam.

Tài liệu tham khảo

    [1] Pastor and P. Veronesi, “Political uncertainty and risk premia”. Journal of Financial Economics, Vol. 110, pp. 520-545, 2013.
    [2] Dang, N. V. Nguyen, M. Mazur, P. Puwanenthiren, and N. T. Nguyen, “Global Policy Uncertainty and Cross-Border Acquisitions”. The Quarterly Review of Economics and Finance, Vol. 80, pp. 224-235, 2021.
    [3] Dang, D. Henry, H. A. Thai, X. V. Vo, and M. Mazur, “Does policy uncertainty predict the death of M&A deals?”. Finance Research Letters, Vol. 46, 102489, 2022.
    [4] Amihud, “Illiquidity and stock returns: cross section and time series eff­ects”. Journal of Financial Markets, Vol. 5, pp. 31-56, 2002.
    [5] Kyle, “Continuous auctions and insider trading”. Econometrica, Vol. 53, pp. 1315-35, 1985.
    [6] Glosten and P. Milgrom, “Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders”. Journal of Financial Economics, Vol. 14, pp. 71-100, 1985.
    [7] Aybar and A. Ficici, “Cross-border acquisitions and firm value: An analysis of emerging-market multinationals”. Journal of International Business Studies, Vol. 40, pp. 1317-1338, 2009.
    [8] Massa and X. Moqi, “The Value of (Stock) Liquidity in the M&A Market”. The Journal of Financial and Quantitative Analysis,
    Vol. 48, pp. 146397, 2013.
    [9] B. Christensen, E. Floyd, L.Y. Liu, and M.G. Maffett, “The real effects of mandated information on social responsibility in financial reports: Evidence from mine-safety records”. Journal of Accounting and Economics, Vol. 64, pp. 284-304, 2017.
    [10] Brogaard, L. Dai, P. T. H. Ngo and B. Zhang, “Global political uncertainty and asset prices”. The Review of Financial Studies,
    Vol. 33, pp. 1737-1780, 2020.
    [11] Rossi and P.F. Volpin, “Cross-country determinants of mergers and acquisitions”. Journal of Financial Economics, Vol. 74, pp. 277-304, 2004.
    [12] Gulen and M. Ion, “Policy uncertainty and corporate investment”. The Review of Financial Studies, Vol. 29, pp. 523-564, 2016.
    [13] Bhagwat, R. Dam, and J. Harford, “The real effects of uncertainty on merger activity”. The Review of Financial Studies, Vol. 29, pp. 3000-3034, 2016.
    [14] Nguyen and H. Phan, “Policy uncertainty and mergers and acquisitions”. Journal of Financial and Quantitative Analysis,
    Vol. 52, 613-644, 2017.
    [15] Dang, V. A. Hoang, E. Jones, D. Henry, P. U. Le and
    P. Puwanenthiren, “Country uncertainty, power distance and payment methods in acquisitions”. European Journal of Finance, Vol. 28, pp. 1541-1570, 2022.
    [16] V. Acharya and L. H. Pedersen, “Asset pricing with liquidity risk”. Journal of Financial Economics, Vol. 77, pp. 375-410, 2005.
    [17] Jin, Z. Chen, and X. Yang, “Economic policy uncertainty and stock price crash risk”. Accounting and Finance, Vol. 58, pp. 1291-1318, 2019.
    [18] S. R. Baker, N. Bloom, and S. J. Davis, “Measuring economic policy uncertainty”. The Quarterly Journal of Economics, Vol. 131, pp. 1593-1636, 2016.
Xem thêm

##plugins.themes.academic_pro.article.sidebar##

Đã Xuất bản

Jun 30, 2023
Download
PDF (English)
Cách trích dẫn
Man, D. H., và N. M. Toan. “The Impact of Policy Uncertainty on Stock Liquidity in Vietnam’s M&Amp;A Market”. Tạp Chí Khoa học Và Công nghệ - Đại học Đà Nẵng, vol 21, số p.h 6.1, Tháng Sáu 2023, tr 99-103, doi:10.31130/ud-jst.2023.117E.

##plugins.themes.academic_pro.article.details##