The Impact of Higher Moments on the Stock Returns of Listed Companies in Vietnam

Tóm tắt

The purpose of this study is to identify the role of higher moments in explaining the volatility of stock returns. By using system GMM estimator with unbalanced panel data of listed companies on the Ho Chi Minh Stock Exchange (HOSE) in the period 2006-2015, the paper reveals two higher momentum factors which play an important role in analyzing the volatility of stock returns. In particular, the skewness has a positive correlation with the stock return, while the kurtosis is negatively correlated with the stock returns. The study also finds the statistical significance of moments with regard to the industry sector and market condition factor.