Liquidity and stock price volatility: Evidence from joint stock commercial banks in Vietnam

Abstract

Stock price is considered the top priority factor in attracting the attention of investors when investing
in the stock market. In developed markets, changes in liquidity can help predict future changes in price volatility.
The paper was conducted with the aim of analyzing the impact of banking liquidity on the stock price volatility
of commercial banks listed on the Vietnam stock market. With a data sample of 27 commercial banks in the
period from 2012 to 2022. By regressing panel data through system- GMM estimation (SGMM), the research
results show that banking liquidity (LIQ) and bank size (SIZE) have a negative impact on banking stock price
volatility (SPV). Meanwhile, changes in the deposit interest rate (IR) and changes in the exchange rate (EXR)
have a positive impact on the volatility of banking stock prices (SPV). Besides, the study does not have enough
evidence to prove that allowance for credit losses (AFCL), the price-to-earnings ratio (P/E) and the economic
growth (GDP) have an impact on banking stock price volatility (SPV)