The impact of corporate social responsibility disclosure on stock price volatility of 161 companies listed on Vietnam stock market

Abstract

This study, titled "The impact of Corporate Social Responsibility Disclosure on Stock Price Volatility of 161 companies listed on Vietnam Stock Market” aims to analyze and illustrate how the 161 companies listed on the Vietnam Stock Market's CSR disclosure have affected stock price volatility. The research used a sample of 161 companies with a largest daily trading volume of one stock on the Vietnam Stock Market in the HOSE-Ho Chi Minh Stock Exchange in the period 2018-2022, and compared 3 regression models POOLED OLS, FEM, and REM, to choose the most suitable model when considering the impact of Corporate Social Responsibility Disclosure on Stock Price Volatility. In our framework, the independent variable is CSR disclosure, the dependent variable is stock price volatility and the control variables are the the ratio of return on equity (ROE), the company size (SIZE), financial leverage (LEV). During our data synthesis and analysis process, STATA was the primary software utilized to assess the variables' significance, validity, and confidence interval. According to research results, disclosing corporate social responsibility (CSRD) can have an influence on stock price volatility. Specifically, the research team discovered that firms that participate in positive CSR disclosure are more likely to have lower stock price volatility. Additionally, our group came to certain conclusions and implications for businesses. These suggestions can be helpful tools for investors, corporate administrators, the State Securities Commission, and the Ministry of Finance to try to ensure the company's financial efficiency as well as to gain a deeper understanding of how CSR affects the volatility of corporate stock prices (VOLs).