Research on economic and social factors affecting the firm's beta coefficient: Experiments on the vietnam stock exchange in the period of 2010 - 2019

Abstract

Business activities always face unpredictable fluctuations from both inside and outside the firm. After the global financial crisis in 2008, businesses are more cautious in doing business to avoid unnecessary risks. Nowadays, Beta coefficient is receiving more attention from investors and firms because it reflects the level of risk and volatility of securities to the market.In order to find out both economic and social factors affecting the beta of companies listed on the Vietnamese stock exchange and the level of impact of these factors, we decided to conduct the research which is based on financial statements of 100 companies listed on HOSE and HNX in the 10 years from 2010-2019 and macro-economic indicators of the same time. Through theoretical and practical research methods such as: data analysis, modeling and STATA tools, this study helps to find out the factors affecting the beta coefficient of enterprises from the independent variables: Enterprise size (Size), GDP growth rate (GDP), Environmental index (E), and Society's level of concern for the environment (S). From that, we realize that the policies and risks of firms are always accompanied by responsibility for the environment and society, not only the economy or business characteristics that affect risks. This is a new point to focus on because nowadays in Vietnam, businesses don't pay much attention to this issue. Through the research, we made some recommendations and proposals to minimize risks for businesses in the current market.