The Effect of Liquidity on Stock Price Volatility: Empirical Study on Listed Commercial Banks on Vietnamese Stock Exchange

Abstract

The article studies the impact of bank liquidity and bank stock liquidity on the stock price volatility of 17 The article studies the impact of bank liquidity and bank stock liquidity on the stock price volatility of 17 commercial banks listed on the Vietnamese Stock Exchange. The study uses the Random Effect Model with unbalanced table data and quarterly frequency from the first quarter of 2006 to the fourth quarter of 2020. The results show that the financial gap (FGAP) has a positive impact on the stock price volatility of banks, meaning the higher the financial gaps, the lower the bank liquidity, and the larger the stock price volatility of banks. In addition, the study also shows that the size of total assets and the change of exchange rate for the two factors have opposite effects on changes in the share prices of banks. The study has not yet found any evidence to conclude that stock liquidity has an impact on the stock price volatility of the commercial banks listed on the Vietnamese Stock Exchange.