The linkage between firm market power and the proportion of idiosyncratic volatility to total risk - A study of listed companies on Ho Chi Minh stock exchange (HOSE)
Abstract
This paper investigates the linkage between the firm market power and the ratio of idiosyncratic volatility to total risk for a number of listed companies on Ho Chi Minh Stock Exchange (HOSE) during the 5-year period starting from 2012. The research employs the proxy for market power of enterprise suggested by Surendranath Jory et al. (2016). In addition, the idiosyncratic volatility which is one of components of total risk is measured by using the Capital Asset Pricing Model. The main model to examine the aforementioned association developed by Hussein Abdoh and Oscar Varela (2017) is employed to generate ultimate outcomes. After running regression on a sample of 80 chosen non-financial companies on HOSE, it is inferred that the firm market power has negative impact on the ratio of firm-specific risk to total risk. The most significant limitation that further studies on this topic are suggested to pay attention to is the sample size whose power can create an increase in the significance level of the coefficient valuations.