Based on the panel data of 22 stock tickers in the two porfolios VN30 and HNX30 during 2008–2014, the research empirically investigates the impact of information on stock price volatilities in Vietnam. | Nguyen Huu Huy Nhut et. al. / Journal of Economic Development 22 (3) 59-80 59 An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam NGUYEN HUU HUY NHUT University of Economics HCMC – nhut@ NGUYEN KHAC QUOC BAO University of Economics HCMC – nguyenbao@ TRAN NGUYEN HUY NHAN Joint Stock Commercial Bank for Foreign Trade of Vietnam (Vietcombank) – ARTICLE INFO ABSTRACT Article history: Based on the panel data of 22 stock tickers in the two porfolios VN30 and HNX30 during 2008–2014, the research empirically investigates the impact of information on stock price volatilities in Vietnam. Non-traditional data collection approach and OLS and GARCH (1;1) models, along the use of data on information supply measured by the number of disclosures of the studied stocks and data on information demand measured by the number of search attempts on Google by means of Google Trend allow the research findings to be distilled into clear recommendations, which show that: (i) Both information supply and demand do affect stock price volatilities; and (ii) More profound and significant impact has been produced by information demand; particularly, effects of market-level information demand are more powerful than those of stock-level information demand. Received: Nov. 17. 2014 Received in revised form: Mar. 11. 2015 Accepted: Jun. 28. 2015 Keywords: budgetary slack, budget participation, budget emphasis, nonfinancial managerial accounting information, human aspects of budgeting 60 Nguyen Huu Huy Nhut et. al. / Journal of Economic Development 22 (3) 59-80 1. Introduction Stock market, the role of which has been appreciated as an attractive channel for investment, reflects investors’ expectations about the economy. A wide diversity of information supply and quantities as well as the number of regular followers shows that information is truly a fine gem of
