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The aim of this study is to examine the effect of financial variables on systematic risk, using the panel data of 64 manufacturing companies listed in Ho Chi Minh City Stock Exchange (HOSE) during the period of 2011-2015. The three models employed are pooled Ordinary Least Squares (OLS), Random Effect Model (REM), and Fixed Effects Model (FEM). The results of model tests show that FEM is the most suitable to carry out the analysis. In order to increase the efficiency of the model, the tests for model problems are conducted. The results point to the presence of heteroskedasticity problem in the model; therefore, the modified FEM is used to deal with this issue. Empirical evidence from HOSE indicates that leverage has a significantly positive impact while operating efficiency and profitability show significantly negative impact on systematic risk (beta).

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Issue: Vol 1 No Q4 (2017)
Page No.: 88-94
Published: Oct 31, 2017
Section: Research article

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Copyright: The Authors. This is an open access article distributed under the terms of the Creative Commons Attribution License CC-BY 4.0., which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

 How to Cite
Pham, M., Bui, B., & Nguyen, T. (2017). The impact of financial variables on systematic risk – An empirical study in manufacturing industry on Ho Chi Minh stock exchange. VNUHCM Journal of Economics, Business and Law, 1(Q4), 88-94.

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