Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market

[No Value] Truong Dong Loc, Ger Lanjouw*, Robert Lensink

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

18 Citations (Scopus)

Abstract

This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article focuses on the question whether the market is weak-form efficient. An important element of the investigation concerns the possible bias of the results caused by the thin trading that characterizes the STC. Stock-market returns are corrected for this. The main conclusion is that the STC is not efficient in the weak form.

Original languageEnglish
Article number906980520
Pages (from-to)3519-3532
Number of pages14
JournalApplied Economics
Volume42
Issue number27
DOIs
Publication statusPublished - 2010

Keywords

  • RANDOM-WALK HYPOTHESIS
  • HONG-KONG
  • EXCHANGE
  • VARIANCE
  • BEHAVIOR
  • RETURNS
  • PRICES
  • INDEX
  • TESTS

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