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Herding and equity market liquidity in emerging market. Evidence from Vietnam

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  • Vo, Xuan Vinh
  • Phan, Dang Bao Anh

Abstract

This paper focuses on investigating the relation between herding and liquidity in Vietnam stock market, an issue which captures less intention in the current literature. We use daily prices and daily trading volume of all stocks traded on the Ho Chi Minh City stock exchange over 13 years. The finding confirms the existence of herd propensity in Vietnam equity market during the period studied. More importantly, the results reveal significant evidence of herding asymmetry conditional on the average market liquidity. The herd behavior is more pronounced for high and medium liquidity stocks. Furthermore, we find anecdotal evidence supporting the bilateral effects between herding and market liquidity.

Suggested Citation

  • Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019. "Herding and equity market liquidity in emerging market. Evidence from Vietnam," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    • Handle: RePEc:eee:beexfi:v:24:y:2019:i:c:s221463501830114x
    DOI: 10.1016/j.jbef.2019.02.002
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    Cited by:

    1. Ah Mand, Abdollah & Sifat, Imtiaz, 2021. "Static and regime-dependent herding behavior: An emerging market case study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    2. Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).

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    More about this item

    Keywords

    Frontier market; Financial crisis; Herding; Liquidity;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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