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Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

Author

Listed:
  • Dzung Phan Tran Trung

    (Faculty of Banking & Finance, Foreign Trade University, Hanoi 100000, Vietnam)

  • Hung Pham Quang

    (Branch of PwC (Vietnam) Limited in Hanoi, Hanoi 100000, Vietnam)

Abstract

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

Suggested Citation

  • Dzung Phan Tran Trung & Hung Pham Quang, 2019. "Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market," JRFM, MDPI, vol. 12(2), pages 1-16, May.
    • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:81-:d:229435
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    Cited by:

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    5. Román Alejandro Mendoza Urdiales & Andrés García-Medina & José Antonio Nuñez Mora, 2021. "Measuring information flux between social media and stock prices with Transfer Entropy," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-19, September.
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