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A Test of Return Predictability in the Vietnamese Stock Market

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  • Thanh Trung Le
  • Anh Tram Luong

Abstract

For the first time, the market efficiency is examined in the different context of the stock market. By employing tests of weak-form efficiency, this study finds out that the overall, Vietnamese stock market does not follow a random walk regardless of the degree of stock market volatility. Therefore, technical analysis could be used by investors and financial managers to forecast price and gain profits on the market. Another finding is that although the Vietnamese market is not weak-form efficient, there is an improvement in recent years. The paper suggests that if investors and financial managers can employ past returns to predict stock prices and make decisions on the Vietnamese market, they should change their strategies in the future. This finding also contributes to studies on the Efficient Market Hypothesis in emerging countries and its performance in different economic contexts.

Suggested Citation

  • Thanh Trung Le & Anh Tram Luong, 2020. "A Test of Return Predictability in the Vietnamese Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(2), pages 390-404, April.
    • Handle: RePEc:jfr:ijfr11:v:11:y:2020:i:2:p:390-404
    DOI: 10.5430/ijfr.v11n2p390
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    References listed on IDEAS

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