Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006
AbstractVietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 06-005.RS.
Length: 28 p.
Date of creation: Apr 2006
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Publication status: Published by: Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB)
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GARCH; Vietnam; Emerging stock market; Policy Impacts.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-06 (All new papers)
- NEP-FMK-2006-05-06 (Financial Markets)
- NEP-TRA-2006-05-06 (Transition Economics)
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