IDEAS home Printed from https://ideas.repec.org/a/cii/cepiie/2021-q3-167-16.html
   My bibliography  Save this article

Is there any information content of traded stocks in an emerging market? Evidence from Vietnam

Author

Listed:
  • Bao Doan
  • Duc Hong Vo

Abstract

The presence of foreign ownership is very limited in stocks traded in Vietnam due to the existing regulations. Significant premiums have been observed in stock trading, reflecting a result of direct negotiations between foreign institutional investors and current owners of the stocks. However, the information content of traded stocks in Vietnam has largely been ignored in the current literature. We examine the information content of listed stocks in different trade sizes of the large-capitalization stocks included in the VN30 Index. This paper uses the intraday data for constituents of the national market index, the VN30 Index, from 1st January 2017 to 14th November 2019. Our findings confirm that the ultimate impact of trade innovation size on a quote is positive, increasing and concave. The quote revision in Vietnam's stock market causing trades is found in this paper. In addition, stock trades at times of the wide spread have a more significant price impact than the narrow spread. Interestingly, findings from this paper indicate that market participants are highly unlikely to infer an information event following a large trade occurring in the market.

Suggested Citation

  • Bao Doan & Duc Hong Vo, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, CEPII research center, issue 167, pages 78-87.
    • Handle: RePEc:cii:cepiie:2021-q3-167-16
    as

    Download full text from publisher

    File URL: https://www.sciencedirect.com/science/article/pii/S2110701721000391
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December.
    3. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    4. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    5. Hardy Johnson, 2014. "Odd Lot Trades: The Behavior, Characteristics, and Information Content, Over Time," The Financial Review, Eastern Finance Association, vol. 49(4), pages 669-684, November.
    6. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
    7. Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2019. "Price Discovery without Trading: Evidence from Limit Orders," Journal of Finance, American Finance Association, vol. 74(4), pages 1621-1658, August.
    8. Fassas, Athanasios P. & Siriopoulos, Costas, 2019. "Intraday price discovery and volatility spillovers in an emerging market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 333-346.
    9. Chiyachantana, Chiraphol & Jain, Pankaj K. & Jiang, Christine & Sharma, Vivek, 2017. "Permanent price impact asymmetry of trades with institutional constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 1-16.
    10. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-588, June.
    11. Copeland, Thomas E & Galai, Dan, 1983. "Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-1469, December.
    12. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
    13. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    14. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    15. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    16. Chen, Tao, 2019. "The price impact of trade-size clustering: Evidence from an intraday analysis," Journal of Business Research, Elsevier, vol. 101(C), pages 300-314.
    17. Maureen O’Hara & Gideon Saar & Zhuo Zhong, 2019. "Relative Tick Size and the Trading Environment," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 47-90.
    18. Alex Frino & David Johnstone & Hui Zheng, 2010. "Anonymity, Stealth Trading, and the Information Content of Broker Identity," The Financial Review, Eastern Finance Association, vol. 45(3), pages 501-522, August.
    19. Anand, Amber & Chakravarty, Sugato, 2007. "Stealth Trading in Options Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 167-187, March.
    20. Johnson, Hardy & Van Ness, Bonnie F. & Van Ness, Robert A., 2017. "Are all odd-lots the same? Odd-lot transactions by order submission and trader type," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 1-11.
    21. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    22. Haim Mendelson, 2004. "Strategic Trading, Liquidity, and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 295-337.
    23. Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 747-777, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
    2. repec:uts:finphd:34 is not listed on IDEAS
    3. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
    4. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
    5. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Market impacts of trades for stocks listed on the Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 20(C), pages 152-175.
    6. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
    7. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    8. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
    9. Lin, Ji-Chai & Sanger, Gary C. & Geoffrey Booth, G., 1998. "External information costs and the adverse selection problem: A comparison of NASDAQ and NYSE stocks," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 113-136.
    10. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    11. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
    12. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    13. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    14. Pascual, Roberto, 1999. "How does liquidity behave? A multidimensional analysis of NYSE stocks," DEE - Working Papers. Business Economics. WB 6433, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    15. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
    16. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    17. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    18. Abad, David & Pascual, Roberto, 2015. "The friction-free weighted price contribution," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 226-239.
    19. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    20. Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
    21. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cii:cepiie:2021-q3-167-16. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cepiifr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.