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Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam

Author

Listed:
  • Cesario Mateus

    (Aalborg University)

  • Bao Trung Hoang

    (University of Greenwich)

Abstract

This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing whether liberalization policies in the period 2009–15 have had an impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hypothesis. The results confirm the role of foreign investors in improving the local market’s efficiency, however, the findings show that the liberalization does not always result in the increase of foreign participation, which then has a limited impact on the efficiency. The study also indicates the importance of governance policies, along with liberalization policies, in completing market structure and market dynamics, that promote equity price reflects truly firm’s intrinsic value.

Suggested Citation

  • Cesario Mateus & Bao Trung Hoang, 2021. "Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 499-526, December.
    • Handle: RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09333-9
    DOI: 10.1007/s10690-021-09333-9
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    More about this item

    Keywords

    Foreign investment; Frontier markets; Hurst exponent; Liberalization; Market efficiency; Vietnam;
    All these keywords.

    JEL classification:

    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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