TBU Publications
Repository of TBU Publications

Stock-Market Efficiency in Emerging Markets: Evidience from Vietnamese Stock Market

DSpace Repository

Show simple item record


dc.title Stock-Market Efficiency in Emerging Markets: Evidience from Vietnamese Stock Market en
dc.contributor.author Do, Thi Thanh Nhan
dc.contributor.author Le, Tuan Bach
dc.contributor.author Nguyen, Thanh Trung
dc.relation.ispartof Finance and Performance of Firms in Science, Education and Practice 2015
dc.identifier.isbn 978-80-7454-482-8
dc.date.issued 2015
dc.citation.spage 204
dc.citation.epage 216
dc.event.title 7th International Scientific Conference on Finance and Performance of Firms in Science, Education and Practice
dc.event.location Zlín
utb.event.state-en Czech Republic
utb.event.state-cs Česká republika
dc.event.sdate 2015-04-23
dc.event.edate 2015-04-24
dc.type conferenceObject
dc.language.iso en
dc.publisher Univerzita Tomáše Bati ve Zlíně (UTB)
dc.publisher Tomas Bata University in Zlín en
dc.relation.uri http://www.ufu.utb.cz/konference/sbornik2015.pdf
dc.subject Efficient Market Hypothesis en
dc.subject Fama en
dc.subject autocorrelation en
dc.subject Vietnam en
dc.description.abstract The objective of this study is to find out whether the Vietnamese stock market is weak-form efficient. This paper applies data daily and weekly returns of VN-index and HNX-index in Hochiminh and Hanoi Stock Exchange, respectively from 2000 to 2013. The results obtained from the test indicate significant deviations from the random walk hypothesis of the stock returns in the Vietnamese market, in which the majority of data experience is positive correlations. Furthermore, the nonparametric runs test is used to determine the randomness of a price or a return sequence as an alternative. The test once again confirms that the Vietnamese stock market is not weak-form efficient. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1006471
utb.identifier.obdid 43874561
utb.identifier.wok 000374107300015
utb.source d-wok
dc.date.accessioned 2016-07-26T14:58:36Z
dc.date.available 2016-07-26T14:58:36Z
utb.contributor.internalauthor Do, Thi Thanh Nhan
utb.fulltext.affiliation Do Thi Thanh Nhan, Le Tuan Bach, Nguyen Thanh Trung Contact information Do Thi Thanh Nhan Tomas Bata University and Ton Duc Thang University, Foreign Trade University 19 Nguyen Huu Tho Street, Tan Phong ward, District 7, HCM city, VN Email: dothithanhnhan@tdt.edu.vn Le Tuan Bach Ton Duc Thang University, Foreign Trade University 19 Nguyen Huu Tho Street, Tan Phong ward, District 7, HCM city, VN Email: dothithanhnhan@tdt.edu.vn Nguyen Thanh Trung Ton Duc Thang University, Foreign Trade University 19 Nguyen Huu Tho Street, Tan Phong ward, District 7, HCM city, VN Email: dothithanhnhan@tdt.edu.vn
utb.fulltext.dates -
utb.fulltext.references 1. Abeysekera, S. P. (2001). Efficient Markets Hypothesis and the emerging Capital Market in Srilanka: Evidence from the Colombo Stock Exchange. Journal of Business Finance & Accounting, 28 (1/2), 249-261. 2. Box, G., & Pierce D. 1970. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65, 1509-1526. 3. C. Cheung, K. & Countts, J. A. (2001). A note on weak form market efficiency in security prices: evidence from the Hong Kong stock exchange. Applied Economics Letters, 8 (6), 407- 410. 4. Campbell, J. Y., Lo, A. W. & MacKinlay, A. (1997). The Econometrics of Finance Markets. Princeton, New Jersey: Princeton University Press. 5. Dickinson, J. P., & Muragu, K. (1994). Market efficiency in developing countries: a case study of the Nairobi stock exchange. Journal of Business Finance & Accounting, 21 (1), 133-150. 6. Fama, E. F. (1965). The behavior of stock-market prices. Journal of Business, 38 (1), 34–105. 7. Fama, E. F. (1970). Efficient Capital Markets: A review of theory and Empirical work. Journal of Finance, 25 (2), 383. 8. Huber, P. (1997). Stock Market returns on thin markets: Evidence from the Vienna Stock Exchange. Applied Financial Economics, 7, 493-498. 9. Karamera. D., Ojah, K., & Cole, J. (1999). Random walks and market efficiency tests: evidence from emerging equity markets. Review of Quantitative Finance and Accounting, 12 (2), 171-188. 10. Kima, J. H. & Shamsuddinb, A. (2008). Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. Journal of Empirical Finance, 15 (3), 518-532. 11. Ljung, G. & Box, G. (1978). On a Measure of Lack on Fit in Time Series Models. Biometrika, 66, 67-72. 12. Loc, T. D., Lanjouw, G., & Lensink, R. (2010). Stock market efficiency in thintrading markets: the case of the Vietnamese stock market. Applied Economics, 42, 3519-3532. 13. Mobarek, A., & Keasey, K. (2000). Weak-form market efficiency of an emerging Market: Evidence from Dhaka Stock Market of Bangladesh. Working Paper. 14. Moustafa, M. A. (2004). Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market. International Journal of Business, 9 (3). 15. Nisar, & Hanif, (2012). Testing Market Efficiency: Empirical Evidence from Developed Markets of Europe and North America. Social sciences research network. 16. Ojah, K., & Karemera, D. (1999). Random walks and market efficiency tests of Latin American emerging equity markets. The Financial Review, 34 (1), 57-72. 17. Olowe, R. A. (1999). Weak form efficiency of the Nigerian stock market: further evidence. African Development Review, 11, 54-68. 18. Urrutia, J. (1995). Tests of Random Walk and Market Efficiency for Latin American Emerging Markets. Journal of Financial Research, 18 (3), 299-309. 19. Vinh, V. X. & Thao, L. D. B. (2010). Empirical Investigation of Efficient Market Hypothesis in Vietnam Stock Market. Retrieved from http://ssrn.com/abstract=2226866. 20. Wheeler, F. P., Neale, B., Kowalski, T., & Letza, S. R. (2002). The efficiency of the Warsaw Stock Market: the first few years 1991-1996. The Pozman University of Economics Review, 2, 37-56. 21. Worthington, A. C. & Higgs, H. (2004). Random walks and market efficiency in European equity markets. Journal of Finance and Economics, 1 (1), 59-78. 22. Worthington, A. C. & Higgs, H. (2006). Weak-Form Market Efficiency in Asian Emerging and Developed Equity Markets: Comparative Tests of Random Walk Behaviors. Accounting Research Journal, 19 (1), 54-63.
utb.fulltext.sponsorship -
utb.fulltext.projects -
Find Full text

Files in this item

Show simple item record