Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market

Rong Chen, Geng, Heng (Griffin), Hai Lin and Phuong Thi Ly Nguyen

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: This paper investigates the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnamese stock market, as measured by liquidity and informed trading level. We find that market liquidity decreases after the introduction of the MSS, and that the effect is more pronounced for small firms. Although the level of informed trading, on average, does not change significantly after the MSS, the subsample analysis indicates a significant decrease in informed trading among large and liquid firms.

Keywords: Liquidity; Informed trading; Market surveillance system; The sub-sample analysis (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000743

DOI: 10.1016/j.pacfin.2021.101567

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