Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006

André Farber, Van Nam Nguyen and Quan Hoang Vuong

No 06-005.RS, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: Vietnam 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.

Keywords: GARCH; Vietnam; Emerging stock market; Policy Impacts. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 28 p.
Date: 2006-04
New Economics Papers: this item is included in nep-fmk and nep-tra
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Citations: View citations in EconPapers (10)

Published by: Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB)

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