Price limit regulation and herd behavior in the Vietnamese stock market

Tran Viet Ha

No 6ru75, OSF Preprints from Center for Open Science

Abstract: This paper attempts to analyze the effectiveness of price limit regulation in the context that herd behavior is prevalent in the Vietnamese stock market during the period January-2003 to August-2006. Employing the approach proposed by Kim et al. (1997) we find supporting evidences for the three hypotheses of volatility spillover, delayed price discovery process, and trade interference. By using the model of Christea and Huang (1995) with some modification and extension we realize herding behavior occurs quite frequently, whenever the market moves at least 1% or after large price changes of individual stocks appear. However, as the herding pattern is likely the same after the large individual returns regardless of limit-hit existence, it is hardly an alternative explanation for the three hypotheses.

Date: 2007-05-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://osf.io/download/6278ee0c1e229b346788fff2/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:6ru75

DOI: 10.31219/osf.io/6ru75

Access Statistics for this paper

More papers in OSF Preprints from Center for Open Science
Bibliographic data for series maintained by OSF ().