Ho Chi Minh Stock Exchange Market: Operations and Efficiency

Tran Van Nguyen Hong () and Hamid R Seddighi ()

Asian Journal of Economics and Empirical Research, 2021, vol. 8, issue 1, 27-38

Abstract: This paper presents an up-to-date account of market operations of the Ho Chi Minh Stock Exchange and examines its informational efficiency in recent years. The daily closing prices and rates of return of VN Index – the major market index of Ho Chi Minh Stock Exchange and 10 stocks chosen from different sectors are employed, from 2 January 2018 to 31 December 2019, to investigate the random walk hypothesis of market efficiency using the Lo-MacKinlay variance ratio test and Chow-Denning multiple variance ratio test. Our results show that the market index and individual sample stocks conform to the null hypothesis of a random walk type 3 model of a weak form market efficiency. The paper also presents the results of an Event Study to examine the semi-strong form market efficiency of the HOSE. The empirical results on this type indicate that there are significant abnormal returns and significant cumulative abnormal returns by trading the stocks around the events. These results are inconsistent with the requirements of a semi-strong form market efficiency, and it thus appears that further improvements in transmission of information and its speed within this market are needed to further improve the efficiency of this emerging market.

Keywords: Emerging stock markets; Market operation; Market efficiency; Ho Chi Minh stock exchange; Variance ratio test; Event study. (search for similar items in EconPapers)
Date: 2021
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