Herding and equity market liquidity in emerging market. Evidence from Vietnam
Xuan Vinh Vo and
Dang Bao Anh Phan
Journal of Behavioral and Experimental Finance, 2019, vol. 24, issue C
This paper focuses on investigating the relation between herding and liquidity in Vietnam stock market, an issue which captures less intention in the current literature. We use daily prices and daily trading volume of all stocks traded on the Ho Chi Minh City stock exchange over 13 years. The finding confirms the existence of herd propensity in Vietnam equity market during the period studied. More importantly, the results reveal significant evidence of herding asymmetry conditional on the average market liquidity. The herd behavior is more pronounced for high and medium liquidity stocks. Furthermore, we find anecdotal evidence supporting the bilateral effects between herding and market liquidity.
Keywords: Frontier market; Financial crisis; Herding; Liquidity (search for similar items in EconPapers)
JEL-codes: G02 G10 G12 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:24:y:2019:i:c:s221463501830114x
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