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

Abstract: 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S221463501830114X

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:eee:beexfi:v:24:y:2019:i:c:s221463501830114x

DOI: 10.1016/j.jbef.2019.02.002

Access Statistics for this article

Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().