Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam

Cesario Mateus () and Bao Trung Hoang
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Cesario Mateus: Aalborg University
Bao Trung Hoang: University of Greenwich

Asia-Pacific Financial Markets, 2021, vol. 28, issue 4, No 2, 499-526

Abstract: Abstract This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing whether liberalization policies in the period 2009–15 have had an impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hypothesis. The results confirm the role of foreign investors in improving the local market’s efficiency, however, the findings show that the liberalization does not always result in the increase of foreign participation, which then has a limited impact on the efficiency. The study also indicates the importance of governance policies, along with liberalization policies, in completing market structure and market dynamics, that promote equity price reflects truly firm’s intrinsic value.

Keywords: Foreign investment; Frontier markets; Hurst exponent; Liberalization; Market efficiency; Vietnam (search for similar items in EconPapers)
JEL-codes: F62 F65 G12 G18 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10690-021-09333-9

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