Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam

28 Pages Posted: 15 Jan 2018 Last revised: 7 Feb 2018

See all articles by Cuong Nguyen

Cuong Nguyen

Lincoln University (NZ)

Hao Quach

University of Lincoln (UK)

Thu Phuong Truong

Victoria University of Wellington - Te Herenga Waka

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Date Written: November 10, 2017

Abstract

Employing a sample of all stocks listed on the two Vietnamese stock exchanges – HOSE and HNX over the 2007-2016 period, we find that the transaction costs for HOSE-listed stocks are about a third of those for HNX-listed stocks. This difference persists over the sample period, across most industries, and is smaller with size. We provide evidence of both within and cross-exchange liquidity co-movements in both stock exchanges. We do not find that liquidity co-movements are stronger in HOSE than HNX, and vice versa. Our findings are important to many parties including exchange regulators, and domestic and international investors in Vietnam.

Keywords: transaction costs, liquidity, commonality, emerging markets, Vietnam

JEL Classification: G12, G14, G15

Suggested Citation

Nguyen, Cuong and Quach, Hao and Truong, Thu Phuong, Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam (November 10, 2017). 9th Conference on Financial Markets and Corporate Governance (FMCG) 2018, Available at SSRN: https://ssrn.com/abstract=3102160 or http://dx.doi.org/10.2139/ssrn.3102160

Cuong Nguyen

Lincoln University (NZ) ( email )

PO Box 85084
Ellesmere Junction Road/Springs Road
Lincoln, 7647
New Zealand

Hao Quach

University of Lincoln (UK) ( email )

Lincoln LN2
United Kingdom

Thu Phuong Truong (Contact Author)

Victoria University of Wellington - Te Herenga Waka ( email )

P.O. Box 600
Wellington, 6140
New Zealand
64 4 463 5233 (ext 8961) (Phone)
64 4 463 5076 (Fax)

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