Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam
28 Pages Posted: 15 Jan 2018 Last revised: 7 Feb 2018
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Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam
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: Suggested Citation