Policy Impacts on Vietnam Stock Market: A Case of Anomalies and Disequilibria 2000-2006

Book of Abstracts - The International Conference on Public Economic Theory - PET 06, Hanoi, August 2006

28 Pages Posted: 2 Aug 2009 Last revised: 4 Aug 2010

See all articles by Quan Hoang Vuong

Quan Hoang Vuong

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management; Phenikaa University

Andre Farber

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management

Van Nguyen

affiliation not provided to SSRN

Date Written: April 20, 2006

Abstract

Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: 1. Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; 2. Strong herd effect toward extreme positive returns of the market portfolio; 3. The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. 4. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities rethink the use of price limit and give more freedom to market participants.

Keywords: GARCH, Vietnam, Emerging stock market, Policy Impacts

JEL Classification: C12, C22

Suggested Citation

Vuong, Quan Hoang and Farber, Andre and Nguyen, Van, Policy Impacts on Vietnam Stock Market: A Case of Anomalies and Disequilibria 2000-2006 (April 20, 2006). Book of Abstracts - The International Conference on Public Economic Theory - PET 06, Hanoi, August 2006, Available at SSRN: https://ssrn.com/abstract=1442382 or http://dx.doi.org/10.2139/ssrn.1442382

Quan Hoang Vuong (Contact Author)

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management ( email )

ULB CP 145/01
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Brussels, Bruxelles 1050
Belgium
+32-2-6504864 (Phone)
+32-2-6504188 (Fax)

HOME PAGE: http://www.ceb-ulb.com/vuong-quan-hoang.html

Phenikaa University ( email )

To Huu road, Yen Nghia
Ha Dong district
Hanoi, Hanoi 100803
Vietnam

HOME PAGE: http://sites.google.com/site/vuongqh2019/

Andre Farber

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management ( email )

50 Avenue Roosevelt
Brussels 1050
Belgium

Van Nguyen

affiliation not provided to SSRN ( email )

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