Delayed Price Discovery and Momentum Strategies: Evidence from Vietnam

37 Pages Posted: 2 May 2007

See all articles by Cameron Truong

Cameron Truong

Monash University; Financial Research Network (FIRN)

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area

Mai Truc Thi Nguyen

Ho Chi Minh City Securities Trading Centre

Date Written: April 2007

Abstract

This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits during the period 2000-2006 and our findings are robust to various tests, risk adjustments and market microstructure biases. We also show that trading volume is particularly important in generating momentum returns. We further document that price limits significantly hinder market liquidity. This fact, to a large extent, accounts for the strong price continuity of the Vietnam Stock Exchange.

Keywords: Momentum, Turnover Ratio, Past Returns, Price Limits, Vietnam

JEL Classification: G11, G12, G15

Suggested Citation

Truong, Cameron and Veeraraghavan, Madhu and Thi Nguyen, Mai Truc, Delayed Price Discovery and Momentum Strategies: Evidence from Vietnam (April 2007). Available at SSRN: https://ssrn.com/abstract=983832 or http://dx.doi.org/10.2139/ssrn.983832

Cameron Truong (Contact Author)

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area ( email )

Bangalore
Manipal, Karnataka 576104
India
+91-820-2701030 (Phone)

Mai Truc Thi Nguyen

Ho Chi Minh City Securities Trading Centre ( email )

Vietnam

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