STOCK-MARKET EFFICIENCY IN EMERGING MARKETS: EVIDIENCE FROM VIETNAMESE STOCK MARKET

被引：0

作者：

Do Thi Thanh Nhan ^{[1
,2
]}

Le Tuan Bach ^{[2
]}

Nguyen Thanh Trung ^{[2
]}

机构：

[1] Tomas Bata Univ, Tan Phong Ward, 19 Nguyen Huu Tho St,Dist 7, Hcm City, Vietnam

[2] Ton Duc Thang Univ, Foreign Trade Univ, Tan Phong Ward, Hcm City, Vietnam

来源：

FINANCE AND PERFORMANCE OF FIRMS IN SCIENCE, EDUCATION, AND PRACTICE | 2015年

关键词：

Efficient Market Hypothesis; Fama; autocorrelation; Vietnam;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The objective of this study is to find out whether the Vietnamese stock market is weak-form efficient. This paper applies data daily and weekly returns of VN-index and HNX-index in Hochiminh and Hanoi Stock Exchange, respectively from 2000 to 2013. The results obtained from the test indicate significant deviations from the random walk hypothesis of the stock returns in the Vietnamese market, in which the majority of data experience is positive correlations. Furthermore, the nonparametric runs test is used to determine the randomness of a price or a return sequence as an alternative. The test once again confirms that the Vietnamese stock market is not weak-form efficient.

引用

页码：204 / 216

页数：13

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