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Sunderland Repository records the research produced by the University of Sunderland including practice-based research and theses.

Ho Chi Minh Stock Exchange Market: Operation and efficiency

Seddighi, Hamid and Tran, Van (2021) Ho Chi Minh Stock Exchange Market: Operation and efficiency. Asian Journal of Economics and Empirical Research, 8 (1). pp. 22-38. ISSN 2409-2622

Item Type: Article


This paper presents an up - to - date account of market operations of the Ho Chi Minh Stock Exchange and examines its informational efficiency in recent years. The daily closing prices and rates of return of VN Index – the major market index of Ho Chi Minh Stock Exchange and 10 stocks chosen from different sectors are employed, from 2 January 2018 to 31 December 2019, to investigate the random walk hypothesis of market efficiency using the Lo - MacKinlay variance ratio test and Chow - Denning multiple variance ratio test. Our results show that the market index and individual sample stocks conform to the null hypothesis of a random walk type 3 model of a weak form market efficiency. The paper also presents the results of an Event Study to examine the semi - strong form market efficiency of the HOSE. The empirical results on this type indicate that there are significant abnormal returns and significant cumula tive abnormal returns by trading the stocks around the events. These results are inconsistent with the requirements of a semi - strong form market efficiency, and it thus appears that further improvements in transmission of information and its speed within this market are needed to further improve the efficiency of this emerging market.

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More Information

Depositing User: Hamid Seddighi


Item ID: 13569
Identification Number:
ISSN: 2409-2622
Official URL:

Users with ORCIDS

ORCID for Hamid Seddighi: ORCID iD

Catalogue record

Date Deposited: 08 Jun 2021 15:36
Last Modified: 08 Jun 2021 15:36


Author: Hamid Seddighi ORCID iD
Author: Van Tran

University Divisions

Faculty of Business, Law and Tourism > Sunderland Business School


Business and Management > Accounting and Finance

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