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Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market

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Abstract:

This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article focuses on the question whether the market is weak-form efficient. An important element of the investigation concerns the possible bias of the results caused by the thin trading that characterizes the STC. Stock-market returns are corrected for this. The main conclusion is that the STC is not efficient in the weak form.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840802167350

Affiliations: 1: School of Economics and Business Administration (SEBA), Can Tho University, Vietnam 2: Faculty of Economics and Business, Department of International Economics and Business, University of Groningen, The Netherlands 3: Faculty of Economics and Business, Department of Finance, University of Groningen, The Netherlands

Publication date: November 1, 2010

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