Title: Market efficiency in emerging economies - case of Vietnam

Authors: Rakesh Gupta; Junhao Yang; Parikshit K. Basu

Addresses: Griffith Business School, Griffith University, 170 kessels Road, Nathan, Australia ' China Chengxin International Credit Rating Co.,Ltd., 12th Floor, Tower D, Beijing Merchants International Financial Center, No. 156 Fuxingmennei Avenue, Beijing, 100031, China ' School of Accounting and Finance, Charles Sturt University, Panorama Avenue, Bathurst, NSW 2795, Australia

Abstract: The objective of this paper is to test whether the Vietnamese equity markets are weak form efficient or not using ADF unit root test of non-stationarity. The research used data on daily, weekly, monthly and quarterly returns from HCMSE since its inception as a trading centre in 2000 until 2012. The analysis considered the influence of the global financial crisis period on the market efficiency of the Vietnam's stock market by considering data on pre-crisis, crisis and post-crisis periods. The research found that Vietnam's stock market is weak form efficient, at least in the later period. This may suggest that Vietnam's market is progressing towards weak form efficiency but the speed of transmission of information is slow. Thin trading in the market may also influence the speed of price adjustment in the stock market. Like most studies on market efficiency, results of this research should be considered with caution.

Keywords: Vietnam; weak form efficient; market efficiency; emerging markets; equity markets; global financial crisis; stock markets; price adjustment.

DOI: 10.1504/IJBG.2014.063392

International Journal of Business and Globalisation, 2014 Vol.13 No.1, pp.25 - 40

Published online: 26 Jul 2014 *

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