Mateus, Cesario ORCID: https://orcid.org/0000-0003-0336-5219 and Hoang, Bao Trung ORCID: https://orcid.org/0000-0003-1130-0300 (2021) Frontier markets, liberalization and informational efficiency: evidence from Vietnam. Asia-Pacific Financial Markets, 28 (4). pp. 499-526. ISSN 1387-2834 (Print), 1573-6946 (Online) (doi:10.1007/s10690-021-09333-9)

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Abstract

This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing whether liberalization policies in the period 2009-15 have had impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hypothesis. The results confirm the role of foreign investors in improving the local market’s efficiency, however, the findings show that the liberalization does not always result in the increase of foreign participation, which then have limited impact on the efficiency. The study also indicates the importance of governance policies, along with liberalization policies, in completing market structure and market dynamics, that promote equity price reflects truly firm’s intrinsic value.

Item Type:	Article
Uncontrolled Keywords:	foreign investment; frontier markets; Hurst exponents; ; liberalization; market efficiency; Vietnam
Subjects:	H Social Sciences > HF Commerce > HF5601 Accounting H Social Sciences > HG Finance
Faculty / School / Research Centre / Research Group:	Faculty of Business Faculty of Business > Department of Accounting & Finance Greenwich Business School > Political Economy, Governance, Finance and Accountability (PEGFA)
Last Modified:	02 Dec 2024 16:09
URI:	http://gala.gre.ac.uk/id/eprint/35926

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