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1: Performance of VN-Index from 14 th July 2005 to 28 th September 2017: Some events are highlighted: Securities Laws on Jul 12 th 2006 - Crisis started March 27 th 2008 - Online HoSE transaction on November 24 th 2008 - Crisis ended March 31 st 2009 - Foreign ownership limitation to 49% on June 1 st 2009 - t+3 on September 4 th 2012 - Price limits to 7% in HoSE and 10% in HNX on January 15 th 2013 - Foreign ownership limitation to 100% on September 1 st 2015 - t+2 on January 1 st 2016.
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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 an impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hy...
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Citations
... Fourthly, this study is also the first to examine the absolute performance of the Vietnamese banking sector, using data from 2002 to 2021, representing the longest data series on Vietnamese banks. Despite the growing number of studies on the efficiency and performance of Vietnamese banks (e.g., Ngo & Tripe, 2017;Mateus & Hoang, 2021;Le et al., 2022a), none of them have addressed this issue before. ...
... Note ETA: Equity capital to total assets, NPLRATIO: Nonperforming loans to total loans, ROA: Return on assets, NIM: Net interest margin, LTA: Liquid assets over total assets, GTA: Absolute value of the cumulative 1-year repricing gaps over total assets. ETA, ROA, NIM, and LTA have a positive relationship with bank stability, while NPLRATIO and GTA are the opposite by Vo and Nguyen (2018), however, the improvement in performance of banks was mainly driven by the booming stock market, in which banks were strong players (Mateus & Hoang, 2021). Such development is not sustainable; the third period of post-2015 shows a sharp decrease in the CPI to the bottom point of 16.25 in 2019. ...
This study uses the multi-criteria decision-analysis (MCDA) approach to construct a composite performance index (CPI) directly from the CAMELS financial ratios. The CPI has several promising characteristics, such as (i) being an absolute measure of performance that allows for adding or removing data without affecting the existing scores; (ii) employing CAMELS ratios directly in its calculation without the need for normalization or imputation of positive values; (iii) employing the dynamic weighting system of data envelopment analysis (DEA); (iv) providing more robust insights on the Vietnamese banking system under the Shannon entropy approach; and (v) can be an alternative measure of bank stability, compared to the CAMELS ratings and z-scores. Based on a rich dataset of 45 Vietnamese banks spanning from 2002 to 2020, our findings suggest that the proposed CPI could offer an overall view consistent with other approaches for measuring banking sector performance and stability and identifying specific strengths and weaknesses of banks.
... The AMH's view of stock market efficiency has been much researched. See, for example, Mateus and Hoang (2021) for frontier markets, Lim (2007) for emerging and developed markets, and Urquhart and McGroarty (2016) for the most established markets. Although market size is seen as a significant factor in market efficiency (Kavussanos and Dockery 2001), there is little AMH-related research from the perspective of a small stock market. ...
In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) does. Building on this, we also test how small market size and market liberalization impact the efficiency of the Finnish stock market and examine the relationship between market volatility and return in this market. We conduct this study by applying the subsample analysis and the rolling window analysis to the daily returns of the OMXH25 index and by measuring the efficiency through three linear and two nonlinear predictability tests. The results of our study strongly support the AMH. They also suggest that small market size alone does not make a market less efficient; opening a market to foreign investors improves its efficiency after a delay; and the correlation between market volatility and return varies over time in the Finnish stock market, being usually negative. These findings mostly contradict the traditional investment paradigm.
... Over the past two decades since the Vietnamese stock market was officially established in July 2000, securities companies have had the opportunity to become acquainted with a completely new business area in Vietnam (Mateus and Hoang, 2021). This newness was experienced not only by market regulators and financial intermediaries but also by securities investors. ...
This study aims to improve the operational efficiency of Vietnamese securities companies by analyzing international practices and deriving pertinent lessons. Employing a research sample of secondary data, including audited financial statements and financial safety ratio reports from 70 Vietnamese stock market companies between 2013 and 2020, the study adopts analytical, synthetic, and comparative methodologies, underpinned by historical materialism. It meticulously investigates and evaluates practical aspects of business efficiency in securities companies, pinpointing specific challenges impeding operational efficiency in the Vietnamese context. The findings emphasize the need for substantial financial resources, advanced technical infrastructure, enhanced human resource quality and research activities, development of consulting services, and diversification of business operations and investor clientele. Additionally, it highlights the importance of flexible business strategies and effective utilization of company strengths. These insights offer a blueprint for Vietnamese securities firms to improve their performance and competitiveness in the global market.
... However, SMEs in Vietnam are hampered by the country's immature financial markets. While the market for debt has been liberalised and developed quite impressively in the Do intangible assets help SMEs in underdeveloped markets gain access to external finance?-the… last decade (Mateus & Hoang, 2021), the market for equity capital, especially that which serves SMEs, remains undersized . Entrepreneurs running SMEs therefore resort to informal sources such as friends and families when they need equity capital (Nguyen & Canh, 2020). ...
... For the bank-based financial markets in many developing countries, bank loans and other types of credit offered by financial institutions continue to be entrepreneurs' most important source of external financing. Mateus and Hoang (2021) show that while the market for debt in Vietnam has liberalised and developed fairly significantly over the past decades, the equity financial markets, especially those that serve SMEs, remain undersized. For example, venture capital, crowdfunding and angel financing are not well developed and are inaccessible to most Vietnamese SMEs (Scheela & Dinh, 2004;Scheela et al., 2018). ...
... These unprofessional and network-based investors may not fully appreciate the value of intangible assets (Mateus & Hoang, 2021;Thornhill & Gellatly, 2005), which they treat as a complement to rather than a substitute for asset tangibility. However, the banks in Vietnam will consider the values of intangibles when making their lending decisions. ...
Plain English Summary
The transition from a manufacturing-based economy towards one driven by technology and innovation is making firms’ intellectual property and intangible assets important to their business models. We challenge the conventional presumption that asset intangibility is nonbankable, especially in less-developed financial markets. This study provides new evidence about the role of intangible assets in reducing credit friction for SMEs in Vietnam. Specifically, we find that intangible assets, especially those that are identifiable (e.g. software, databases, in-progress R&D, copyrights and the right to land use) are essential in determining firms’ ability to raise external finance. We also find that the friction-reducing effect of intangibles is stronger on debt than on equity finance. Thus, the principal implication of this study is that equity investors in less-developed financial markets do not fully appreciate the value of intangible assets, whereas banks and professional lenders take intangibles into consideration in their lending decisions.
... The AMH's view of stock market efficiency has been much researched. See, for example, Mateus and Hoang (2021) for frontier markets, Lim (2007) for emerging and developed markets, and Urquhart and McGroarty (2016) for the most established markets. Although market size is seen as a significant factor in market efficiency (Kavussanos & Dockery, 2001), there is little AMH-related research from the perspective of a small stock market. ...
In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) does. Building on this, we also test how small market size and market liberalisation impact the efficiency of the Finnish stock market and whether the relationship between market volatility and return varies in this market. We conduct this study by applying the subsample analysis and the rolling window analysis to the daily returns of the OMXH25 index and by measuring the efficiency through three linear predictability and two nonlinear predictability tests. The results of our study strongly support the AMH. They also suggest that small market size alone does not make a market less efficient; opening a market to foreign investors improves its efficiency after a delay; and the correlation between market volatility and return varies over time in the Finnish stock market, being usually negative. These findings mostly contradict the traditional investment paradigm.
... These studies identified the implementation dates of market liberalization and then examined them by event windows methodology. Also, de jure is used in some studies investigating the changes in time-varying market performance indicators (Aymen & Adel, 2013;Chari & Henry, 2004;Christoffersen et al., 2006;Henry, 2000;Hiremath & Narayan, 2016;Kim et al., 2013;Lee & Chou, 2018;Mateus & Hoang, 2021;Patro & Wald, 2005). This research examined the structure break-point in series indicators and identified whether the structural changes in market performance are associated with liberalization event dates. ...
... ▪ Improves informational efficiency in emerging markets (Lim et al., 2016;Vo, 2017;Li et al., 2020;Aymen & Adel, 2013;Hiremath & Narayan, 2016;Mateus & Hoang, 2021). ▪ Research at the firm level also indicates that information-sharing is the primary mechanism for this impact (Lim et al., 2016;Vo, 2017;Li et al., 2020). ...
... Aymen and Adel (2013) estimate the timevarying beta coefficient in the state-space model regressing past prices on future prices. Hiremath and Narayan (2016) and Mateus and Hoang (2021) examine Hurst exponents to measure longrange dependence in the time series stock returns. Those studies concluded that the degree of informativeness in emerging countries' data sets increased significantly after liberalization events. ...
This paper reviews the literature that discusses how liberalization affects emerging stock markets on the cost of equity, stock volatility, stock liquidity, and informational efficiency. The survey consists of two parts, theoretical arguments and empirical evidence. Four primary mechanisms explaining the impacts are risk diversification, information‐sharing, friction channel, and market competition. Our survey indicates that liberalization was evidenced to reduce the cost of equity (via risk diversification mechanism), stabilize stock volatility (mainly through risk diversification mechanism), increase stock market liquidity (in both friction channels and informational‐sharing mechanisms), and improve the local market's informational efficiency (by informational‐sharing mechanism). Also, we suggest some aspects of theoretical arguments that still need further examination by empirical research.
... Kết quả nghiên cứu này hàm ý rằng các nhà đầu tư có thể dự đoán được giá của chứng khoán dựa trên các thông tin thu thập trong quá khứ, qua đó có thể có được lợi nhuận vượt trội (abnormal returns) từ hoạt động đầu tư của mình. Sự không hiệu quả của thị trường chứng khoán Việt Nam có thể là do sự thiếu minh bạch trong công bố thông tin của các công ty niêm yết dẫn đến sự không chắc chắn và các nhà đầu tư nhỏ chiếm đa số trên thị trường (Ủy ban Chứng khoán Nhà nước, 2022), các nhà đầu tư này dễ tổn thương khi các điều kiện thị trường thay đổi (Mateus & Hoang, 2021). Hơn nữa, các thị trường mới nổi được đánh giá là có tốc độ dẫn truyền thông tin yếu kém và khả năng nắm giữ thông tin không giống nhau giữa các nhà đầu tư (Ben Rejeb & Boughrara, 2014). ...
Mục tiêu của nghiên cứu này là đo lường ảnh hưởng của đại dịch COVID-19 đến hiệu quả thị trường của Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh (HOSE). Dữ liệu được sử dụng trong nghiên cứu này là dữ liệu thời gian theo tần suất ngày của chỉ số VN30-Index trong khoảng thời gian từ ngày 11 tháng 8 năm 2017 đến ngày 26 tháng 5 năm 2022. Dựa trên số liệu thu thập được, cửa sổ trượt được áp dụng để tính toán số mũ Hurst. Kết quả nghiên cứu cho thấy giá trị số mũ Hurst của cả hai giai đoạn đều lớn hơn giá trị số mũ Hurst của thị trường hiệu quả (H = 0,5). Ngoài ra, giá trị số mũ Hurst ở giai đoạn sau lớn hơn giá trị cố mũ Hurst ở giai đoạn trước khi dịch bùng phát. Vì thế, có thể kết luận rằng sự bùng phát của đại dịch COVID-19 đã làm trầm trọng thêm tình trạng kém hiệu quả của thị trường. Hơn nữa, tính không hiệu quả của HOSE thay đổi theo thời gian, do giá trị của Hurst tăng lên khi độ dài cửa sổ trượt tăng. Tóm lại, thị trường chứng khoán Việt Nam trong cả hai giai đoạn trước và sau khi đại dịch bùng phát đều không đạt hiệu quả thị trường dạng yếu...
This paper examines the impact of economic freedom on the financial fragility of 1,496 non-financial SMEs in Vietnam over the period 2012–2020. We also evaluate the effect of ownership structure on the relationship between economic freedom and financial fragility. Our findings provide evidence that an increase in the degree of aggregated economic freedom and its categories – rule of law, regulatory efficiency, and market openness – help firms reduce the level of financial fragility. However, an increased government size tends to worsen their financial risk. Regarding the impact of ownership, our results reveal that greater rule of law, regulatory efficiency, and market openness have a positive influence on foreign-owned firms, enabling them to maintain lower levels of financial fragility compared to non-foreign-owned firms. However, foreign-owned firms experience a higher level of financial fragility relative to domestically private-owned firms due to increased government size. Furthermore, our analysis indicates that there is no difference in the effect of economic freedom on financial fragility between state-owned and non-state-owned firms in Vietnam. This finding has implications for recognizing the importance of foreign ownership and economic freedom in emerging markets. It also encourages foreign shareholders to design appropriate policies to mitigate financial risk.
This article is an attempt to determine the factors that are involved making the stock market behave in a manner consistent with the Adaptive Market Hypothesis (AMH). We have followed the PRISMA (Preferred Reporting Items for Systematic Reviews and Meta-Analyses) methodology to select appropriate articles that meet our research objectives and carried out a bibliometric analysis to obtain a network visualization map based on keyword co-occurrences. We find that most of the studies have focused primarily on the return predictability aspect of stock returns. We suggest that the methodology should be extended towards incorporating other aspects of adaptive behaviours, such as investor behaviour, cyclical profitability of trading strategies and price–volume relationships in order to get a more comprehensive picture of the nature of adaptive stock markets. The review also demonstrates how the location of the stock market and methodology used in study influences the conclusions drawn regarding the nature of adaptive efficiency.
