Articlehybrid2019

Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

28 citations0/0 files storedJournal of risk and financial management

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

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References

1970Efficient Capital Markets: A Review of Theory and Empirical Work 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 2004The Adaptive Markets Hypothesis 2005Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis 2010THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE 2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data 2009The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market 2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

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