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Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

1
Faculty of Banking & Finance, Foreign Trade University, Hanoi 100000, Vietnam
2
Branch of PwC (Vietnam) Limited in Hanoi, Hanoi 100000, Vietnam
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(2), 81; https://doi.org/10.3390/jrfm12020081
Received: 30 March 2019 / Revised: 1 May 2019 / Accepted: 5 May 2019 / Published: 8 May 2019
(This article belongs to the Special Issue Entrepreneurial Finance at the Dawn of Industry 4.0)
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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. View Full-Text
Keywords: adaptive market hypothesis; market efficiency; autocorrelation adaptive market hypothesis; market efficiency; autocorrelation
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Phan Tran Trung, D.; Pham Quang, H. Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. J. Risk Financial Manag. 2019, 12, 81.

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