# Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

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## Abstract

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## 1. Introduction

#### 1.1. Papers Discussing Adaptive Market Hypothesis (AMH)

- The market efficiency should be varying through time;
- The market efficiency should be dependent on market conditions (i.e., financial crises, market crashes, stock bubbles, …).

#### 1.2. Papers Discussing Vietnamese Stock Market Efficiency

## 2. Methods and Data Sources

#### 2.1. Methods

#### 2.1.1. Autocorrelation Testing Approach

- Automatic Variance Ratio (“AVR”) test;
- Automatic Portmanteau (“AP”) test; and
- Generalized Spectral (“GS”) test

- The AVR test, which is modified from the traditional variance ratio test, is the most popular test in the AMH examination. This is the primary testing method of this paper.
- The AP test is an asymptotic test, which relies on the squared correlation coefficients. This method eliminates the possibility that the positive correlations and the negative correlations offset one another (Kim et al. 2011).
- The GS test is an autocorrelation test that can determine the non-linear relationship in the data series. The non-linear relationship in stock data can be recognized (Lim and Brooks 2011), yet cannot be detected by popular linear tests such as the AVR test and the AP test.

- The Automatic Variance Ratio (AVR) test

- The Automatic Portmanteau (AP) test

- The Generalized Spectral (GS) test

#### 2.1.2. The Time-Varying Autoregressive (TV-AR) Approach

#### 2.2. Data

- r
_{t}is the weekly stock returns at week t - P
_{t}is the value of VN-INDEX/HNX-INDEX at the last trading day of week t - P
_{t}_{−1}is the value of VN-INDEX/HNX-INDEX at the last trading day of week (t − 1)

## 3. Empirical Results and Discussion

#### 3.1. AVR Test Results

#### 3.2. AP Test Results

#### 3.3. The GS Test Statistics

#### 3.4. The TV-AR Approach

_{t}obtained from this approach is presented in Figure 9 and Figure 10, with the red line being the value of ME

_{t}and the black dotted line being the 5% significance level.

## 4. Limitations and Suggestions

## 5. Conclusions

## Supplementary Materials

## Author Contributions

## Funding

## Conflicts of Interest

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**MDPI and ACS Style**

Phan Tran Trung, D.; Pham Quang, H. Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. *J. Risk Financial Manag.* **2019**, *12*, 81.
https://doi.org/10.3390/jrfm12020081

**AMA Style**

Phan Tran Trung D, Pham Quang H. Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. *Journal of Risk and Financial Management*. 2019; 12(2):81.
https://doi.org/10.3390/jrfm12020081

**Chicago/Turabian Style**

Phan Tran Trung, Dzung, and Hung Pham Quang. 2019. "Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market" *Journal of Risk and Financial Management* 12, no. 2: 81.
https://doi.org/10.3390/jrfm12020081