The liquidity of Viet Nam stock market determinants and implications: Case study of Ho Chi Minh stock exchange
Abstract
This paper investigates the determinants of stock market liquidity in Viet Nam. Specifically, we aim to figure out how the macroeconomic and market variables influence the market liquidity. We use the monthly data set ranging from Jan 2006 to Dec
2011. Employing a rich and detailed data set of macroeconomic indicators and firm listed
in Ho Chi Minh City Stock Exchange, the results from the analysis indicate that there’s a strong connection between market liquidity and macro economy. Our results contradict previous results that liquidity is not affected by market variables such as market return,
volatility and foreign exchange.