Cross-autocorrelation in Vietnam stock market

Abstract

Evidence of cross-autocorrelation is found for the Vietnam stock market during the period 2006-2012. However, the ability of lagged returns on high volume to predict current returns on low volume portfolio is not better than the ability of lagged returns on low volume to predict current returns on high volume portfolio. In addition, there are no significant differences in speed of adjustment between high and low trading volume, and trading volume is not a significant determinant of the lead-lag effects in short-horizon stock returns. Overall, Chordia and Swaminathan’s (2000) trading volume effect is very weak in the Vietnam stock market.