Does short-term technical trading exist in the Vietnamese stock market?
The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. This paper examines the question of whether this frontier emerging market of...
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doaj-11c455d2d32d4d858678b9044466012e2021-03-11T04:25:14ZengElsevierBorsa Istanbul Review2214-84502021-03-012112335Does short-term technical trading exist in the Vietnamese stock market?Duc Khuong Nguyen0Ahmet Sensoy1Dinh-Tri Vo2Hans-Jörg von Mettenheim3IPAG Business School, Paris, France; International School, Vietnam National University, Hanoi, Viet NamFaculty of Business Administration, Bilkent University, Ankara, Turkey; Corresponding author. Faculty of Business Administration, Bilkent University, Cankaya, 06800, Ankara, Turkey.IPAG Business School, Paris, France; University of Economics Ho Chi Minh City, Viet NamIPAG Business School, Paris, France; Oxford-Man Institute, University of Oxford, Oxford, United KingdomThe Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. This paper examines the question of whether this frontier emerging market offers possibilities for statistical arbitrage through a financial expert system. Based on a sample of the most liquid stocks in the VN30 benchmark index, our results indicate that the index itself and some of its components offer moderate opportunities for statistical arbitrage even after considering transaction costs. It is also found that the purely momentum-based models already work satisfactorily for specific stocks, while the long-short strategies do not work more robustly than the long-only strategies. Overall, our findings hint into the direction of some exploitable inefficiencies, but the magnitude of the tradable volume is such that only comparatively small amounts can be traded.http://www.sciencedirect.com/science/article/pii/S2214845020300314G11G14G15G17 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Duc Khuong Nguyen Ahmet Sensoy Dinh-Tri Vo Hans-Jörg von Mettenheim |
spellingShingle |
Duc Khuong Nguyen Ahmet Sensoy Dinh-Tri Vo Hans-Jörg von Mettenheim Does short-term technical trading exist in the Vietnamese stock market? Borsa Istanbul Review G11 G14 G15 G17 |
author_facet |
Duc Khuong Nguyen Ahmet Sensoy Dinh-Tri Vo Hans-Jörg von Mettenheim |
author_sort |
Duc Khuong Nguyen |
title |
Does short-term technical trading exist in the Vietnamese stock market? |
title_short |
Does short-term technical trading exist in the Vietnamese stock market? |
title_full |
Does short-term technical trading exist in the Vietnamese stock market? |
title_fullStr |
Does short-term technical trading exist in the Vietnamese stock market? |
title_full_unstemmed |
Does short-term technical trading exist in the Vietnamese stock market? |
title_sort |
does short-term technical trading exist in the vietnamese stock market? |
publisher |
Elsevier |
series |
Borsa Istanbul Review |
issn |
2214-8450 |
publishDate |
2021-03-01 |
description |
The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. This paper examines the question of whether this frontier emerging market offers possibilities for statistical arbitrage through a financial expert system. Based on a sample of the most liquid stocks in the VN30 benchmark index, our results indicate that the index itself and some of its components offer moderate opportunities for statistical arbitrage even after considering transaction costs. It is also found that the purely momentum-based models already work satisfactorily for specific stocks, while the long-short strategies do not work more robustly than the long-only strategies. Overall, our findings hint into the direction of some exploitable inefficiencies, but the magnitude of the tradable volume is such that only comparatively small amounts can be traded. |
topic |
G11 G14 G15 G17 |
url |
http://www.sciencedirect.com/science/article/pii/S2214845020300314 |
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