Xuan Vinh Vo

Liquidity and return relationships in an emerging market

In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.

The determinates of equity portfolio holdings

The investor preference for home assets rather than a diversified portfolio of international assets termed ‘home bias’ remains a puzzle, given recent information and technology improvements, although presumed risk reduction benefits may have been reduced through improved financial market integration. This article investigates the effect of various barriers to international investment on Australian equity portfolio investment and confirms the common view that higher transaction costs impede international investment, although market liquidity, market size and common language are also important factors.

Liquidity, Liquidity Risk and Stock Returns – Evidence from Vietnam

This paper investigates‐whether liquidity and liquidity risk are priced in Japan. Using modified Amihud illiquidity measures, we find both cross‐sectional and time series evidence that liquidity is priced in the Japanese stock market during the period 1975–2006. The evidence is largely consistent with Amihuds (2002) findings in the US market. We further employ the liquidity‐adjusted CAPM proposed by Acharya and Pedersen (2005) to examine whether liquidity risk is priced in Japan. Consistent with Acharya and Pedersens findings in the US, we show that liquidity risk is priced in the stock market, in addition to the liquidity level. These findings strengthen the confidence that liquidity is a determinant of stock returns.

Monetary Policy Transmission in Vietnam: Evidence From A VAR Approach

A thorough understanding of the transmission mechanism is a key requirement for central banks for successful implementation of monetary policy. This paper investigates the existence of the interest rate channel, exchange rate channel and asset price channel in Vietnam by employing a vector autoregressive model analysis using monthly data ranging from 2003M1 to 2012M12. The results from the analysis present evidence for a cost channel. However, we find no evidence for the existence of an exchange rate channel or asset price channel of monetary transmission in Vietnam.

Impacts of the US monetary policy on the Vietnamese stock market

Understanding the impacts of US monetary policy on the Vietnamese stock market is important for many stakeholders since Vietnam has been gradually integrated into the global economy. There has been an increased relationship in trade, investment and other activities between Vietnam and the USA in the last few decades. Employing dynamic panel data techniques, we find that US monetary policy has strong impacts on the Vietnamese stock market. Moreover, we document that these impacts are affected by the Vietnamese firms characteristics including firm size, market-to-book ratio and financial leverage. The estimation results also confirm the impacts of firm size and market-to-book equity on stock returns as suggested by the Fama-French model. Vietnamese stock returns are also driven by the countrys macroeconomic condition, monetary policy, inflation, and stock market performance.

Foreign Ownership and Dividend Policy - The Case of Vietnam

Using a rich and detailed data set, including both market data and firm attributes, this paper investigates the relationship between foreign ownership and dividend policy in Vietnam stock markets. In other words, we attempt to shed light on the following questions: (i) Are foreign investors more likely to choose firms that pay high dividends? and (ii) Do foreign investors cause firms to increase dividends when they have substantial shareholdings?

Monetary Policy and Bank Credit Risk in Vietnam Pre and Post Global Financial Crisis

Abstract A thorough understanding of transmission mechanism is a key to a successful conduct of monetary policy. This chapter attempts to improve knowledge in this respect by examining the impacts of commercial bank risks on the transmission of monetary policy. We investigate the impact of monetary policy on bank risk in Vietnam pre and post 2008 global financial crisis employing a unique and disaggregated bank level data set from 2003 to 2012. The results of panel data estimation indicate that the bank lending channel of monetary is evidenced in Vietnam. In addition, we find that the transmission mechanism is affected by characteristics of commercial banks.