Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam

31 Pages Posted: 28 Apr 2017

See all articles by Cuong Nguyen

Cuong Nguyen

Lincoln University (NZ)

Hao Quach

University of Lincoln (UK)

Thu Phuong Truong

Victoria University of Wellington - Te Herenga Waka

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Date Written: April 5, 2017

Abstract

Employing a sample of all domestic stocks listed on the two Vietnamese stock exchanges – Hochiminh Stock Exchange (HOSE) and Hanoi Stock Exchange (HNX) over the 2007-2014 period, we find that the transaction costs for HOSE-listed stocks are about half of those for HNX-listed stocks. This difference persists over the sample period, across most industries, and is smaller with size. We also provide evidence of both within and cross-exchange liquidity co-movements in both Vietnamese stock exchanges. However, we do not find that co-movements in liquidity are stronger in HOSE than HNX, and vice versa. Our findings are important to many parties including exchange regulators, and domestic and international investors in Vietnam.

Keywords: transaction costs, liquidity, commonality, emerging markets, Vietnam

JEL Classification: G12, G14, G15

Suggested Citation

Nguyen, Cuong and Quach, Hao and Truong, Thu Phuong, Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam (April 5, 2017). Available at SSRN: https://ssrn.com/abstract=2959835 or http://dx.doi.org/10.2139/ssrn.2959835

Cuong Nguyen

Lincoln University (NZ) ( email )

PO Box 85084
Ellesmere Junction Road/Springs Road
Lincoln, 7647
New Zealand

Hao Quach

University of Lincoln (UK) ( email )

Lincoln LN2
United Kingdom

Thu Phuong Truong (Contact Author)

Victoria University of Wellington - Te Herenga Waka ( email )

P.O. Box 600
Wellington, 6140
New Zealand
64 4 463 5233 (ext 8961) (Phone)
64 4 463 5076 (Fax)

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