Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam
31 Pages Posted: 28 Apr 2017
There are 2 versions of this paper
Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam
Transaction Costs and Liquidity Co-Movements within and Across Exchanges: Evidence from Vietnam
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: Suggested Citation