Measuring market efficiency using factor models - An empirical study on the Ho Chi Minh Stock Exchange
This paper aims to evaluate market efficiency with a focus on the Ho Chi Minh Stock Exchange. The single index and multiple factor models are used to examine related risks for this market. This paper shows that the market risk measured by the VN-index cannot measure all the risk on the Ho Chi Minh S...
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| Main Author: | |
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| Format: | Article |
| Language: | Vietnamese |
| Published: |
TẠP CHÍ KHOA HỌC ĐẠI HỌC MỞ THÀNH PHỐ HỒ CHÍ MINH
2024-10-01
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| Series: | Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh |
| Subjects: | |
| Online Access: | https://journalofscience.ou.edu.vn/index.php/econ-vi/article/view/3482 |
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| Summary: | This paper aims to evaluate market efficiency with a focus on the Ho Chi Minh Stock Exchange. The single index and multiple factor models are used to examine related risks for this market. This paper shows that the market risk measured by the VN-index cannot measure all the risk on the Ho Chi Minh Stock Exchange. Therefore, adding risk factors will enhance the effectiveness of explaining stock returns and using those models to measure market efficiency. The results indicate that the five-factor model consisting of the market risk (proxied by the VN-index), the size-mimicking risk (size factor proxied by the SMB portfolio), the value-mimicking risk (value factor proxied by the HML portfolio), the profitability-mimicking risk (profitability factor proxied by the RMW portfolio), and the investment-mimicking risk (investment factor proxied by the CMA portfolio) is the best model to explain risk in the Ho Chi Minh Stock Exchange, compared to the single factor model using only the market risk (VN-index) and the three-factor model using the market risk (VN-index), the Size-Mimicking Risk (SMB), and the value-mimicking risk (HML). These factor models are also used to evaluate the performance of individual and institutional investments. |
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| ISSN: | 2734-9306 2734-9578 |