檢定越南股票市場之效率市場假說

Testing the efficient market hypothesis in Vietnam stock market

武氏明莊(Wu.Shi-Ming-Zhuang)

指導教授 ： 張阜民 ； 王言

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

Vietnam stock market is a remarkable emerging market , the two stock market is Ho Chi Minh stock market and Ha Noi stock market , which are not established at the same time but now both these stock market play an important element in Vietnam economy. After 2006 , with the joining to World Trading Organization in 2007 and the impact of financial crisis in 2008 , Vietnam economy has many significant changes and attracts more foreign investor attention . This thesis reports the results of test on the efficient market hypothesis applied to Vietnam stock market including Ho Chi Minh stock exchange and Ha Noi stock exchange from January 2006 to October 2013. The methodologies used in this thesis are Auto-corelation test , unit-root test , Variance ratio test . Beside , this thesis also test whether seasonal effect exists in Vietnam stock market by using T-test. We find that both Ho Chi Minh stock market and Ha Noi stock market is in the weak form inefficiency with daily and weekly data. By using T-test and F-test , we also find that there are Tuesday effect and May effect exist in Vietnam stock market. January effect exists in Ho Chi Minh stock market which is not found in Ha Noi stock market.

關鍵字

季節性效果 ； 弱勢效率市場假說 ； 效率市場假說 ； 胡志明股票市場 ； 河內股票市場

並列摘要

越南股票市場是一個新發展的市場, 其中包含有兩個證卷交易所: 河內證卷交易所和胡志明證卷交易所. 從2006 年開始加入國際貿易組織和金融海嘯發生的影響後越南股票市場則發生許多變化, 因此也吸引更多投資者的關注.本文主要的目的是檢定越南股票市場之弱勢效率市場假說 ,從2006 年1月到2013年10月. 本文的研究方法包含自相關檢定, 單跟檢定, 方差比率檢定. 另外, 本文也使用T-檢定和F-檢定來檢定季節性是否存在於越南股票市場. 使用日報酬和週報酬來進行檢定,本文的結果發現越南股票市不屬於弱勢效率市場. 在檢定季節性的部分, 本文發現在越南股票市場存在週二效果和五月份效果. 在個別市場, 本文發現胡志明股票市場存在一月份
的效果, 河內股票市場不存在一月份效果.

並列關鍵字

Ho Chi Minh stock market ； Seasonal effect ； Efficient market hypothesis ； Weak form efficiency ； Ha Noi stock market

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