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Delayed Price Discovery and Momentum Strategies: Evidence from Vietnam

Cameron Truong, Madhu Veeraraghavan, Mai Truc Thi Nguyen
2007 Social Science Research Network  

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This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits during the period 2000-2006 and our findings are robust to various tests, risk adjustments and market microstructure biases. We also show that trading volume is particularly important in generating momentum
more » ... eturns. We further document that price limits significantly hinder market liquidity. This fact, to a large extent, accounts for the strong price continuity of the Vietnam Stock Exchange. JEL Classification: G11, G12, G15
doi:10.2139/ssrn.983832 fatcat:wz6oiuxl7neeng3qsnru4ycjlm
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Cameron Truong, Madhu Veeraraghavan, Mai Truc Thi Nguyen. "Delayed Price Discovery and Momentum Strategies: Evidence from Vietnam." Social Science Research Network (2007)