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Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market

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  • Chen, Rong
  • Geng, Heng (Griffin)
  • Lin, Hai
  • Nguyen, Phuong Thi Ly

Abstract

This paper investigates the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnamese stock market, as measured by liquidity and informed trading level. We find that market liquidity decreases after the introduction of the MSS, and that the effect is more pronounced for small firms. Although the level of informed trading, on average, does not change significantly after the MSS, the subsample analysis indicates a significant decrease in informed trading among large and liquid firms.

Suggested Citation

  • Chen, Rong & Geng, Heng (Griffin) & Lin, Hai & Nguyen, Phuong Thi Ly, 2021. "Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    • Handle: RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000743
    DOI: 10.1016/j.pacfin.2021.101567
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    More about this item

    Keywords

    Liquidity; Informed trading; Market surveillance system; The sub-sample analysis;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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