High-frequency dynamics of the Vietnam stock market


Authors

  • Tran Manh Ha Banking Academy of Vietnam
  • Tran Ngoc Mai Banking Academy of Vietnam
DOI: https://doi.org/10.57110/vnu-jeb.v5i2.395

Keywords:

High-frequency data, market efficiency, high frequency trading

Abstract

This study examines the high-frequency dynamics of the VNINDEX by utilizing 1-minute data over a sample of 160,677 observations from February 2022 to February 2025 to assess market efficiency, the volume-price relationship and the intraday volatility pattern. Our findings suggest delayed information diffusion and liquidity constraints, reflecting inefficiencies typical of Vietnam stock markets with retail-heavy participation. This paper offers opportunities for momentum trading and highlights the need to enhance market depth to mitigate speculative spikes, contributing to the understanding of high-frequency behavior in the Vietnam stock market.

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25-04-2025

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How to Cite

Tran Manh Ha, & Tran Ngoc Mai. (2025). High-frequency dynamics of the Vietnam stock market. VNU University of Economics and Business, 5(2), 51. https://doi.org/10.57110/vnu-jeb.v5i2.395

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