A critical analysis of using stock market Past returns as a forecasting determinant of stock market liquidity in Vietnam
Main Article Content
Abstract
This paper examines the causal relationship between stock market past returns and stock market
liquidity in Vietnam. This research employs time series analysis and ARCH models to analyze daily,
weekly and monthly data obtained from Vietnamese stock market. Expectedly, the findings of this
research confirm a strong and positive relationship between market past returns and market liquidity
for daily, weekly and monthly intervals. As well, the research identifies three forecasting models which
can be used to predict stock market liquidity on daily, weekly and monthly basis from market past
returns. This research finds out the feasibility of those models in predicting the change in market
liquidity from market past return in Vietnamese stock market with a high level of precision.
Article Details
Keywords
Vietnam, stock market, stock return, stock liquidity
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