TY - JOUR AU - Nguyen, Minh Phuong PY - 2013/05/31 Y2 - 2024/03/29 TI - A critical analysis of using stock market Past returns as a forecasting determinant of stock market liquidity in Vietnam JF - Journal of International Economics and Management JA - JIEM VL - IS - 56 SE - DO - UR - https://jiem.ftu.edu.vn/index.php/jiem/article/view/84 SP - 33-44 AB - This paper examines the causal relationship between stock market past returns and stock marketliquidity 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 thisresearch confirm a strong and positive relationship between market past returns and market liquidityfor daily, weekly and monthly intervals. As well, the research identifies three forecasting models whichcan be used to predict stock market liquidity on daily, weekly and monthly basis from market pastreturns. This research finds out the feasibility of those models in predicting the change in marketliquidity from market past return in Vietnamese stock market with a high level of precision. ER -