Tiểu luận the impacts of financial liberalization on liquidity of vietnam s stock market

Foreign Trade University Hanoi Faculty of Economics and International Business _ International Finance (TCHE4114.4) – Group THE IMPACTS OF FINANCIAL LIBERALIZATION ON LIQUIDITY OF VIETNAM’S STOCK MARKET LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Final version, December 2012 Abstract Vietnam has embarked on a course of economic reform, including stock market liberalization on April 2007 This paper addresses the question of whether Vietnam’s stock market has become more informationally efficient in the years following liberalization We find that Vietnam’s stock market does indeed become more efficient Additionally, using a panel data set and various measures of liquidity, we show that liberalization leads to enhanced liquidity, after controlling for size and other relevant factors This confirms the intuition that stock market liberalizations render Vietnam’s stock markets more liquid and efficient We would like to thank Ph.D Mai Thu Hien for invaluable comments and guidance from the beginning of this research project 2|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Table of Contents Members List Abstract Table of Contents Introduction Part 1: Literature Review .9 1.1 Overview of the Impacts of Financial Liberalization on Stock Market 1.1.1 Definition of financial liberalization 1.1.2 Some commitment of Vietnam when joining the WTO about market opening9 1.1.3 Impacts of financial liberalization on stock market 10 1.2 Previous Studies on the Impacts of Financial Liberalization on Stock Market 11 1.3 Our Approach and Further Developments 12 Part 2: Data and Methodology .15 2.1 Data Description .15 2.2 Empirical Methodology 15 Part 3: Empirical Results 20 Part 4: Policy Implications of the Study Findings 21 4.1 Vietnam's Stock Market Situation After Liberalization .21 4.1.1 The situation after financial liberalization date .21 4.1.2 4.2 Government policies issued during the period 25 Policy Implications 26 4.2.1 Restructure the stock market 26 4.2.2 Produce high quality products for the market 26 4.2.3 Complete the legal documents and policies mechanisms for the development of the Vietnam’s stock market 26 Conclusions 27 3|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com References 30 Introduction In the process of globalization and international economic integration, financial liberalization is an inevitable trend and brings many benefits to each country, especially in developing countries Thanks to financial liberalization, many developing countries have attracted huge amount of capital investment and receive a modern technology platform from industrialized countries to expand production and promote export However, increased capital inflows also make it difficult for the financial authorities in maintaining the stability of local currency’s value and preventing a possible escape of investment flows Vietnamese financial market has undergone a gradual process of liberalization since the late 90s of the 20th century when the banking sector switched to 2-level model and operated under the market mechanism Financial market includes money market and capital market, and the stock market is an important part of the capital market, and also, it is considered to be a barometer of the economy Therefore, since financial liberalization has great impacts on the capital market in particular and the whole economy in general, it must contribute significantly to the long-term development of stock market as well as it fluctuations in the short-term The impact of financial liberalization on stock market can be evaluated based on current theoretical models Cost of stockholders’ equity consists of two components: the equity premium (EP) - that is the difference in rate of return a company must pay to their potential shareholders to buy its stock instead of investing in other risk-free financial assets (such as short-term government bonds), and the risk-free rate (RFR) - that is, interest paid on risk-free financial assets The current theoretical models offer three reasons why the financial liberalization may reduce the cost of equity Firstly, the financial liberalization may increase net capital inflows into the economy and thus reduce the level of RFR (understood simply by increase in the supply of capital) Secondly, allowing foreign investors to buy shares in a country will enable the sharing of risk between resident and non-resident investors in that country, enhanced risk sharing will reduce the EP And finally, the increase of foreign capital into the economy will increase the liquidity of the stock market, and thus, will reduce the EP (understood simply that liquidity risk is reduced) 4|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com In addition, there are some papers using econometric method to research on this issue in emerging or developing economies In an article by E Han Kim and Vijay Singal (2000): Stock Market Openings: Experience of Emerging Economies, the authors found that stock returns increase immediately after market opening without a concurrent increase in volatility and stock markets become more efficient as determined by testing the random walk hypothesis In another article, Konstantinos Kassimatis (2002): Financial liberalization and stock market volatility in selected developing countries, the results suggest that volatility fell after important financial liberalization policies were implemented However, in Vietnam, there is no previous study using quantitative methods to study the impact of financial liberalization on Vietnamese stock market, reviews and assessments are just based on theoretical explanation as mentioned above or derived from qualitative methods (as in the report “Securities market liberalization in Vietnam – Key issues for the securities regulator and the domestic securities companies” by Multilateral Trade Assistance Project EU-Vietnam MUTRAP III) Put another way, this issue is still left open in Vietnam According to the SSC, the maturity of stock market is reflected vividly through many numbers Compared to 12 years ago, the market size is more than 50 times, the firstyear capitalization was of less than 1% of GDP, but by the end of 2011, it is nearly 27% Trading volume has increased 30 - 40 times higher than in the first-year transactions The number of listed companies was just more than 10 in the first year of market operation, now it has risen to nearly 800 businesses Mobilization capacity is indeed a noteworthy point with nearly 700,000 billion VND mobilized into the economy over 12 years, peak year is 2007 with 127,000 billion Foreign portfolio investment inflows peaked up to $ 12 billion, now it is $ 6.7 billion, contributing to the balance of payments, as well as increasing the attractiveness of the investment environment in Vietnam in the eyes of international investors Along with this rapid development, the stock market has become an important channel to raise capital for the economy, instead of dependence on the banking channel like before Using econometric models, we hope to further clarify the impact of financial liberalization on strong development of Vietnamese stock market in the past 12 years, whether it plays a significant role in this outstanding development or not Under the WTO’s commitments, Vietnam is gradually opening the market in most sectors, especially financial market In the near future, this international economic integration will lead to significant changes in Vietnamese economy in general and the stock market in particular Thus, a thorough study about the effects of financial liberalization on stock market is very important in order to help Government and financial authorities in formulating policies to take advantage of as well as to deal with challenges 5|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com from financial market opening, bringing stable and sustainable growth for the stock market in the coming years 6|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Part 1: Literature Review 1.1 Overview of the Impacts of Financial Liberalization on Stock Market 1.1.1 Definition of financial liberalization There are a lot of definitions relating to the concept of financial liberalization In the simplest way, financial liberalization is the process of the elimination of restrictions on financial markets and financial institutions The term financial liberalization is used to cover a whole set of measures, such as the autonomy of the Central Bank from the government; the complete freedom of finance to move into and out of the economy, which implies the full convertibility of the currency; the abandonment of all "priority sector" lending targets; an end to government-imposed differential interest rate schemes; a freeing of interest rates; the complete freedom of banks to pursue profits unhindered by government directives; the removal of restrictions on the ownership of banks, which means de-nationalization, full freedom for foreign ownership, and an end to "voting caps"; and so on 1.1.2 Some commitment of Vietnam when joining the WTO about market opening Principle ''market opening'', said in another way “market access”, in essence, is opening the markets for foreign goods, services and investments In a multilateral trading system, the acceptance of opening the market of all the parties means a creation of a global open trading system In political field, ''market access'' shows the principle of trading liberalization of WTO In legal filed, “market access” performs the obligations with binding of the commitments of market opening which this country has approved when joining the WTO Vietnam, when joining WTO, has made commitments about openings markets, such as, tax, audit, accounting, insurance, transport and stock markets In the scope of this report, we focus on the commitments of Vietnam of stock market when joining WTO Relating to securities services, Vietnam allows foreign investors to provide the following services: Transactions for your account or the account of customers at Stock Exchange, OTC or others with the following services: 7|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com o The derivatives, also including future and option contracts o Transferable securities o Other transferable tools and financial assets, except solid gold (These services comprises of brokerage) Involve in the issuance of any securities, including Underwriting, Agency (offer to public or private) or providing relating services to that issue time Asset management (portfolio management, all forms of collective investment management, pension fund management, depository and trust services) The payment services and securities clearing, the derivatives and other products relating to the securities Provision and transfer of financial information, related software from provider of securities services Vietnam allows foreign companies and investors to securities activities in Vietnam at the following forms and conditions: Representative office (provided that the agency not directly profitable business activities) Joint ventures with Vietnamese partners (provided that the proportion of foreign capital contribution not exceeding 49%) Stock enterprise with 100% foreign capital (from 1/11/2012) Branches of foreign securities companies (since 11/1/2012 and conditional branch operations limited to provide asset management services, payment and securities clearing, provision and transfer of financial information, related software) 1.1.3 Impacts of financial liberalization on stock market Here in this part, we just make some predicts about the impacts of Financial liberations on stock market according logical thinking Firstly, financial market and innovations are beneficial to the stock market in the long-run because they lead to more efficient financial markets promoting lending and growth Liberalization has also enhanced the role of the equity markets in several countries or, created them where they previously did not exist Some evidence in some following research also supports the financial liberalization thesis that stock market volatility should fall following liberalization 8|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com However, as restrictions are removed and financial liberations and innovations are mismanaged, the freedom can encourage financial institutions to take unnecessary risks going on lending sprees (Credit Booms) which can lead to financial meltdowns 1.2 Previous Studies on the Impacts of Financial Liberalization on Stock Market It is well known that the distribution of returns in emerging markets have special characteristics: higher expected returns (Stulz 1999a, Henry 2000b, Bekaert and Harvey 2000), higher volatility (Bekaert and Harvey 1997 and de Santis and Imrohoroglu 1997), low correlation with developed market returns (Harvey 1995) and a higher degree of predictability as compared to developed financial markets Harvey (1995) and Claessens et al (1995) show that emerging market returns are more predictable than returns from mature markets Many recent papers have explored the impact of stock market liberalization on equity prices and the macro economy in general Henry (2000b) shows that a country’s aggregate equity price index experiences abnormal returns during the 8month window leading up to the implementation of the stock market implementation He controls for macro-economic reforms, privatization and trade liberalization and uses the event study approach These results suggest a revaluation of equity prices in anticipation of liberalization Related work by Bekaert and Harvey (2000) shows that liberalization tends to decrease aggregate dividend yields and argue that the price change reflects change in the cost of capital rather than change in earnings of the firm Levine and Zervos (1998) show that increased capital inflows may also increase stock market liquidity A series of paper document the impact of stock market liberalization on physical investment and economic growth Henry (2000a) shows that stock market liberalizations cause investment booms in the years immediately following the liberalization, after controlling for world business cycle effects, economic reforms and domestic fundamentals This paper argues that a fall in a country’s cost of equity capital will transform some projects will negative NPV (before liberalization) to positive NPV (after liberalization) Bekaert, Harvey and Lundblad (2001) show that equity market liberalizations lead to a one percent increase in annual real economic growth over a five- year period, even after controlling for a number of standard determinants of economic growth Fuchs9|Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Schundeln and Funke (2001) shows that growth tends to be higher when the stock market liberalization is accompanied by institutional reforms Das and Mohapatra (2000) show that the gains from increased growth are unequally distributed, accruing mostly to the top quintile of the population Two recent papers have directly addressed the issue the impact of stock market liberalization on stock market efficiency Kim and Singhal (2000) find that stock markets become more efficient in the aftermath of stock market liberalizations Their analysis is based on calculating variance ratios In addition to variance ratios this paper uses nonparametric tests Moreover, the cause of this increase in efficiency is left unexplored in Kim and Singhal (2000), a question that this paper addresses Kawakatsu and Morey (1999) argue that liberalization does not seem to have improved the efficiency of these markets This result is contrary to our findings Furthermore, they not explore the causes of change in efficiency 1.3 Our Approach and Further Developments The concept of market efficiency is a central one in finance Fama (1991) defines an efficient market as one in which asset prices ‘fully reflect all available information’ The translation of the theory into empirical tests is problematic as any test of market efficiency is a joint test of market efficiency and a particular asset price model Consequently, if the joint hypothesis is rejected, it is impossible to determine whether the market is strictly inefficient or the asset pricing model is ill specified This argument will not be a concern, as this paper will focus on the relative efficiency pre and post liberalization, as opposed to absolute efficiency of a market at a given time As Campbell, Lo and MacKinlay (1997) point out the ‘notion of relative efficiency may be more a useful concept than absolute efficiency There are many channels for stock market liberalization to lead to enhanced efficiency It has been shown that stock market liberalization often results in increased liquidity (Kim and Singhal 2000 and Levine and Zervos 1998) Emerging markets have historically been characterized by thin trading and foreign entry and participation will impart liquidity in these markets This will have an independent impact on efficiency Kim and Singhal restrict their analysis to examining the change in the frequency of trading after liberalization This is one of the many measures of liquidity used in this paper Additionally, this paper investigates the link between market efficiency and liquidity, which is left unexplored by Kim and 10 | P a g e LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 17 | P a g e LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Part 3: Empirical Results Tables 1, 2, and provide the results of the regressions examining the impact of stock market liberalization on measures of liquidity The controls include the growth of market capitalization to include the effect of size on liquidity and the growth rate of the local market index The results show that liberalization does lead to increased liquidity, as the value and volume of shares traded rise, as does the turnover ratio The regression presented in table uses the value traded in local currency as the measure of liquidity The results show that liberalization has a positive and significant effect on the value of stocks traded, as expected The results of the regression presented in table uses the turnover ratio as a measure of liquidity The results indicate that liberalization leads to a significant increase in the turnover ratio The regression results presented in table uses the number of shares traded as the measure of liquidity Liberalization leads to a significant increase in the number of shares traded Table uses the days traded variable as a measure of liquidity The results show that liberalization leads to a significant increase in the number of days traded To sum up, an increase in liquidity (increase in turnover ratio, value traded and LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com volume traded) leads to a decrease in inefficiency This confirms our intuition that enhances liquidity might render stock markets more efficient Part 4: Policy Implications of the Study Findings 4.1 Vietnam's Stock Market Situation After Liberalization 4.1.1 The situation after financial liberalization date After financial liberalization date and joining the WTO, Vietnam continued to be an attractive investment destination, and also created strong competition in the market However, high inflation rates affect production and business activities of the enterprises and the dynamics of the stock market investors, which made stock market become less attractive Significant changes about stock market this period may include: Transactions were fully liberalized and capital transactions have been eased considerably with the promulgation of the Ordinance on Foreign Exchange Currently, capital transactions, particularly capital flows still be tightly controlled to ensure the stability of the financial system and reduce the risk of a massive withdrawal of capital abroad; The credit activities changed from distribution to a small number of customers to the credit regardless of economic sectors; separate policy lending to commercial lending; The provision of financial services for economic sectors and domestic and foreign financial institutions was expanded Payment systems and financial markets have been formed and developed; contributing to the process of liberalization and reform of the financialbanking sector; the public's confidence in the USD and the banking system increasingly strengthened There were many foreign securities companies in joint ventures with local partners These joint ventures, limited to a 49% stake, have been allowed since 2007 under Vietnam’s WTO commitments There were a number of licensed businesses for which securities companies can apply, including underwriting of new issues of securities, which requires a larger capital base, total capital requirement for all business area is VND 300 billion The number of trading LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com accounts opened by investors has risen strongly from nearly 3,000 to close to million between 2000 and 2010, but still a low percentage compared to the 87 million population, offering good future growth prospects Figure 1: Number of investor accounts as of 31 December (annually) Year 2005 2006 Total 31.241 86.184 accounts at securities Source: SSC November 2010 2007 305.29 2008 531.42 2009 822.91 30/9/2010 1.003.29 The number of listed companies has witnessed rapid growth HOSE and HNX listed approximately 548 companies at July 2010, 245 on HOSE and 303 on HNX Figure 2: Number of listed companies LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com The market capitalization of the HOSE has taken off strongly from 2007 The HNX, itself starting in 2005 accounted for some 20% of the combined market capitalization in July 2010 of VND 650 trillion (US$ 33 billion), as can be seen in Figure below: Figure 3: Market capitalization Billion VND Market Cap Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 GDP 441,646 481,295 535,762 613,443 715,307 839,211 974,266 1,143,275 1,477,717 1,645,481 HOSE 1,046 1,605 2,540 2,408 3,913 7,472 147,967 364,425 169,346 495,094 HNX 1,884 73,189 130,122 55,174 123,547 Total Market Cap 1,046 1,605 2,540 2,408 3,913 9,356 221,156 494,547 224,520 618,641 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Source: SSC July 2010 In the following analysis, we compare the stock returns between the average premarket liberalization and post market liberalization periods We also calculate the returns which exclude the returns from one year before and after the market was liberalized The results showed significant changes in stock returns around market liberalization date The mean of daily return almost double after the market is deregulated However, the return is immediately followed by the subsequent lowered returns The second row in table which excludes the return year after market liberalization present an increase in mean 0.027 to 0.054 The table only shows the increase in standard deviation which indicates the larger swing of stock price after the market was liberalized With the exclusion of 12 months before and after the stock market deregulation, we can clearly see the impact The mean was reduced to 0.02 and 0.05 respectively The standard deviation also went down in similar proportion This proved that the stock market in two years period with the centre being the liberalization mark has experienced a significant increase in stock price and volatility This has been consistent with the literature that the equity price often increases right after the market was liberalized Similarly, Henry (1998) finds that liberalizing countries experience an increasing revaluation of the domestic stocks, which reflects a reduction in the cost of equity capital These results also emphasized the view that the equity increase as a reduction in the cost of capital As after the liberalization window, the market seemed to settle down 4.1.2 Government policies issued during the period Although the State Bank has carried out interest rate liberalization, they defined fluctuation for interest rates (deposit rates and lending rates) based on the reference rate This led to unbalanced supply and demand of capital in the economy: when LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com interest rates are raised to attract capital, banks will have difficulty if lending with rates that lie within specified fluctuation The tight control over interest rates and the barriers to entry into the financial markets may be the main cause that restrains the development of Vietnam's financial system in recent years Next, although the exchange rates policy has been adjusted, recently Vietnamese currency has been appreciated, especially compared to other countries in the region This has limited the competitiveness of exports and done no good to the trade balance and current account balance The act of keeping exchange rate balanced is also difficult Currently, short-term capital flows into Vietnam are mainly through funds Investors must be convert currency to VND in order to insert new capital into funds This policy aims to control the amount of short-term capital and should be continued as the economy is unable to absorb capital well Registered FDI capital was high but disbursement was very slow, due to problems with the procedures and mechanisms of Vietnam This is a waste of time for investors, and can cause damage to investors and they may lose belief in the efficiency of investment in Vietnam In 2007, although implementation reached nearly $8 billion, registered capital exceeded $ 21 billion In the first three months of the year, FDI reached U.S $ 5.4 billion capital but made only $2 billion 4.2 Policy Implications Restructure the stock market In order to build a sustainable stock market, we need to make a reform in depth and wide with transparency, comprehensiveness and meet the international standards Monetary and Fiscal policy play a very important role on the stock market Tightening or loosening monetary policy may cause a considerable change in the liquidity of stock market With a small measure of state bank, number of shares in the market and the price of them will dramatically decrease Restructure of stock market is necessary to make it become a long-term capital mobilizing channel for business and production of corporations, an easy capital drawing channel for domestic or foreign businessmen and organizations Restructure’s principle is to maintain the stability of financial system, constructing and administering stock market efficiently 4.2.1 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Produce high quality products for the market We should keep up on privatization to make good quality products for stock market, create good opportunities for domestic and foreign investors to purchase new shares of Vietnamese firms by dealt methods or auction, aiming to improve financial ability and firm management In fact, commercial banks with foreign investment will help improving their weakness of financial ability and technology Therefore, the government should carefully raise the capital threshold of foreign investors in commercial bank to maximum of 30% to enhance financial ability of banks and firms after privatization increase the attractiveness of shares of the firm 4.2.2 4.2.3 Complete the legal documents and policies mechanisms for the development of the Vietnam’s stock market Consider, amend and add suitable articles to the Law of Securities by expanding the scope of the law to fit the trend of economic integration Issue guidelines on a number of Securities transactions, such as shortselling transactions, borrowing and lending of securities transactions, derivative transactions and transfer transaction of founding shareholders Consider the tax policy to ensure the sustainable development of the stock market (In the context of economic recession, consumer’s demand decline …) Coordinate monetary policy with fiscal policy in promoting the development of the stock market The ultimate goal of monetary policy is to stabilize monetary situation, while fiscal policy goal is to reach a transparent policy, to stabilize the output, to improve the resource allocation and distribution effects of control These two policies have a very close relationship, bound to each other and have the great impact on the economy and financial market system If fiscal management is not good, the rate of inflation expectations will increase This may increase the money supply and interest rates, which affect the government debt securities market In contrast, if the inflation is high and interest rates rise, it not only reduces Government’s revenue, but also makes the stock price volatility trends down, discouraging investors in the market due to liquidity the affected market Therefore, it needs a correct and complete understanding of the relationship between the two policies, to strengthen the connection and reduce conflicts between them to achieve the goals set out LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Conclusions Following the countries accession to the World Trade Organization, financial liberalization has picked up considerable momentum Compared to other studies on financial liberalization, this study focuses on the impact of financial liberalization on Vietnam’s stock market After collecting data, calculating and running models, in compare with previous studies, it shows us that there are some points to be mentioned as following For the contribution to the literature, there is very few of previous researches show the empirical study about the effects of financial liberalization on the liquidity and efficiency of stock market The number of these studies is especially smaller when we discuss about Vietnam’s stock market In this research, we have answered that big question Our report has pointed out the positive effect of financial liberalization on Vietnam’s stock market by calculating and running the quantitative model From our significant results, we propose some suggested policies in order to help managers to have the most effective way to make use of the opportunities coming from financial liberalization, and toward a stock market that have the most liquidity and efficiency in the liberalization condition For the limitation of study, data used is monthly dataset, so there are values missing because of the lack of available information Besides, the problem of collecting data from different sources with different definitions, different criterias, different methods of calculating, etc… will lead to some errors or differences in the result Moreover, models did not mention some factors of macroeconomics, political measures, investment risk which is showed by theoretical studies that they can impact stock market LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Because of limitation of time and knowledge, we have not reviewed so many previous studies to have strong theoretical framework for our research If our time is more flexible, we will develop this study and overcome the limitation to make it more perfect, such as: Build up a fully-work out and up-to-date database and raw materials step by step, rank the quality of sources and select the most suitable one to make a perfect database for deeper research Search and read more literature about our topic to see how scholars and researchers study this, then we can make a stronger theoretical basis for further study Develop more new variables for models in this topic, consider all the aspects and factors of the macroeconomics and management of our country, consider factors about international economics integration to figure out the impact on liquidity and efficiency of stock market After all researches and studies, we have answered the question of the impact of financial liberalization on Vietnam’s stock market After liberalization, Vietnam’s stock market continued to be an attractive destination to invest and create strong competition It created some significant changes such as: fully liberalized transactions and eased capital transactions; credit activities changed to small number of customers; commercial lending; expanded provision of financial services for economic sectors and domestic and foreign financial institutions; formed and developed payment systems and financial markets; the public's confidence in the USD and the banking system increasingly strengthened … As can be seen, the effects of financial liberalization are obviously strong We also suggest the government some solutions to make use of the opportunity of liberalization The enormous benefits from liberalization are coming to Vietnam, as LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com well as challenges, then this study is really meaningful in the situation and we recommend that it should be carried out more deeply References Ahimud, Y and H Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics,Vol 17, pp 223-249 Ahimud, Y., H Mendelson and B Lauterbach, 1997, Market microstructure and securities values, Journal of Financial Economics, Vol 45, pp 365-390 Bekaert, Geert and Campbell Harvey, 1997, Emerging Equity Market Volatility, Journal of Financial Economics, Vo 43, pp 29-77 Bekaert, Geert and Campbell Harvey, 2000, Foreign Speculators and Emerging Equity Markets, Journal of Finance, Vol 55, No 2, pp.565-613 Bekaert Geert, Campbell Harvey and Christian Lundblad, 2001, Does Financial Liberalization Spur Growth? 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Journal of Financial Economics Henry, Peter B., 2000b, Stock market liberalization, economic reform, and emerging market equity prices Journal of Finance Vol.55, No.2, pp 529-564 Henry, Peter B and Anusha Chari, 2001, Stock Market Liberalizations and the Repricing of Systematic, NBER Working Paper #8265 Hodrick, Robert J and Geert Bekaert, 1992, Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets, Journal of Finance 47, pp 467-509 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Jones, Charles (2001), A Century of Stock Market Liquidity and Trading Costs”, Working paper, Columbia University http://www.columbia.edu/~cj88/papers/century.pdf Levine, R and S Zervos, 1998, Capital control liberalization and stock market development, World Development, Vol 26, pp 1169-1183 Kawakatsu, Hiroyuki and Matthew Morey, 1999, Financial Liberalization and Stock Market Efficiency: An Empirical Examination of Nine Emerging Market Countries, Journal of Multinational Financial Management, Vol 9, pp 353-371 Kim, Han and Vijay Singal, 2000, Stock market openings: experience of emerging economies, Journal of Business, Vol 73, No 1, pp 25-66 King, R and R Levine, 1993, Finance and Growth: Schumpeter might be right, Quarterly Journal of Economics, Vol 108, pp 717-738 Khan and Senhadji: Financial development and Economic Development: IMF Survey , IMF Staff Papers Dec 2000 Muranaga, Jun and Tokiko Shimizu, 1999, Market Microstructure and Market Liquidity, Bank of Japan mimeo Sachs, Jeffery and A.M Warner, 1995, Economic reform and the process of global integration, Brookings Papers on Economic Activity, pp 1-118 Stulz, Rene M., 1999a, International portfolio flows and security markets, Working Paper, Dice Center for Financial Economics, Ohio State University Stulz, Rene M., 1999b, Globalization and the cost of equity capital, Working Paper, The New York Stock Exchange World Bank Policy Research Report, 1997, Private Capital Flows to Developing Countries LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com E Han Kim and Vijay Singal, 2000, Stock Market Openings: Experience of Emerging Economies Konstantinos Kassimatis, 2002, Financial liberalization and stock market volatility in selected developing countries Bwo-Nung Huang and Chin-Wei Yang, 2000, The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets, Journal of Comparative Economics 28, 321 – 339 Nikiforos T Laopodis, 2004, Financial Market Liberalization and Stock Market Efficiency: Evidence from the Athens Stock Exchange, Global Finance Journal 15, 103 – 123 Mutilateral Trade Assistance Project EU-Vietnam MUTRAP III, Securities market liberalization in Vietnam – Key issues for the securities regulator and the domestic securities companies MUTRAP II (EU Multilateral Trade Assistance Project Vietnam II SERV-1), 2007 Securities market liberalization in Vietnam – Key issues for the securites regulator and the domestic securites companies Hanoi, Vietnam July 2007 FPT Securites, 2011 Vietnam Stock Market Annual Report 2011, Hanoi: FPT Securities LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ... financial liberalization is the process of the elimination of restrictions on financial markets and financial institutions The term financial liberalization is used to cover a whole set of measures, such... Tables 1, 2, and provide the results of this regression The first set of results used pooled OLS and the second set of results used with fixed effects or random effects panel estimation The Hausman... about the effects of financial liberalization on the liquidity and efficiency of stock market The number of these studies is especially smaller when we discuss about Vietnam? ? ?s stock market In this