Microstructure analysis of the Vietnamese stock market : determinants of bid-ask spreads

• Main Authors: Chen, Jean Xiao Ming, Chong, Vanessa Xiumin, Dam, Dieu Phuc
• Other Authors: Ding, David Kuan Yong
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/8931
• Institution: Nanyang Technological University

This study seeks to examine the microstructure of the Vietnamese Stock Market (VSM). Specifically, we examine the determinants of bid-ask spreads (BAS) in the market, which we define as trading activity, risk, and information. In addition, we look at the mean and volatility of returns, spreads and...