Microstructure analysis of the Vietnamese stock market : determinants of bid-ask spreads
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...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8931 |
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| Institution: | Nanyang Technological University |
| Summary: | 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 trading volume, the market risk premium, the risk of each stock, and the correlation between the determinants of spreads to have a clearer definition to the setup of the VSM. |
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