| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Nguyen, Thi Minh Hue | |
| dc.contributor.other | Do, Phuong Huyen | |
| dc.date.accessioned | 2023-11-01T10:23:27Z | - |
| dc.date.available | 2023-11-01T10:23:27Z | - |
| dc.date.issued | 2019 | |
| dc.identifier.isbn | 1936-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58582 | - |
| dc.description | economic banking economy | |
| dc.description.abstract | The paper examines how the introduction of Vietnamese exchange-traded funds (ETFs) impacts on the liquidity of the underlying stocks. We found that the component stock’s liquidity decreased after Deutsche Bank Xtrackers (DBX) - the fist Vietnamese-based ETF - was introduced in 2008, but signifiantly improved after the introduction of the other two ETFs, the VanEck Vectors Vietnam ETF (VNM) in 2009 and the E1VFVN30 in 2014. In addition, the stock liquidity change is more pronounced for the stocks that had lower weight in the ETFs. The empirical fidings may result in policy implications about the effcts of ETF creation on the Vietnam stock market under diffrent trends of the stock market. ETF creation not only provides a new and alternative investment, but is also a diversifid and transparent investment tool for Vietnamese investors. | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Hypotheses development; 4. Research methodology and variables description; 5. Research fidings; 6. Implications and conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Adverse selection | |
| dc.subject | ETF | |
| dc.subject | inter-arbitrage | |
| dc.subject | investor recognition | |
| dc.subject | liquidity. | |
| dc.title | Exchange-Traded Funds (ETFs) and Stock Liquidity: Vietnamese Evidence | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | Article 3_JED_Vol 21_Special Issue | |
| dc.relation.reference | Amihud, Y. (2002), ‘Illiquidity and stock returns: cross-section and time-series effcts’, Journal of Financial Markets, 5, 31-56. Barber, B.M. and Odean, T. (2008), ‘All that glitters: The effct of attention and news on the buying behavior of individual and institutional investors’, Review of Financial Studies, 21, 785-818. Batten, J.A. and Vo, X.V. (2014), ‘Liquidity and return relationships in an emerging market’, Emerging Markets Finance and Trade, 50, 5-21. Fremault, A. (1991), ‘Stock index futures and index arbitrage in a rational expectations mode’, The Journal of Business, 64, 523-547. Gujarati, D.N. (2004), Basic Econometrics, 4th Edition, McGraw-hill Companies. Hamm, S.J.W. (2010), ‘The effct of etfs on stock liquidity’, Doctor of Philosophy, University of Pennsylvania. Hedge, S.P. and McDermott, J.B. (2003), ‘The liquidity effcts of revisions to the S&P 500 index: an empirical analysis’, Journal of Financial Markets, 6, 413-459. Hegde, S.P. and McDermott, J.B. (2004), ‘The market liquidity of diamonds, Q’s and their underlyingstocks’, Journal of Banking and Finance, 28(5), 1043-1067. Jegadeesh, N. and Subrahmany, A. (1993), ‘Liquidity effcts of the introduction of the S&P 500 index futures contract on the underlying stock’, Journal of Business, 66, 171-187. Ly, T.T.H. (2015), ‘Monetary policy and liquidity on securities market in Vietnam’, Journal of Economics and Development, 26, 2-22. Merton, R.C. (1987), ‘A simple model of capital market equilibrium with incomplete information’, The Journal of Finance, 42(3), 483-510. Parkinson, M. (1980), ‘The extreme value method for estimating the variance of the rate of return’, Journal of Business, 53, 61-65. Richie, N. and Madura, J. (2007), ‘Impact of the QQQ on liquidity and risk of the underlying stocks’, The Quarterly Review of Economics and Finance, 47(3), 411-421. Winne, R.D., Gresse, C. & Platten, I. (2014), ‘Liquidity and risk sharing benefis from opening an ETF market with liquidity providers: Evidence from the CAC 40 index’, International Review of Financial Analysis, 34, 31-43. Young, E.A. (2015), ETFs: a positive force for disruption - EY Global ETF Survey 2015, accessed on May 01 st 2016, from <https://www.eycom.ch/en/Publications/20151031-EY-Global-ETF-Survey-2015/ download>. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
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| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Nguyen, Thi Minh Hue | |
| dc.contributor.other | Do, Phuong Huyen | |
| dc.date.accessioned | 2023-11-01T10:23:27Z | - |
| dc.date.available | 2023-11-01T10:23:27Z | - |
| dc.date.issued | 2019 | |
| dc.identifier.isbn | 1936-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58582 | - |
| dc.description | economic banking economy | |
| dc.description.abstract | The paper examines how the introduction of Vietnamese exchange-traded funds (ETFs) impacts on the liquidity of the underlying stocks. We found that the component stock’s liquidity decreased after Deutsche Bank Xtrackers (DBX) - the fist Vietnamese-based ETF - was introduced in 2008, but signifiantly improved after the introduction of the other two ETFs, the VanEck Vectors Vietnam ETF (VNM) in 2009 and the E1VFVN30 in 2014. In addition, the stock liquidity change is more pronounced for the stocks that had lower weight in the ETFs. The empirical fidings may result in policy implications about the effcts of ETF creation on the Vietnam stock market under diffrent trends of the stock market. ETF creation not only provides a new and alternative investment, but is also a diversifid and transparent investment tool for Vietnamese investors. | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Hypotheses development; 4. Research methodology and variables description; 5. Research fidings; 6. Implications and conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Adverse selection | |
| dc.subject | ETF | |
| dc.subject | inter-arbitrage | |
| dc.subject | investor recognition | |
| dc.subject | liquidity. | |
| dc.title | Exchange-Traded Funds (ETFs) and Stock Liquidity: Vietnamese Evidence | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | Article 3_JED_Vol 21_Special Issue | |
| dc.relation.reference | Amihud, Y. (2002), ‘Illiquidity and stock returns: cross-section and time-series effcts’, Journal of Financial Markets, 5, 31-56. Barber, B.M. and Odean, T. (2008), ‘All that glitters: The effct of attention and news on the buying behavior of individual and institutional investors’, Review of Financial Studies, 21, 785-818. Batten, J.A. and Vo, X.V. (2014), ‘Liquidity and return relationships in an emerging market’, Emerging Markets Finance and Trade, 50, 5-21. Fremault, A. (1991), ‘Stock index futures and index arbitrage in a rational expectations mode’, The Journal of Business, 64, 523-547. Gujarati, D.N. (2004), Basic Econometrics, 4th Edition, McGraw-hill Companies. Hamm, S.J.W. (2010), ‘The effct of etfs on stock liquidity’, Doctor of Philosophy, University of Pennsylvania. Hedge, S.P. and McDermott, J.B. (2003), ‘The liquidity effcts of revisions to the S&P 500 index: an empirical analysis’, Journal of Financial Markets, 6, 413-459. Hegde, S.P. and McDermott, J.B. (2004), ‘The market liquidity of diamonds, Q’s and their underlyingstocks’, Journal of Banking and Finance, 28(5), 1043-1067. Jegadeesh, N. and Subrahmany, A. (1993), ‘Liquidity effcts of the introduction of the S&P 500 index futures contract on the underlying stock’, Journal of Business, 66, 171-187. Ly, T.T.H. (2015), ‘Monetary policy and liquidity on securities market in Vietnam’, Journal of Economics and Development, 26, 2-22. Merton, R.C. (1987), ‘A simple model of capital market equilibrium with incomplete information’, The Journal of Finance, 42(3), 483-510. Parkinson, M. (1980), ‘The extreme value method for estimating the variance of the rate of return’, Journal of Business, 53, 61-65. Richie, N. and Madura, J. (2007), ‘Impact of the QQQ on liquidity and risk of the underlying stocks’, The Quarterly Review of Economics and Finance, 47(3), 411-421. Winne, R.D., Gresse, C. & Platten, I. (2014), ‘Liquidity and risk sharing benefis from opening an ETF market with liquidity providers: Evidence from the CAC 40 index’, International Review of Financial Analysis, 34, 31-43. Young, E.A. (2015), ETFs: a positive force for disruption - EY Global ETF Survey 2015, accessed on May 01 st 2016, from <https://www.eycom.ch/en/Publications/20151031-EY-Global-ETF-Survey-2015/ download>. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
