文章基本信息

标题：Does short-term technical trading exist in the Vietnamese stock market?
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作者：Duc Khuong Nguyen ; Ahmet Sensoy ; Dinh-Tri Vo 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2021
卷号：21
期号：1
页码：23-35
DOI：10.1016/j.bir.2020.05.005
出版社：Elsevier B.V.
摘要：The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. This paper examines the question of whether this frontier emerging market offers possibilities for statistical arbitrage through a financial expert system. Based on a sample of the most liquid stocks in the VN30 benchmark index, our results indicate that the index itself and some of its components offer moderate opportunities for statistical arbitrage even after considering transaction costs. It is also found that the purely momentum-based models already work satisfactorily for specific stocks, while the long-short strategies do not work more robustly than the long-only strategies. Overall, our findings hint into the direction of some exploitable inefficiencies, but the magnitude of the tradable volume is such that only comparatively small amounts can be traded.
关键词：Vietnam ; Stock market ; Quantitative trading ; Expert system ; Trading strategy ; Market efficiency