Investigating the bubbles in Vietnam stock market during the period from 2006 to 2019

Abstract

The bubbles in the financial market often lead to the possibility of market collapse and harmful effects on the national economy. Therefore, identifying the existence of bubbles in the market is one of the most interesting research topics in finance. This article employs data of the daily closing prices of VN-Index and HNX-Index from 2006 to 2019 to investigate the presence of bubbles in both Ho Chi Minh and Hanoi Stock Exchanges. Analyzing both market data using the bubble-detection approaches of the sup augmented Dickey-Fuller test (SADF) and generalized sup Augmented Dickey-Fuller test (GSADF), the study not only demonstrates the presence of bubbles but also detects the time of bubbles occurring in periods 2006 - 2012 and 2013 - 2019. This reveals the similarity in the bubble phenomenon of the VN-Index and HNX-Index regardless of some minor differences of the time.

Keywords

• bong bóng chứng khoán
• kiểm định gsadf
• kiểm định sadf
• thị trường chứng khoán việt nam