Nguyễn Thị Huyền Mỹ * Trương Đông Lộc

* Tác giả liên hệ (nthmy186@gmail.com)

Abstract

The objective of this study is to measure the effect of the COVID-19 pandemic on the market efficiency of Ho Chi Minh Stock Exchange (HOSE). The data used in this study is the daily VN30-Index for the period from August 11th, 2017 to May 26th, 2022. Based on the collected data, the rolling window was applied to calculate the Hurst exponent. The results showed that the Hurst exponent value of both periods was larger than the efficiency Hurst exponent value (H = 0.5). In addition, the exponential value at the post-stage is larger than the Hurst exponent value pre-stage of the pandemic outbreak. Therefore, it can be concluded that the outbreak of the COVID-19 pandemic exacerbated market inefficiencies. Moreover, HOSE had a time-varying market inefficiency because Hurst's value increased as the rolling window length increased. In conclusion, the Vietnamese stock market in both the periods of before and after the outbreak of the pandemic did not have a weak form of market efficiency. Thus, investors could predict the price of the stock based on the information collected in the past and look for opportunities.

Keywords: COVID-19, Hurst exponent, rolling window, R/S, Vietnam, weak form

Tóm tắt

Mục tiêu của nghiên cứu này là đo lường ảnh hưởng của đại dịch COVID-19 đến hiệu quả thị trường của Sở Giao dịch Chứng khoán Thành phố Hồ Chí Minh (HOSE). Dữ liệu được sử dụng trong nghiên cứu này là dữ liệu thời gian theo tần suất ngày của chỉ số VN30-Index trong khoảng thời gian từ ngày 11 tháng 8 năm 2017 đến ngày 26 tháng 5 năm 2022. Dựa trên số liệu thu thập được, cửa sổ trượt được áp dụng để tính toán số mũ Hurst. Kết quả nghiên cứu cho thấy giá trị số mũ Hurst của cả hai giai đoạn đều lớn hơn giá trị số mũ Hurst của thị trường hiệu quả (H = 0,5). Ngoài ra, giá trị số mũ Hurst ở giai đoạn sau lớn hơn giá trị cố mũ Hurst ở giai đoạn trước khi dịch bùng phát. Vì thế, có thể kết luận rằng sự bùng phát của đại dịch COVID-19 đã làm trầm trọng thêm tình trạng kém hiệu quả của thị trường. Hơn nữa, tính không hiệu quả của HOSE thay đổi theo thời gian, do giá trị của Hurst tăng lên khi độ dài cửa sổ trượt tăng. Tóm lại, thị trường chứng khoán Việt Nam trong cả hai giai đoạn trước và sau khi đại dịch bùng phát đều không đạt hiệu quả thị trường dạng yếu...

Từ khóa: Chỉ số mũ Hurst, cửa sổ trượt, COVID -19, R/S, hiệu quả thị trường dạng yếu, Việt Nam

Article Details

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