Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006

Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants.

Linear inverse problems with discrete data: II. Stability and regularization

For pt.I. see ibid. vol.1, p.301 (1985). In the first part of this work a general definition of an inverse problem with discrete data has been given and an analysis in terms of singular systems has been performed. The problem of the numerical stability of the solution, which in that paper was only briefly discussed, is the main topic of this second part. When the condition number of the problem is too large, a small error on the data can produce an extremely large error on the generalised solution, which therefore has no physical meaning. The authors review most of the methods which have been developed for overcoming this difficulty, including numerical filtering, Tikhonov regularisation, iterative methods, the Backus-Gilbert method and so on. Regularisation methods for the stable approximation of generalised solutions obtained through minimisation of suitable seminorms (C-generalised solutions), such as the method of Phillips (1962), are also considered.