High-frequency dynamics of the Vietnam stock market

Tóm tắt

This study examines the high-frequency dynamics of the VNINDEX by utilizing 1-minute data over a sample of 160,677 observations from February 2022 to February 2025 to assess market efficiency, the volume-price relationship and the intraday volatility pattern. Our findings suggest delayed information diffusion and liquidity constraints, reflecting inefficiencies typical of Vietnam stock markets with retail-heavy participation. This paper offers opportunities for momentum trading and highlights the need to enhance market depth to mitigate speculative spikes, contributing to the understanding of high-frequency behavior in the Vietnam stock market.