Examining The Weak Form Efficient Market Hypothesis In Vietnam In 2018 - 2023

Abstract

The primary objective of this research endeavor is to assess the weak form efficiency of the Vietnam stock market. This assessment specifically targets the VN Index spanning from 01/01/2018 to 08/01/2024. Our investigation employs two analytical approaches: unit testing and autocorrelation testing. Emerging findings indicate a lack of complete randomness in the rate of return, suggesting a correlation between past and present data points. The outcomes of this analysis will elucidate whether the Vietnamese stock market adheres to the weak form of the Efficient Market Hypothesis (EMH). To substantiate our assertions, we utilize the ARIMA model to forecast the VN-Index in subsequent observations. These forecasts are expected to fall within the confidence interval, with negligible margin for error.