Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market

Abstract This paper investigates the effectiveness of a market surveillance system (MSS) on improving the market quality of the Vietnamese stock market, as measured by liquidity and informed trading level. We find that market liquidity decreases after the introduction of the MSS, and that the effect is more pronounced for small firms. Although the level of informed trading, on average, does not change significantly after the MSS, the subsample analysis indicates a significant decrease in informed trading among large and liquid firms.