Is there any information content of traded stocks in an emerging market? Evidence from Vietnam

Abstract The presence of foreign ownership is very limited in stocks traded in Vietnam due to the existing regulations. Significant premiums have been observed in stock trading, reflecting a result of direct negotiations between foreign institutional investors and current owners of the stocks. However, the information content of traded stocks in Vietnam has largely been ignored in the current literature. We examine the information content of listed stocks in different trade sizes of the large-capitalization stocks included in the VN30 Index. This paper uses the intraday data for constituents of the national market index, the VN30 Index, from 1st January 2017 to 14th November 2019. Our findings confirm that the ultimate impact of trade innovation size on a quote is positive, increasing and concave. The quote revision in Vietnam's stock market causing trades is found in this paper. In addition, stock trades at times of the wide spread have a more significant price impact than the narrow spread. Interestingly, findings from this paper indicate that market participants are highly unlikely to infer an information event following a large trade occurring in the market.