Abstract

We study idiosyncratic volatility in the Vietnamese stock market between July 2007 and February 2015. We show that there is no relationship between the idiosyncratic volatility and average returns in the Vietnamese market. Our results also indicate that neither the aggregate market volatility, the aggregate idiosyncratic volatility nor can predict market returns. Finally, we find no trend in idiosyncratic volatility and a decreasing trend of market volatility over the sample period. In addition, we find strong evidence of both short as well as long term reversal in Vietnam stock market during the sample period.

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