Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

Round  1

Reviewer 1 Report

The topic of the paper is very interesting. The structure of the article and methods are adequate, the discussion can be improved as well as the quality of the English language: as usual when the authors are not English native speakers the reviewer counsels a deep revision of the English language by a native one, in order to improve the paper and the level of publication. Other aspects of the paper need some improvements and above all more research: the introduction, the literature review and the discussion and conclusion.

Author Response

Dear reviewer,

Thank you for your comment, we would like to response to your comments as below:

The topic of the paper is very interesting. The structure of the article and methods are adequate, the discussion can be improved as well as the quality of the English language: as usual when the authors are not English native speakers the reviewer counsels a deep revision of the English language by a native one, in order to improve the paper and the level of publication. Other aspects of the paper need some improvements and above all more research: the introduction, the literature review and the discussion and conclusion.

=> We have revised the language of the paper with proof reader. Also, we have improved discussions as required. The authors added another method of test which is the TV-AR test to enhance the originality of the paper.

Reviewer 2 Report

The manuscript deals with an interesting research question that has been extensively followed in the specific literature. Despite a general composition that is fair, and a reasonable construction, the manuscript has a series of flaws that normally require attention:

1.       The title is a little overpromising, as the manuscript is built on 3 mainstream tests and on two stock market indices. An extension from this to the entire market might appear a little too much to some.

2.       The introduction could be seriously upgraded. It should focus more on the contribution brought by the authors. The general flow of the discussion tends to oversimplify things at times. More literature would also help. The entire section has a sequential feel that does not add consistency to the manuscript.

3.       “This paper quantifies the market efficiency through multiple tests of autocorrelation”. From my understanding it uses 3, which can be considered as pretty far from the idea of multiple.

4.       The general contribution of the manuscript is rather low in terms of both originality and consistency. As the authors state themselves, the manuscript uses three very popular tests on a very popular topic. In this context, it is not very hard to highlight this idea of a limited consistency.

5.       The above comment must be considered along with the fact that this is a single-country approach focusing on Vietnam. In this context, unfortunately, the manuscript does not strike me as the most original, industrious and conceptual work.

6.       Several other concerns are addressed by the authors in the “Limitations” section. I will not continue the discussion on those.

7.       The manuscript needs further work to reach a more suitable level of consistency. This could be done by incorporating a battery of similar tests or methods, or other substantial methodology specifications. Robustness tests would also be a plus, given the limitations of the employed tests, that have been consistently documented in the literature.

8.       The conclusions section is rather weak and should be built upon.

9.       The supplementary codes included in the submission seem not to function under the specifications of the manuscript. This is not a comment that influences the verdict on the manuscript.

I will opt for a major revision as a motivation for the authors. However, if the manuscript is not heavily upgraded, my verdict will be a clear reject without any other further comments.

Author Response

Dear reviewer,

Thank you for your comments, they helped us a lot in finding out our weaknesses and we appreciate that. Please find below our responses to your comments:

The manuscript deals with an interesting research question that has been extensively followed in the specific literature. Despite a general composition that is fair, and a reasonable construction, the manuscript has a series of flaws that normally require attention:

1. The title is a little overpromising, as the manuscript is built on 3 mainstream tests and on two stock market indices. An extension from this to the entire market might appear a little too much to some.

=> Vietnamese stock market consists of two stock exchanges, namely HSX and HNX. The testing was performed using the composite indices of these two stock exchanges, therefore we consider it is reasonable to say that the entire market is covered in the paper. It is consistent with the other papers using the same methods, they also employ composite market indexes as proxies for the whole market.

2. The introduction could be seriously upgraded. It should focus more on the contribution brought by the authors. The general flow of the discussion tends to oversimplify things at times. More literature would also help. The entire section has a sequential feel that does not add consistency to the manuscript.

=> Introduction section were thoroughly revised with more arguments and more literature reviews added. The introduction about Vietnamese stock market characteristics and the research gap was also pointed out in this section.

3. “This paper quantifies the market efficiency through multiple tests of autocorrelation”. From my understanding it uses 3, which can be considered as pretty far from the idea of multiple.

=> Minor wording changed

4. The general contribution of the manuscript is rather low in terms of both originality and consistency. As the authors state themselves, the manuscript uses three very popular tests on a very popular topic. In this context, it is not very hard to highlight this idea of a limited consistency.

=> We have included one more testing approach, i.e. the TV-AR approach. This is a fairly new testing method, which can serve as a validating test for the initial battery of tests. Originality and consistency is improved with a second flow of testing method apart from the first flow of statistical tests.

5. The above comment must be considered along with the fact that this is a single-country approach focusing on Vietnam. In this context, unfortunately, the manuscript does not strike me as the most original, industrious and conceptual work.

=> As mentioned before, we have added an explanation of why this should be a single-country approach for the case of Vietnam, and we reckon that this guarantees originality of the paper.

6. Several other concerns are addressed by the authors in the “Limitations” section. I will not continue the discussion on those.

7. The manuscript needs further work to reach a more suitable level of consistency. This could be done by incorporating a battery of similar tests or methods, or other substantial methodology specifications. Robustness tests would also be a plus, given the limitations of the employed tests, that have been consistently documented in the literature.

=> Regarding the incorporation of new tests, we have included one more testing approach, i.e. the TV-AR approach. This method can serve as a validating test for the initial battery of tests and an addition to the battery of tests.

Regarding the robustness tests, the AVR method – the main testing method – has been proven to be robust even in case of small samples (Kim, 2009) using the Monte Carlo simulation. We will not elaborate this matter further in this paper.

8. The conclusions section is rather weak and should be built upon.

=> We have developed the conclusion section to make it stronger, with more details of what we have found and the general implications.

9. The supplementary codes included in the submission seem not to function under the specifications of the manuscript. This is not a comment that influences the verdict on the manuscript.

=> We have revised the supplementary codes.

Round  2

Reviewer 2 Report

Comment 1: I understand the comment made by the authors and it might have relevance for developing markets. I would have gone for something more specific, but this is a personal opinion.

Comment 2: The upgrades done in the introduction section improve the manuscript. The sequential feel still remains, however. Despite this fact, at present the section can be considered passable.

Comment 3: The clarification is useful. There is a strong difference between multiple and 3.

Comment 4: My initial observation on using casual mainstream methods still stands. Despite this, I appreciate the efforts of the authors in providing a more relevant approach and because of this I will consider my comment to be answered by the upgrades brought.

Comment 5: As I said in the original review, single-country investigations focusing on nascent markets that do not have a solid methodology bring little relevance and are rarely published. However, I will let this comment go as a measure of encouraging the authors to advance in their research.

Comment 7: The observations here have been partially answered.

Comments 8: The supplementary discussions are a good upgrade.

Comment 9: As I said, this was not a comment that influenced the verdict on the paper. Still, it is a good thing that the manuscript is accompanied by rigorous codes.