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<p>The paper explores the dynamics of equity bubbles in Vietnam’s rapidly evolving stock market, characterized by its unique economic conditions and investment behaviors. On the one hand, we employ the SADF and GSADF methods to detect equity bubbles in Vietnam’s stock market since 2000. On the other hands, using the Logit model, we aim to uncover the patterns and the triggers leading to Vietnam’s equity bubbles. Our results reveal that Vietnam has experienced several equity bubbles episodes across its three benchmark indexes: the VN-index, the HNX-index and the VN30-index. Furthermore, our empirical finding is consistent with the relevant theoretical literature, supporting the crucial role of price volatility in generating Vietnam’s equity bubbles. In addition, we find evidence of a complex and ambiguous interplay between macroeconomic factors and bubble formation, which appears to depend on the structure of each stock market, the characteristics of each benchmark index, and the effectiveness of Vietnam’s macroeconomic policies.</p>

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Detecting the Unseen: Equity Bubbles and their Drivers in Vietnam

  • 期刊论文

  • 发表日期：

    2026年3月25日

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  • Manh Ha NGUYEN,
  • Thi Hong Hanh PHAM

摘要

The paper explores the dynamics of equity bubbles in Vietnam’s rapidly evolving stock market, characterized by its unique economic conditions and investment behaviors. On the one hand, we employ the SADF and GSADF methods to detect equity bubbles in Vietnam’s stock market since 2000. On the other hands, using the Logit model, we aim to uncover the patterns and the triggers leading to Vietnam’s equity bubbles. Our results reveal that Vietnam has experienced several equity bubbles episodes across its three benchmark indexes: the VN-index, the HNX-index and the VN30-index. Furthermore, our empirical finding is consistent with the relevant theoretical literature, supporting the crucial role of price volatility in generating Vietnam’s equity bubbles. In addition, we find evidence of a complex and ambiguous interplay between macroeconomic factors and bubble formation, which appears to depend on the structure of each stock market, the characteristics of each benchmark index, and the effectiveness of Vietnam’s macroeconomic policies.