This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing whether liberalization policies in the period 2009–15 have had an impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hypothesis. The results confirm the role of foreign investors in improving the local market’s efficiency, however, the findings show that the liberalization does not always result in the increase of foreign participation, which then has a limited impact on the efficiency. The study also indicates the importance of governance policies, along with liberalization policies, in completing market structure and market dynamics, that promote equity price reflects truly firm’s intrinsic value.

本文通过分析2009-15年度的自由化政策是否对信息效率产生影响，来研究越南的证券市场开放情况。越南是一个已逐步采取放松资本管制措施的前沿市场。我们在自由化时期应用了随时间变化的赫斯特指数，并测试了自适应市场假说。结果证实了外国投资者在提高本地市场效率方面的作用，但是，研究结果表明，自由化并不总是会导致外国参与的增加，从而对效率的影响有限。该研究还表明，治理政策以及自由化政策在完善市场结构和市场动态中的重要性，促进股票价格反映了企业的内在价值。