International Journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN: 2313-626X

Frequency: 12
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 Volume 12, Issue 4 (April 2025), Pages: 193-199

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 Original Research Paper

Noise trader risk and its effect on market volatility: Evidence from Vietnam’s stock market

 Author(s): 

 Thanh Dat Pham 1, Dan Khanh Pham 2, *

 Affiliation(s):

 1School of Banking and Finance, National Economics University, Hanoi, Vietnam
 2School of Advanced Education Program, National Economics University, Hanoi, Vietnam

 Full text

    Full Text - PDF

 * Corresponding Author. 

   Corresponding author's ORCID profile:  https://orcid.org/0000-0003-0170-8636

 Digital Object Identifier (DOI)

  https://doi.org/10.21833/ijaas.2025.04.021

 Abstract

This study examines the presence of noise trader risk in Vietnam’s stock market and its impact on daily stock returns. The research employs GARCH (1,1), EGARCH, and PGARCH models to filter residuals, followed by a moving average approach to measure the effect of informed traders. Noise trader risk, defined as the risk arising from irrational traders, is calculated by subtracting the influence of rational traders from the residuals. The results show that noise trader risk exists in Vietnam’s stock market, but its effect on daily returns is unpredictable. In contrast, informed traders have a positive impact on stock returns, helping to correct market prices toward their fundamental values.

 © 2025 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords

 Noise trader risk, Stock market returns, GARCH models, Market efficiency, Investor behavior

 Article history

 Received 13 November 2024, Received in revised form 13 April 2025, Accepted 26 April 2025

 Acknowledgment

This research is funded by the National Economics University, Hanoi, Vietnam.

  Compliance with ethical standards

  Conflict of interest: The author(s) declared no potential conflicts of interest with respect to the research, authorship, and/or publication of this article.

 Citation:

 Pham TD and Pham DK (2025). Noise trader risk and its effect on market volatility: Evidence from Vietnam’s stock market. International Journal of Advanced and Applied Sciences, 12(4): 193-199

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 Figures

  Fig. 1  Fig. 2   Fig. 3 

 Tables

  Table 1  Table 2  Table 3  Table 4  Table 5 

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