This research examines the presence of herd behavior in Vietnamese Stock Market during 2006 to 2012. Besides using the methods suggested by Christie and Huang (1995); and Chang et al. (2000) to detect herd, this work introduces an innovative method, which is based on the relationship between market return and market dispersion in extremely up and down markets, and a new method, which follows probability approach and can capture herd in specific days. According to results attained from daily data of Ho Chi Minh Stock Exchange Center, existence of herding is found during the whole period. To be more concrete, in additions the whole period, both of a-year-periods and a-day-periods are used to detect herd in this work.

Acknowledgement i
Abstract ii
Table of Contents iii
List of Tables v
List of Figures vi
List of Abbreviation vii
Chapter 1: Introduction 1
1.1 Research background 1
1.2 Motivation of the research 2
1.3 Research significance 2
1.4 Research organization 3
Chapter 2: Literature Review 4
2.1 Herd behavior phenomenon 4
2.1.1 Definition 4
2.1.2 Types of herd behavior 5
2.1.3 Reason of herding behavior 6
2.2 Herd behavior in Vietnamese stock market 7
2.2.1 Manifestations of herd behavior in Vietnamese stock market 7
2.2.2 Reasons of herd behavior in Vietnamese stock market 7
2.2.2.1 Incomplete and ineffective law system environment 7
2.2.2.2 Small scale 8
2.2.2.3 Lack of competency of investors 8
2.3 An overview of researches into herding behavior 8
2.3.1 Literature researches 9
2.3.2 Empirical researches 10
Chapter 3: Methodology 12
3.1 Method of Christie and Huang 12
3.2 Method of Chang, Cheng and Khorana 13
3.3 An innovative method based on methods of CH and CCK 13
3.4 The new method developed in this work - Finding herd in a specific day 15
3.5 Data collection and analysis 17
3.5.1 Data sample 17
3.5.2 Data analysis 17
3.6 Research framework 20
Chapter 4: Empirical Results 21
4.1. Descriptive statistics 21
4.1.1 Total data 21
4.1.2 Yearly periods 22
4.2 The CH's and CCK’s methods 23
4.2.1 Total data 23
4.2.2 Yearly periods 24
4.3 The innovative method 25
4.3.1 Total data 25
4.3.2 Yearly periods 25
4.4 The new method 26
4.4.1 Describe data 26
4.4.1.1 Market index return 26
4.4.1.2 Stock returns 27
4.4.2 Testing the null hypothesis 29
4.4.3 Results 29
Chapter 5: Conclusion and Discussion 31
5. 1 Research summary 31
5.2 Theoretical and empirical implications 31
5.3 Research limitation 32
5.4 Future researches 33
5.5 Suggestions to authorities 33
Bibliography 35
Appendix A – Market index return and Std.Deviation 38
Appendix B – Distribution of Market Index Return 51
List of Tables
Table 4.1 – Total data descriptive statistics 21
Table 4.2 – Data descriptive statistics in each year 22
Table 4.3 – Estimated coefficients of CH’s and CCK’s methods 23
Table 4.4 – Estimated coefficients of CH and CCK methods in each year 24
Table 4.5 – Estimated coefficients of the innovative method 25
Table 4.6 – Estimated coefficients of the new method in each year 26
Table 4.7 – Descriptive statistics of market index return 27
Table 4.8 - Descriptive statistics of stocks’ returns in September 2008 28
Table 4.9 – The result of testing the null hypothesis 29
Table 4.10 – Number of herd days in the market 30
List of Figures
Figure 3.1 – Research Framework 20
Figure 4.1 – Distribution of market index return in 7 years 27
Figure 4.2 – Market index return and market dispersion in September 2008 29

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