Abstract

The paper is an attempt to test the “serial independence” of stock prices at HoСhiMinh City Stock Exchange Center (HSEC) in Vietnam by applying the ARIMA model for preliminary assessment in terms of its market efficiency. From findings derived, it appears to be that: (a) ARIMA model could be applied for testing the serial independence of stock prices at the HSEC; (b) It is failed to prove that the HSEC market is not a weak-form efficient one; and (c) the “sheep flock effect” psychology is a factor dominated at the HSEC during the past two years.