Research Journal of Business Management1819-19322152-0437Academic Journals Inc.10.3923/rjbm.2011.51.76MyTran Ngo TruongHuy Huynh 2201152This study examines the existence of herding behaviour in the Vietnamese stock market and the asymmetric effects of herding that are conditional on the direction of market movements. The evidence supports the presence of herding in the Vietnamese stock exchange with respect to different market periods and to alternative model specifications. Investor herding in this very immature stock market can be explained by a set of micro-structure characteristics typical of the Vietnamese stock market such as a lack of transparency in information and financial management, the high magnitude of market volatility and thin trading. Since herding is thought to increase the volatility of the market, the existence of herding may trigger some policy concerns about a potentially destabilizing effect on the financial market. In addition, the study indicates that upward markets have less return dispersions than downward markets. A possible implication of this finding is that investors in the Vietnamese stock market perform more uniformly in rising markets than in declining markets.]]>Bikhchandani, S., D. Hirshleifer and I. Welch, 19921009921026Chang, E.C., J.W. Cheng and A. Khorana, 20002416511679Cote, J.M. and D.L. Sanders, 199792045Christie, W.G. and R.D. Huang, 1995513137De Bondt, W.F.M. and W.P. Forbes, 19995143163Demirer, R. and A.M. Kutan, 200616123124Devenow, A. and D. Stickland, 199640603615Eriki, P.O. and I.O. Rawlings,200821927Ferruz, L., J.L. Sarto and L. Andreu,20082112Ferruz, L. and M. Vargas,200716778Gleason, K.C., I. Mathur and M.A. Peterson, 200411681694Gonzalez, M.,R. Modernell and E. Paris,200614388405Grinblatt, M., S. Titman and K. Wermers, 19958510881105Hadiwibowo, Y.,20104220229Hwang, S. and M. Salmon,200411585616Kallinterakis, V., 20072007Mcqueen, G., M.A. Pinegar and S. Thorley, 199651889919Nofsinger, J.R., 20083rd (Ed.).Olsen, R., 1996523741Raja, M. and M. Selvam,201151829Rhaiem, N., S.B. Ammou and A.B. Mabrouk,20071113119Rhaiem, N., S.B. Ammou and A.B. Mabrouk,200717987Saha, S. and G. Chakrabarti,20115185199Scharfstein, D.S. and J.C. Stein, 199080465479Seetharaman, A. and J.R. Raj,20115114126Shiller, R.J. and J. Pound, 1986124766Tan, L., T.C. Chiang, J.R. Mason and E. Nelling, 2008166177Truong, D.L., G. Lanjouw and R. Lensink,200614349389Tversky, A. and D. Kahneman,198659S251S278Wermers, R.,199954581622