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The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market

Author

Listed:
  • Loc Dong Truong

    (College of Economics Can Tho University, Vietnam, 3/2 Street, Xuan Khanh Ward, Ninh Kieu district, Can Tho City, Vietnam,)

  • H. Swint Friday

    (Texas A&M University RELLIS, RELLIS Campus, Bryan, Texas 77807, USA.)

Abstract

This analysis investigates the influence of the timing of the Lunar New Year on the January effect for the Vietnam stock market. The data selected for this study is a weekly series of the market index (VN-Index) over the period from January 7, 2009 through December 26, 2018. To test for the presence of the January effect and the impact of timing of the Lunar New Year on the January anomaly, OLS and GARCH(1,1) regression models are employed. The empirical findings obtained from these models confirm the existence of the January effect during this period in the Vietnam stock market. However, the analysis reveals that the January effect is only in existence when the Lunar New Year is in February, but it is disappearing when the Lunar New Year falls in January. These findings suggest that Lunar New Year has a significant impact on the January anomaly in the Vietnam stock market providing evidence against tax loss selling while supporting other holiday and window dressing hypotheses for this widely documented seasonal phenomenon.

Suggested Citation

  • Loc Dong Truong & H. Swint Friday, 2021. "The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(2), pages 28-34.
    • Handle: RePEc:eco:journ1:2021-02-4
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    References listed on IDEAS

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    More about this item

    Keywords

    The January effect; Lunar New Year influences; Vietnam stock market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G40 - Financial Economics - - Behavioral Finance - - - General

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