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Seasonality in the Vietnam Stock Index

Author

Listed:
  • H. Swint Friday
  • Nhung Hoang

Abstract

This study examines seasonality in the Vietnam Stock Market Index over 10 years, since the market’s establishment on July 28th, 2000 until December 31st, 2010. The study found significant positive returns in April and significant negative returns in July for the VN-Index. Also, the Halloween Effect or Go away in May come back Halloween Day effect is observed in the Vietnam Stock Market Index. The authors posit these results are partially driven by the rainy season in Vietnam where monthly rainfall reaches up to 1000 mm.

Suggested Citation

  • H. Swint Friday & Nhung Hoang, 2015. "Seasonality in the Vietnam Stock Index," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 103-112.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:1:p:103-112
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    Citations

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    Cited by:

    1. Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
    2. T. Tran X. & T. Nguyen P. & T. Pham M. & Т. Тран Х. & Т. Нгуен П. & Т. Пхам М., 2016. "Средняя степень эффективности рынка: реакция рынка на сообщения о дивидендах и доходах на бирже ценных бумаг во Вьетнаме // Semi-strong form efficiency: Market reaction to dividend and earnings announ," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 4(3), pages 53-67.

    More about this item

    Keywords

    Halloween Effect; January Effect; Seasonality; Vietnam Stock Market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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