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- W3036460908 abstract "This paper aims to examine the existence of calendar anomalies including monthly effect, day of week effect, and holiday effect in Vietnam stock market. By using the standard OLS (Ordinary Least Squares) regressions with dummies and tests for the quality of means T-test. There is convincing evidences of existence of January effect in HOSE but none in HNX. The paper discovered that July and November effects are also appeared before the economic crisis 2008. In addition, empirical studies indicated the evidence of day-of-the-week effect, which exists on Monday, Tuesday and Friday in both two stock exchanges. In comparison with other studies, a new point has been found about the appearance of pre-holiday effect on Vietnam Independent Day - September 2nd which only exists in HNX. For the reason, this effect occurs when the average returns of pre-holiday are greater than others of during-and-post holiday. Since these effects have are based on empirical evidence in this study, they are against the implications of efficient market hypothesis. So this may create an opportunity for rational investors to make above-average profit by exploiting these calendar anomalies. Finally, the empirical evidences of this report would support the policy makers to come up with specific solutions to improve the market effectiveness." @default.
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- W3036460908 date "2015-08-19" @default.
- W3036460908 modified "2023-09-27" @default.
- W3036460908 title "Calendar Anomalies in Vietnam Stock Market" @default.
- W3036460908 hasPublicationYear "2015" @default.
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