International Journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN: 2313-626X

Frequency: 12
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 Volume 7, Issue 12 (December 2020), Pages: 48-55

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 Original Research Paper

 Title: Calendar effects: Empirical evidence from the Vietnam stock markets

 Author(s): Bui Huy Nhuong 1, Pham Dan Khanh 2, *, Pham Thanh Dat 3

 Affiliation(s):

 1Personnel Department, National Economics University, Hanoi, Vietnam
 2School of Advanced Education Program, National Economics University, Hanoi, Vietnam
 3School of Banking and Finance, National Economics University, Hanoi, Vietnam

  Full Text - PDF          XML

 * Corresponding Author. 

  Corresponding author's ORCID profile: https://orcid.org/0000-0003-0170-8636

 Digital Object Identifier: 

 https://doi.org/10.21833/ijaas.2020.12.005

 Abstract:

The Efficient Market Hypothesis (EMH) deals with informational efficiency and strongly based on the idea that the stock market prices or returns are unpredictable and do not follows any regular pattern, so it is impossible to “beat the market.” According to the EMH theory, security prices immediately and fully reflect all available relevant information. EMH also establishes a foundation of modern investment theory that essentially advocates the futility of information in the generation of abnormal returns in capital markets over a period. However, the existence of anomalies challenges the notion of efficiency in stock markets. Calendar effects break the weak form of efficiency, highlighting the role of past patterns and seasonality in estimating future prices. The present research aims to study the efficiency in Vietnam stock markets. Using daily and monthly returns of VnIndex data from its inception in March 2002 to December 2018, we employ dummy variable multiple linear regression techniques to assess the existence of calendar effects in Vietnam stock markets. To correct for volatility clustering and ARCH effect present in the daily returns, the results are modeled using the EGARCH estimation methodology. The study reveals the existence of calendar effects in Vietnam in the form of a significant Friday Effect as well as a significant “January effect,” thereby suggesting that the Vietnam stock markets do not show informational efficiency even in the weak form, a trait observable in emerging markets. 

 © 2020 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords: Calendar effects, EMH, Dummy variable regression, Day-of-the-week effect, Month-of-the-year effect

 Article History: Received 7 May 2020, Received in revised form 21 July 2020, Accepted 29 July 2020

 Acknowledgment:

No Acknowledgment.

 Compliance with ethical standards

 Conflict of interest: The authors declare that they have no conflict of interest.

 Citation:

  Nhuong BH, Khanh PD, and Dat PT (2020). Calendar effects: Empirical evidence from the Vietnam stock markets. International Journal of Advanced and Applied Sciences, 7(12): 48-55

 Permanent Link to this page

 Figures

 Fig. 1 Fig. 2 Fig. 3 Fig. 4

 Tables

 Table 1 Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 Table 8 Table 9 

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