Seasonality Effect on the Vietnamese Stock Exchange

Chung Tien Luu, Cuong Hung Pham, Long Pham


The Vietnamese Stock Market is a remarkable emerging market, including the two stock markets Ha Noi and Ho Chi Minh Stock Exchange and they have been playing a very important role inVietnamese economy. More and more attention is focused on the emerging Vietnamese market, and investors have been trying to find the opportunity to achieve abnormal returns through the Vietnamese Stock Market. We name this phenomenon market efficiency a nomaly, one pattern of which is seasonality effect. In this study, the topic about the seasonality effect is chosen. We try to test the seasonality in Vietnamese Stock Market by day of the week effect, January effect and turn of the month effect. Deductive approach and quantitative research method are used in this thesis. To analyze seasonality effect, the data has been collected from Ho Chi Minh Stock Exchange Composite Index – VN Index and has been tested from 2006 to 2014. Hypothesis and T-test with α=0.05 isused to test the seasonality effect. The results show that seasonal anomalies exist. The above indicates that the Vietnamese Stock Market is not fully efficient yet. Investors may have opportunities to make use of the seasonal anomalies to earn abnormal return. However, the study is based on the historical data, but the future stock price is affected by lots of factors; and like in other invested stock markets, as soon as the seasonal anomalies is certified by the public, the opportunity of making excessive return by profitable trading strategies will disappear at once.

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International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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