Seasonality Effect In Vietnam Stock Market

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asonaInternational Conference on Management, Economics and Social Sciences (ICMESS'2011) Bangkok Dec., 2011 Seasonality in the Vietnam Stock Index H. Swint Friday and 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. Keywords— Halloween effect, January effect, Seasonality, Vietnam Stock Market. I. PREVIOUS LITERATURE VIDENCE of different seasonal effects have been observed in international markets around the world. Some of the more prominent effects include the January Effect and the Halloween effect. Wachetel (1942) was the first to document the January effect in stock returns [16]. The phenomenon garnered little attention until Keim (1983) again reported observing abnormal January returns for New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) common stocks over the period 1963–1979 [13]. Three proposed explanations for the January effect include the tax-lossing hypothesis (Roll 1983) and the gamesmanship hypothesis (Haugen and Lakonishok 1987) [3], [18]. The third proposed cause of the January Effect is the window dressing hypothesis first introduced by Haugen and Lakonishok (1987) [7]. The tax-lossing hypothesis states that individual investors tend to sell stocks that fall in price towards the end of the year to generate capital losses to offset and avoid tax on capital gains. Similarly, more volatile stocks also generate tax loss selling

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