H. Swint Friday, Ph.D. and Nhung Hoang Texas A&M University
Corpus Christi, TX, USA International Conference of Management,
Economics, and Social Sciences Bangkok, Thailand Dec 23-24, 2011
SEASONALITY IN THE VIETNAM STOCK INDEX
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EMERGING MARKET SHARE
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VIETNAM INSIGHT One of the fastest-growing economies in Asia
GDP growth rate (1990 2010)
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ASIAN PACIFIC MARKET P/Es (Source: Bloomberg, Data as of Dec
09, 2011)
PREVIOUS LITERATURE - JANUARY EFFECT Wachetel (1942) first
document the January effect in stock returns Keim (1983): abnormal
January returns for NYSE and AMEX common stocks over the period
1963 1979 Three proposed explanations: Tax-loss hypothesis
Gamesmanship hypothesis Window dressing hypothesis
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INTERNATIONAL MARKETS January effect: Canada, Japan, Ghana,
Taiwan, Malaysia Monthly effect: Jamaica, Asian Pacific countries
(Australia, china, HongKong, India, Indonesia, and South Korea)
January effect NOT observed in Greek, Nigerian, Zimbabwean,
Ukrainian, Kuwait, Amsterdam, Colombo stock market
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PREVIOUS LITERATURE HALLOWEEN EFFECT Sell in May and go away
until Halloween day Riepe (2003): S&P 500 Index from Jan 1925
to Mar 2003 Bouman & Jacobsen (2002): Halloween effect observed
in Argentina, Austria, Australia, Belgium, Brazil, Canada, Chile,
Denmark, Finland, France, Germany, Greece, Hong Kong, Indonesia,
Ireland, Italy, Japan, Jordan, Korea, Malaysia, Mexico,
Netherlands, Norway, Philippines, Portugal, Russia, Singapore,
South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey,
The United Kingdom, and The United States. Two explanations: Summer
vocation Changes in fundamental factors
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VIETNAM STOCK MARKET RESEARCH DATA Examine the VN-Index in over
a 10 year period from its establishment on July 28 th, 2000 to
December 31st, 2010. Due to the small number of firms traded prior
to 2005, the category mean monthly returns are also calculated from
August 2000 through December 2004 and from January 2005 through
December 31st, 2010. VN-Index monthly returns are calculated from
daily returns using the following equation:
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TABLE I MEAN MONTHLY RETURNS AND MEAN MONTHLY TRADING
VOLUME
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TABLE II MONTHLY RETURNS FROM 8/2000 12/2010
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TEST TAX LOSS SELLING HYPOTHESIS REGRESSION MODEL January
return = f(prior years return, prior years standard deviation of
returns). RESULTS:
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TABLE IV : MEAN MONTHLY RETURNS FOR MONTHS FROM NOVEMBER
THROUGH APRIL
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TABLE V: MEAN MONTHLY RETURNS FOR MONTHS FROM MAY THROUGH
OCTOBER
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TABLE VI: DIFFERENCE IN HOLDING PERIOD RETURN ANALYSIS
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TABLE VII: COMPARISON OF THE AVERAGE MONTHLY RAINFALL AND
AVERGAGE MEAN MONTHLY RETURNS
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CONSLUSIONS This result provides support for the January Effect
in the Vietnam Stock Index. Evidence against tax-loss selling
hypothesis. Halloween effect was present in Vietnam market. April
is a good month to exit the market The authors posit rainy season
(May Oct) as a Halloween effect explanation in Asian markets.