AN EMPIRICAL TEST OF CALENDAR EFFECTS IN VIETNAM STOCK MARKET

Le Phuong Lan - Do Duy Tan

Abstract

Abstract
This paper examines five popular calendar effects using closing prices of VN – Index over
the period 2000 – 2014. Results of OLS regression show that while there is little evidence
confirming the existence of some seasonal anomalies like weekend, January and Halloween
effects, holiday and TOM effects assuredly exist on HOSE. One interesting finding is that
there is some evidence for the presence of Tuesday effect. To specify, over the subperiod
2010 – 2014, the mean return for Tuesday is significantly negative and all mean returns
for Wendnesday, Thursday and Friday are significantly higher than that for Tuesday. These
findings provide additional international evidence for seasonal anomalies.
Key words: Calendar Effects, Vietnam stock market calendar effects..
Date of submission: 12th November 2015 – Date of approval: 10nd January 2016.