Seasonal Anomalies in Vietnamese Stock Markets: New Evidence

Abstract

This paper primarily studies the possible existence of the January Effect or the Turn-Of-The-Year Effect in the Vietnamese stock markets and the study proceeds on two propositions. First, if the January anomaly is ascribed to the tax-related selling, it should be clear in the month of April in the Vietnamese context. Second, if the phenomenon is due to some other reason than it should make itself visible in the month of January in Vietnamese market given its interrelationship with international markets. This study also explores the chances of other common seasonal anomalies discrediting the efficient market hypothesis in the Vietnamese market viz., Other January Effect and Beginning of the month and End of the month effect. This study has used VN 500, S&P VN Nifty, VN Nifty Junior, VN mid cap and VN small cap indices of National Stock Exchange of Vietnam (VN). Statistical techniques like dummy variable regression analysis, ARIMA modeling, parametric and non-parametric tests, etc. have been used to fulfill the objective of the study. The findings of the study exhibit a significantly pronounced April Effect in VN small cap and VN midcap indices, with relatively much lower return in March (although statistically not significant). These findings are consistent with the tax-loss-selling hypothesis. An interesting finding of the study, which is apparently unique, is the presence of statistically significant and strongly positive December effect in all the studied indices.