(Luận văn) whether momentum or contrarian phenomenon exist in vietnam stock market

to MINISTRY OF EDUCATION AND TRAINING tn gh UNIVERSITY OF ECONOMICS HO CHI MINH CITY p ie -o0o - w n ad lo th yj ip uy an lu la TA THU TIN n va m ll fu WHETHER MOMENTUM OR tz n oi CONTRARIAN PHENOMENON EXIST IN VIETNAM STOCK MARKET z ht vb MAJOR: FINANCE – BANKING k jm MAJOR CODE: 60.31.12 om l.c gm MASTER THESIS an Lu n va ADVISOR: Ph.D TRAN PHUONG NGOC THAO re y te th HO CHI MINH CITY, 2011 to ACKNOWLEDGEMENT tn gh p ie At first, I would like to express my deep gratitude to my instructor, Dr Tran Phuong w n Ngoc Thao for her intensive guidance and valuable suggestions during time of my study ad lo th I would like to thank Dr Vo Xuan Vinh for valuable comments and suggestions he share yj with me In addition, I also give my appreciation to all of my lecturers at Faculty of uy ip Banking and Finance, University of Economics Hochiminh City for their teaching and an lu la knowledge during my master course n va My sincere thank goes to Nguyen Hiep Phat, my colleague at Au Viet Securities, he spent a lot of time to help me make a software program to process raw data in this thesis m ll fu tz n oi Finally, I am thankful to my family for giving me facilitation to complete my thesis z ht vb k jm om l.c gm an Lu n va re y te th i to ABSTRACT tn gh p ie This thesis investigates whether momentum or contrarian phenomenon exist on w Vietnamese Stock Market over the period from January 2005 to June 2011 We employ n ad lo the famous methodology by Jegadeesh and Titman (1993) to calculate the profit of momentum and contrarian strategies which were built base on the historical return of 424 th yj stocks listed on Ho Chi Minh Stock Exchange and Ha Noi Stock Exchange ip uy la We found that all 16 trading contrarian strategies always make abnormal profit with an lu statistical significance at the level of 10% The most profitable contrarian strategy with portfolio based on month formation and month holding has a average monthly return n va of 2,829% (equivalent to annually return of 33,95%) with significance level of 2% m ll fu Our research demonstrates that the abnormal profit on trading contrarian strategy can not n oi be accounted for by beta-risk as well as market size But we found a evidence of P/B ratio tz explaining contrarian phenomenon on Vietnamese Stock Market z ht vb Key words: Momentum; Contrarian strategies k jm om l.c gm an Lu n va re y te th ii to TABLE OF CONTENTS tn gh ACKNOWLEDGEMENT……………………………………………………………… i p ie ABSTRACT…………………………………………………………………………… ii TABLE OF CONTENTS……………………………………………………………… iii w LIST OF FIGURES…………………………………………………………………… vi n ad lo LIST OF TABLES…………………………………………………………………… vii ABBREVIATIONS…………………………………………………………………… viii th yj Introduction………………………………………………………………………… uy 1.1 Overview of Momentum and Contrarian strategies…………………………… ip la 1.2 Research Objective……………………………………………………………… an lu 1.3 Research Methodology and Scope……………………………………………… n va 1.4 Thesis Structure………………………………………………………………… 1.5 Vietnamese Stock Market……………………………………………………… m ll fu Literature Review………………………………………………………………… n oi 2.1 Efficient Market Hypothesis…………………………………………………… 2.2 Momentum Strategy…………………………………………………………… tz 2.3 Contrarian Strategy…………………………………………………………… 15 z Data Collection and Research Method………………………………………… 18 vb ht 3.1 Data Collection………………………………………………………………… 18 k jm 3.1.1 Stock Prices…………………………………….……………………… 18 gm 3.1.2 Adjusted Stock Prices………………………………………………… 19 3.1.3 P/B ratio………………………………………………………………… 21 l.c 3.1.4 Market Capitalization…………………………………………………… 22 om 3.2 Research Method……………………………………………………………… 22 Lu Empirical Result…………………………………………………………………… 24 an 4.2 Empirical Result……………………………………………………………… 28 4.4.1 Market Risk…………………………………………………………… 36 iii th Market………………………………………………………………………… 35 y te 4.4 Some factors may account for the contrarian phenomenon in Vietnam Stock re 4.3 Why does the contrarian phenomenon exist in Vietnam stock market? 32 n va 4.1 Raw Data Processing………………………………………………………… 24 to 4.4.2 Firm Size……………………………………………………………… 39 tn gh 4.4.3 Price to Book…………………………………………………………… 40 p ie Conclusion………………………………………………………………………… 42 5.1 Main findings………………………………………………………………… 42 w 5.2 Implications of Research……………………………………………………… 43 n ad lo 5.3 Limitations of Research……………………………………………………… 44 th REFERCENCES……………………………………………………………………… 45 yj uy APPENDIX…………………………………………………………………………… 48 la ip an lu Table A1: List of 424 investigated stocks……………………………………………………48 Table B1-Table B16: The average monthly return of Winner and Loser n va Portfolios in 16 strategies…………………………………………………………………… 59 m ll fu Table C1-Table C16: The average monthly return of Loser portfolio n oi compare to the one of Winner portfolio in 16 strategies………………………………… 75 tz Table D11: Estimation of Beta of Winner portfolio in J=3/K=3 strategy……………… 83 z Table D12: Estimation of Beta of Loser portfolio in J=3/K=3 strategy……………… 84 vb ht Table D21: Estimation of Beta of Winner portfolio in J=6/K=3 strategy……………… 85 jm k Table D22: Estimation of Beta of Loser portfolio in J=6/K=3 strategy……….……… 86 gm Table D31: Estimation of Beta of Winner portfolio in J=9/K=3 strategy……………….87 l.c Table D32: Estimation of Beta of Loser portfolio in J=9/K=3 strategy…………………88 om an Lu Table D41: Estimation of Beta of Winner portfolio in J=12/K=3 strategy…………… 89 Table D42: Estimation of Beta of Loser portfolio in J=12/K=3 strategy……………….90 y te th iv re Table E2: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=6/K=3 strategy………………………………… 91 n va Table E1: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=3/K=3 strategy………………………………… 91 to Table E3: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=9/K=3 strategy………………………………… 92 tn gh p ie Table E4: Average Market Capitalisation of Loser portfolio compare to Market Capitalisation of Winner portfolio in J=12/K=3 strategy……………………………… 92 w n Table F1: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=3/K=3 strategy……………………… 93 ad lo th Table F2: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=6/K=3 strategy……………………… 93 yj uy an lu la ip Table F3: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=9/K=3 strategy……………………….94 n va Table F4: The average P/B ratio of Loser portfolio compare to the average P/B ratio of Winner portfolio in J=12/K=3 strategy…………………… 94 tz n oi m ll fu z ht vb k jm om l.c gm an Lu n va re y te th v (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to LIST OF FIGURES tn gh Figure 1.1 VN-Index Chart over the period from July 2000 to September 2011………….6 p ie Figure 3.1 Formation and Holding periods in two strategies…………………………… 23 Figure 4.1 The screen of the Analyzing Stock Price Data program w n after importing data from Excel file…………………………………………………………….25 ad lo Figure 4.2 The screen of the Analyzing Stock Price Data after stocks are th ranked in descending order on the basis of their average monthly returns…………… 26 yj uy Figure 4.3: The screen of Stock Grouping program shows the Winner an lu la ip and Loser portfolios, and their average returns…………………………………………… 27 n va tz n oi m ll fu z ht vb k jm om l.c gm an Lu n va re y te th vi (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to LIST OF TABLES tn gh Table 3.1 Adjusting price of KDC share………………………………………………….… 20 p ie Table 3.2 Adjusting price of OPC share………………………………………………….… 21 w n Table 4.1 The average return of Winner and Loser Portfolios and their difference in J=3/K=3 Strategy (Formation Period: months; Holding Period: months)…… ……28 ad lo th Table 4.2 Summary of the average monthly return of loser and winner portfolio; and their differences (profitability of contrarian strategies) for 16 strategies over the period from 01/2005 to 06/2011……………………………………………….… 30 Table 4.3 Monthly and annually profitability of 16 contrarian strategies are ranking in descending and their significances……………………………………… 31 yj an lu la ip uy n va Table 4.4 Beta coefficient after perform regression……………………………………… 38 m ll fu Table 4.5 The comparison in average market capitalization between loser and winner portfolios and their differences……………………………………… .39 n oi Table 4.6 The comparison in average P/B ratio between loser and winner portfolios…41 tz z ht vb k jm om l.c gm an Lu n va re y te th vii (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to ABBREVIATIONS tn gh Capital Asset Pricing Model EMH Efficient Market Hypothesis p ie CAPM Ha Noi Stock Exchange n Ho Chi Minh City Stock Exchange ad lo w HOSE th HNX yj Vietnam Dong an lu la ip uy VND n va tz n oi m ll fu z ht vb k jm om l.c gm an Lu n va re y te th viii (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to tn CHAPTER 1: INTRODUCTION gh p ie 1.1 Overview of Momentum and Contrarian Strategies In 1970, Efficient Market Hypothesis (EMH) developed by Professor Eugene Fama w proclaimed that in the efficient market no one could consistently beat the market and n ad lo stock prices follow a random walk Thus, future prices of stocks could not be predicted from their past prices, it means that the abnormal return from trading should be zero th yj However, a lot of investors and researchers have doubts about the efficient market uy hypothesis both empirically and theoretically They always try to find some abnormal ip an lu la returns to prove the inefficiency of the markets Consequently, forecasting the price movements in stock markets has become a major n va challenge for investors, brokers and speculators Studying the movement of stock prices m ll fu become one of the most attractive fields of research due to its commercial applications n oi and benefits it offers Recently, there are many researchers and traders have studied stock price predictions such as Fundamental Analysis, Technical Analysis, CANSLIM, tz etc… z vb And one of the most attractive trading strategies is momentum (and contrarian) strategy ht jm The momentum strategy appeared firstly in the 1960s However, it became widely known k only in the early 1990s after Narasimham Narasimhan Jegadeesh and Sheridan Titman gm published their study Momentum and contrarian strategies are two opposite investment om l.c strategies which use historical price/return data in order to forecast the future development of stock performance to make excess returns Momentum investing strategy, Lu also sometimes known as “Trend following”, believes that stocks which have good an performance in the past will keep doing so in the future, it buys (go long) stocks that have (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market th winning stocks and buying past losing stock The contrarian strategy was introduced first y te good historical performance will be bad in the future, so it suggests short selling past re over the same period In contrast, a contrarian strategy believes that stocks which have n va outperformed in the recent past, and short sell (go short) those that have underperformed (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B10: The average return of Winner and Loser Portfolios and their difference in J=9/K=6 Strategy (Formation Period: months; Holding Period: months) tn gh p ie Month w Average Average return of return of Winner Loser Portfolio Portfolio n ad lo th tz n oi m ll fu z vb k jm gm -0.0112 -0.0475 -0.1285 -0.0803 -0.0091 0.0581 0.0731 0.078 0.1379 0.1175 0.1169 0.0329 0.0193 0.0109 0.0008 -0.0199 -0.019 0.0002 0.0157 0.0183 -0.0076 -0.024 -0.0538 -0.0387 -0.0367 -0.0453 -0.0399 -0.0556 -0.0456 -0.0751 -0.0852 Winner minus Loser om -0.0228 -0.0013 -0.0208 -0.0102 -0.0279 -0.0354 -0.0404 -0.0266 -0.0432 0.0161 -0.0159 0.0049 -0.0024 0.0027 -0.0128 0.0043 0.0183 0.0172 -0.0013 0.0033 -0.0074 -0.0061 -0.0385 -0.0312 -0.0404 -0.0427 -0.0302 -0.022 -0.0167 -0.0039 0.0111 an Lu n va re y te -0.034 -0.0488 -0.1493 -0.0905 -0.037 0.0227 0.0327 0.0514 0.0947 0.1336 0.101 0.0378 0.0169 0.0136 -0.012 -0.0156 -0.0007 0.0174 0.0144 0.0216 -0.015 -0.0301 -0.0923 -0.0699 -0.0771 -0.088 -0.0701 -0.0776 -0.0623 -0.079 -0.0741 l.c Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Average Average return of return of Winner Loser Portfolio Portfolio ht -0.004 -0.0544 -0.0217 -0.034 -0.0084 -0.0423 -0.0419 0.0121 0.0252 0.1372 0.0992 0.065 0.0339 0.0406 -0.0004 -0.0938 -0.044 -0.0152 0.0177 -0.0369 -0.015 0.0106 0.0204 0.0221 -0.0696 -0.0751 -0.0925 -0.0588 -0.0204 -0.0143 0.0288 -0.0184 an lu la ip uy 0.1289 0.0978 0.0956 0.0583 0.0712 0.0741 -0.0137 -0.0045 -0.0211 0.0459 0.078 0.0469 0.0754 0.0461 0.0768 0.0543 -0.002 0.004 0.0429 0.0598 0.046 0.0084 -0.0248 -0.1103 -0.141 -0.1738 -0.1603 -0.1415 -0.057 -0.0283 -0.0834 -0.0276 Month n va th 0.1249 0.0434 0.0739 0.0243 0.0628 0.0318 -0.0556 0.0076 0.0041 0.1831 0.1772 0.1119 0.1093 0.0867 0.0764 -0.0395 -0.046 -0.0112 0.0606 0.0229 0.031 0.019 -0.0044 -0.0882 -0.2106 -0.2489 -0.2528 -0.2003 -0.0774 -0.0426 -0.0546 -0.046 yj Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Winner minus Loser 68 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B11: The average return of Winner and Loser Portfolios and their difference in J=9/K=9 Strategy (Formation Period: months; Holding Period: months) tn gh p ie Month w Average Average return of return of Winner Loser Portfolio Portfolio n ad lo th tz n oi m ll fu z ht vb k jm gm -0.0712 -0.0508 -0.012 -0.0127 -0.0188 0.001 0.0368 0.0661 0.0855 0.0968 0.1026 0.0747 0.0512 0.0132 0.0113 0.0259 0.016 -0.004 -0.0139 -0.0125 -0.0098 -0.0174 -0.0197 -0.0192 -0.0334 -0.0283 -0.0442 -0.0537 -0.0631 -0.0654 0.0174 0.0039 -0.0254 -0.0201 -0.0396 -0.0272 -0.0306 -0.0286 -0.0408 -0.0346 -0.0316 0.0031 -0.0116 0.005 -0.001 -0.0012 -0.024 -0.0107 -0.0056 -0.0005 -0.0025 -0.0019 -0.0016 -0.0211 -0.0386 -0.0397 -0.038 -0.0439 -0.0328 -0.0219 an Lu n va re -0.0538 -0.0469 -0.0374 -0.0328 -0.0584 -0.0262 0.0062 0.0375 0.0447 0.0622 0.071 0.0778 0.0396 0.0182 0.0103 0.0247 -0.008 -0.0147 -0.0195 -0.013 -0.0123 -0.0193 -0.0213 -0.0403 -0.072 -0.068 -0.0822 -0.0976 -0.0959 -0.0873 Winner minus Loser om Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Average Average return of return of Winner Loser Portfolio Portfolio l.c -0.0136 -0.0249 -0.0369 0.0024 0.0402 -0.0329 -0.0112 0.0133 -0.0095 0.061 0.0715 0.026 -0.0018 0.0168 -0.0079 -0.118 -0.0758 -0.0132 0.0105 -0.0356 -0.0247 -0.0107 0.0034 -0.0095 -0.0275 -0.0142 -0.0256 -0.0586 -0.0317 -0.0088 an lu la ip uy 0.0442 0.0588 0.062 0.0486 0.043 0.0583 0.0035 0.0556 0.0535 0.0482 0.0374 0.0324 0.0552 0.0318 0.0741 0.1036 0.0416 0.0299 0.0058 -0.0022 -0.0342 -0.0476 -0.0844 -0.1117 -0.1302 -0.0819 -0.0963 -0.0974 -0.0938 -0.0687 Month n va 0.0306 0.0339 0.0251 0.051 0.0832 0.0254 -0.0077 0.0689 0.044 0.1092 0.1089 0.0584 0.0534 0.0486 0.0662 -0.0144 -0.0342 0.0167 0.0163 -0.0378 -0.0589 -0.0583 -0.081 -0.1212 -0.1577 -0.0961 -0.1219 -0.156 -0.1255 -0.0775 yj Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Winner minus Loser y te th 69 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B12: The average return of Winner and Loser Portfolios and their difference in J=9/K=12 Strategy (Formation Period: months; Holding Period: 12 months) tn gh p ie Month w Average Average return of return of Winner Loser Portfolio Portfolio n ad lo th tz n oi m ll fu z vb k jm gm -0.0563 -0.0384 0.02 0.0351 0.0192 0.0088 0.033 0.081 0.0584 0.0568 0.0486 0.0694 0.0546 0.0556 0.0174 0.0206 0.011 0.007 -0.0181 -0.0313 -0.0197 -0.0137 -0.0127 -0.0207 -0.0286 -0.0397 -0.0383 -0.0487 Winner minus Loser om -0.0048 0.0033 -0.0233 -0.0317 -0.0183 -0.0416 -0.0388 -0.0612 -0.0312 -0.0293 -0.0198 -0.0202 0.0056 -0.0175 0.001 -0.0147 -0.0093 -0.0296 -0.0087 -0.0109 0.0009 -0.0025 -0.0063 -0.008 -0.0204 -0.0434 -0.0569 -0.0425 an Lu n va -0.0611 -0.0351 -0.0033 0.0034 0.0009 -0.0328 -0.0058 0.0198 0.0272 0.0275 0.0288 0.0492 0.0602 0.0381 0.0184 0.0059 0.0017 -0.0226 -0.0268 -0.0422 -0.0188 -0.0162 -0.019 -0.0287 -0.049 -0.0831 -0.0952 -0.0912 l.c Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Average Average return of return of Winner Loser Portfolio Portfolio ht -0.0094 0.0045 -0.0122 0.0096 0.0253 -0.059 -0.0255 0.0142 0.021 0.032 0.0507 0.0168 -0.0057 -0.0319 -0.0394 -0.1027 -0.0775 -0.0222 -0.0147 -0.0504 -0.0512 -0.0058 -0.0118 0.0208 -0.0274 -0.0328 -0.0441 -0.0461 -0.0243 an lu la ip uy 0.0502 0.0361 0.0286 0.0534 0.0843 0.104 0.0318 0.0401 0.0238 0.0394 0.0211 0.0318 0.0601 0.0594 0.0806 0.072 0.0169 -0.0232 -0.0406 -0.0448 -0.044 -0.0648 -0.0318 -0.0742 -0.1024 -0.0988 -0.0937 -0.0876 -0.092 Month n va 0.0408 0.0406 0.0164 0.063 0.1096 0.045 0.0063 0.0543 0.0448 0.0714 0.0718 0.0486 0.0544 0.0275 0.0412 -0.0307 -0.0606 -0.0454 -0.0553 -0.0952 -0.0952 -0.0706 -0.0436 -0.0534 -0.1298 -0.1316 -0.1378 -0.1337 -0.1163 yj Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Winner minus Loser re y te th 70 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B13: The average return of Winner and Loser Portfolios and their difference in J=12/K=3 Strategy (Formation Period: 12 months; Holding Period: months) tn gh p ie Month w Average Average return of return of Winner Loser Portfolio Portfolio n ad lo th tz n oi m ll fu z vb k jm gm -0.1257 -0.0603 -0.0875 -0.0004 0.0429 0.2433 0.1524 0.1267 0.0669 0.0951 0.1103 0.0251 -0.0435 -0.0839 -0.0276 -0.0189 0.0561 0.0469 0.0412 -0.0237 -0.0492 -0.0635 -0.0742 -0.0433 -0.0154 0.0018 -0.0361 -0.0731 -0.1051 -0.1382 -0.1121 Winner minus Loser om -0.0314 -0.0117 0.0421 -0.0297 -0.0387 -0.1452 -0.0423 -0.0151 0.0103 0.0002 0.0019 -0.0387 -0.0167 0.0039 0.0261 0.0411 0.0137 -0.0206 -0.0504 -0.0331 -0.0302 -0.031 -0.0822 -0.0173 -0.0681 -0.036 -0.0086 0.0124 0.0236 0.0368 0.0547 an Lu n va re y te -0.1571 -0.072 -0.0454 -0.0301 0.0042 0.0981 0.1101 0.1116 0.0772 0.0953 0.1122 -0.0136 -0.0602 -0.08 -0.0015 0.0222 0.0698 0.0263 -0.0092 -0.0568 -0.0794 -0.0945 -0.1564 -0.0606 -0.0835 -0.0342 -0.0447 -0.0607 -0.0815 -0.1014 -0.0574 l.c Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Average Average return of return of Winner Loser Portfolio Portfolio ht -0.0571 -0.0244 -0.0616 -0.1728 -0.0861 -0.0152 0.0335 0.1001 0.0814 0.2151 0.0731 -0.0073 -0.1569 -0.0205 -0.0287 0.0085 -0.0196 0.0432 0.0591 0.0786 -0.0264 -0.0201 -0.023 -0.1114 -0.1263 -0.0719 -0.0271 0.0443 -0.0434 -0.068 0.0156 -0.0894 an lu la ip uy 0.2421 0.1365 0.0705 -0.0334 -0.0194 0.0124 0.0425 -0.0062 -0.013 0.0086 0.1406 0.16 0.1164 -0.004 -0.0364 0.0385 -0.0193 0.0043 0.068 0.0477 0.0444 -0.0665 -0.1206 -0.2339 -0.2076 -0.2292 -0.1277 -0.122 0.1068 0.1229 -0.0315 -0.1547 Month n va th 0.185 0.1121 0.0089 -0.2062 -0.1055 -0.0028 0.076 0.0939 0.0684 0.2237 0.2137 0.1527 -0.0405 -0.0245 -0.0651 0.047 -0.0389 0.0475 0.1271 0.1263 0.018 -0.0866 -0.1436 -0.3453 -0.3339 -0.3011 -0.1548 -0.0777 0.0634 0.0549 -0.0159 -0.2441 yj Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Winner minus Loser 71 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to tn gh p ie Table B14: The average return of Winner and Loser Portfolios and their difference in J=12/K=6 Strategy (Formation Period: 12 months; Holding Period: months) w n Month ad lo Average Average return of return of Winner Loser Portfolio Portfolio yj tz n oi m ll fu z vb k -0.0366 -0.1202 -0.0644 -0.0045 0.061 0.0822 0.0803 0.1588 0.1354 0.1278 0.0609 0.0383 0.0115 0.004 -0.0312 -0.0141 0.0042 0.0063 0.0253 0.0042 -0.0078 -0.0522 -0.0487 -0.0338 -0.025 -0.027 -0.0465 -0.0508 -0.0818 -0.0845 Winner minus Loser -0.0127 -0.0368 -0.0345 -0.0224 -0.0264 -0.047 -0.0401 -0.0702 -0.0424 -0.0229 -0.031 -0.0117 0.0038 -0.0203 0.0073 0.0055 0.0059 0.0041 -0.0168 -0.035 -0.0302 -0.0388 -0.0098 -0.0443 -0.0716 -0.0354 -0.0378 -0.0143 -0.0042 0.0133 om l.c gm an Lu n va re y te -0.0493 -0.157 -0.0989 -0.0269 0.0346 0.0352 0.0402 0.0886 0.093 0.1049 0.0299 0.0266 0.0153 -0.0163 -0.0239 -0.0086 0.0101 0.0104 0.0085 -0.0308 -0.038 -0.091 -0.0585 -0.0781 -0.0966 -0.0624 -0.0843 -0.0651 -0.086 -0.0712 jm Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 ht -0.0311 -0.0205 -0.0009 -0.031 -0.0242 0.0831 0.1055 0.0472 0.0357 0.0315 0.0084 0.0019 -0.0961 -0.0312 -0.0181 -0.0538 -0.091 -0.0099 0.0211 0.0313 -0.0282 -0.0475 -0.0446 -0.1 -0.0408 -0.0024 -0.0173 0.0058 -0.0271 -0.0184 an lu la ip uy 0.0583 0.0833 0.0327 -0.0219 -0.0172 -0.0341 0.0444 0.0828 0.0662 0.0656 0.077 0.0706 0.0696 -0.0003 0.0081 0.0836 0.0739 0.0416 0.0049 -0.0315 -0.0672 -0.1153 -0.1569 -0.1748 -0.1601 -0.06 -0.0475 -0.077 -0.0334 -0.0218 Month n va 0.0272 0.0628 0.0318 -0.0529 -0.0414 0.049 0.1499 0.13 0.1019 0.0971 0.0854 0.0725 -0.0265 -0.0315 -0.01 0.0298 -0.0171 0.0317 0.026 -0.0002 -0.0954 -0.1628 -0.2015 -0.2748 -0.2009 -0.0624 -0.0648 -0.0712 -0.0605 -0.0402 th Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Average Average return of return of Winner Loser Portfolio Portfolio Winner minus Loser th 72 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B15: The average return of Winner and Loser Portfolios and their difference in J=12/K=9 Strategy (Formation Period: 12 months; Holding Period: months) tn gh p ie Month w n th yj tz n oi m ll fu z k jm -0.0182 -0.0035 -0.0118 0.0231 0.0411 0.0701 0.0945 0.1205 0.1139 0.0835 0.0551 0.0321 0.0248 0.0285 0.0125 -0.005 -0.0161 -0.0064 -0.0144 -0.0121 -0.0145 -0.0143 -0.0328 -0.0377 -0.0404 -0.0366 -0.0472 -0.0553 Winner minus Loser -0.0172 -0.0188 -0.0398 -0.0441 -0.0258 -0.0224 -0.0461 -0.0714 -0.0582 -0.0347 -0.0124 -0.0151 -0.0056 -0.0066 -0.0214 -0.0145 -0.0061 -0.0109 -0.0007 -0.0141 -0.0181 -0.0198 -0.0353 -0.02 -0.04 -0.0703 -0.0488 -0.0373 om l.c gm an Lu n va -0.0354 -0.0223 -0.0516 -0.021 0.0153 0.0477 0.0484 0.0491 0.0557 0.0488 0.0427 0.017 0.0192 0.0219 -0.0089 -0.0195 -0.0222 -0.0173 -0.0151 -0.0262 -0.0326 -0.0341 -0.0681 -0.0577 -0.0804 -0.1069 -0.096 -0.0926 ht Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 vb -0.007 0.019 0.0276 -0.0104 0.0345 0.052 0.0381 0.0183 0.0028 -0.0084 -0.0001 -0.0875 -0.0741 -0.0369 -0.0437 -0.0923 -0.0331 -0.0011 -0.0112 -0.0711 -0.0311 -0.0255 -0.0258 -0.0293 -0.0255 -0.0163 0.0081 -0.0017 Average Average return of return of Winner Loser Portfolio Portfolio Month an lu la ip uy 0.0486 0.0642 -0.0022 -0.0072 0.0464 0.0426 0.05 0.0436 0.0439 0.0489 0.0408 0.0504 0.0797 0.0471 0.0342 0.0409 0.0207 -0.0347 -0.0558 -0.0697 -0.0647 -0.1144 -0.0701 -0.1111 -0.1187 -0.0955 -0.0737 -0.072 -0.0556 Winner minus Loser n va 0.0416 0.0832 0.0254 -0.0072 0.036 0.0771 0.102 0.0817 0.0622 0.0517 0.0324 0.0503 -0.0078 -0.027 -0.0027 -0.0028 -0.0716 -0.0678 -0.0569 -0.0809 -0.1358 -0.1455 -0.0956 -0.1369 -0.148 -0.121 -0.09 -0.0639 -0.0573 ad lo Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Average Average return of return of Winner Loser Portfolio Portfolio re y te th 73 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table B16: The average return of Winner and Loser Portfolios and their difference in J=12/K=12 Strategy (Formation Period: 12 months; Holding Period: 12 months) tn gh p ie Month w n th yj tz n oi m ll fu z vb -0.044 0.0119 0.0324 0.0309 0.0137 0.0396 0.066 0.0592 0.065 0.0625 0.0791 0.0647 0.0623 0.0357 0.0284 0.0148 -0.0064 -0.0179 -0.0298 -0.0168 -0.0147 -0.008 -0.0172 -0.024 -0.0432 -0.0537 -0.0414 0.0027 -0.029 -0.0286 -0.0268 -0.0376 -0.0371 -0.0339 -0.0226 -0.0342 -0.0432 -0.0407 -0.027 -0.0195 -0.0191 -0.0185 -0.0119 -0.0116 -0.0091 -0.0102 -0.0055 -0.0087 -0.0146 -0.0169 -0.0188 -0.0349 -0.0262 -0.0478 om l.c gm an Lu -0.0413 -0.0171 0.0038 0.0041 -0.0239 0.0025 0.0321 0.0366 0.0308 0.0193 0.0384 0.0377 0.0428 0.0166 0.0099 0.0029 -0.018 -0.027 -0.04 -0.0223 -0.0234 -0.0226 -0.0341 -0.0428 -0.0781 -0.0799 -0.0892 Winner minus Loser k Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 jm 0.0228 -0.0059 -0.0263 0.0148 0.0497 0.0516 0.034 0.0123 0.0023 -0.0362 -0.0441 -0.0876 -0.0799 -0.0354 -0.035 -0.0732 -0.0455 -0.0129 -0.0319 -0.0642 -0.0404 -0.0292 -0.0353 -0.025 -0.0165 -0.014 ht Month an lu la ip uy 0.0534 0.0868 0.0509 0.0288 0.0218 0.0149 0.0378 0.0273 0.0346 0.0572 0.0639 0.0673 0.064 0.0184 -0.0291 -0.023 -0.044 -0.0513 -0.056 -0.0091 -0.0194 -0.076 -0.0913 -0.1095 -0.1019 -0.0932 -0.061 Average Average return of return of Winner Loser Portfolio Portfolio Winner minus Loser n va 0.0534 0.1096 0.045 0.0025 0.0366 0.0646 0.0894 0.0613 0.0469 0.0595 0.0277 0.0232 -0.0236 -0.0615 -0.0645 -0.058 -0.1172 -0.0968 -0.0689 -0.041 -0.0836 -0.1164 -0.1205 -0.1448 -0.1269 -0.1097 -0.075 ad lo Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Average Average return of return of Winner Loser Portfolio Portfolio n va re y te th 74 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C1: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=3) strategy tn gh p ie Paired Samples Statistics Mean w Pair N n Std Error Mean ReturnL 009093 72 1112028 0131054 ReturnW -.013969 72 1024642 0120755 ad lo Paired Samples Correlations th N yj uy Pair Std Deviation ReturnL & ReturnW Correlation 72 Sig .786 000 an lu la ip Mean Std Deviation 0230625 0704474 Mean Lower m ll fu ReturnL ReturnW n va Pair Paired Samples Test Paired Differences 95% Confidence Interval of the Difference Std Error 0083023 0065082 Upper t 0396168 2.778 df Sig (2-tailed) 71 007 tz n oi Table C2: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=6) strategy z Std Deviation Std Error Mean 69 0693194 0083451 ReturnW -.006994 69 0842553 0101431 l.c gm 008788 k ReturnL jm Pair N ht Mean vb Paired Samples Statistics N ReturnL & ReturnW 69 Sig .861 Lu Pair Correlation om Paired Samples Correlations 000 an va Paired Samples Test 0051693 0054674 Upper 0260978 t 3.053 df Sig (2-tailed) 68 75 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 003 th 0429396 Lower y te 0157826 Mean re ReturnL ReturnW Std Deviation n Pair Mean Paired Differences 95% Confidence Interval of the Difference Std Error (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C3: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=9) strategy tn gh p ie Paired Samples Statistics Mean w Pair N Std Deviation Std Error Mean n ReturnL 006773 66 0567266 0069826 ReturnW -.004079 66 0618026 0076074 ad lo th yj Paired Samples Correlations Pair ip uy N ReturnL & ReturnW Correlation 66 Sig .862 000 an lu la Paired Samples Test n va Paired Differences 95% Confidence Interval of the Difference Std Error 0108515 0314995 Mean Lower 0038773 t Upper 0031080 0185951 df 2.799 Sig (2-tailed) 65 007 tz n oi ReturnL ReturnW Std Deviation m ll fu Pair Mean z Table C4: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=3/K=12) strategy vb Std Deviation Std Error Mean 007530 63 0517789 0065235 ReturnW -.004087 63 0584398 0073627 om l.c gm ReturnL k Pair N jm Mean ht Paired Samples Statistics Paired Samples Correlations ReturnL & ReturnW 63 Sig .910 an Pair Correlation Lu N 000 n va 0116175 0243265 Mean Lower 0030649 0054909 Upper 0177440 th ReturnL ReturnW Std Deviation Paired Differences 95% Confidence Interval Std of the Difference Error y te Pair Mean re Paired Samples Test t 3.791 df Sig (2-tailed) 62 76 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 000 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C5: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=3) strategy tn gh p ie Paired Samples Statistics Mean w Pair N Std Deviation Std Error Mean n ReturnL 010851 69 1080747 0130107 ReturnW -.017445 69 1164953 0140244 ad lo th yj Paired Samples Correlations Pair ip uy N ReturnL & ReturnW Correlation 69 Sig .801 000 an lu la Paired Samples Test n va Paired Differences 95% Confidence Interval of the Difference Std Error 0282957 0712812 Mean 0085812 Lower t Upper 0111720 0454193 df 3.297 Sig (2-tailed) 68 002 tz n oi ReturnL ReturnW Std Deviation m ll fu Pair Mean z Table C6: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=6) strategy vb Std Deviation Std Error Mean 005923 66 0717814 0088357 ReturnW -.010538 66 0858055 0105619 l.c gm ReturnL k Pair N jm Mean ht Paired Samples Statistics N ReturnL & ReturnW 66 Sig .893 Lu Pair Correlation om Paired Samples Correlations 000 an va Paired Samples Test 0047953 0068838 Upper 0260374 t 3.433 df Sig (2-tailed) 65 77 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 001 th 0389569 Lower y te 0164606 Mean re ReturnL ReturnW Std Deviation n Pair Mean Paired Differences 95% Confidence Interval of the Difference Std Error (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C7: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=9) strategy tn gh p ie Paired Samples Statistics Mean w Pair N Std Deviation Std Error Mean n ReturnL 001278 63 0560527 0070620 ReturnW -.011011 63 0648093 0081652 ad lo th yj Paired Samples Correlations Pair ip uy N ReturnL & ReturnW Correlation 63 Sig .904 000 an lu la Paired Samples Test n va Paired Differences 95% Confidence Interval of the Difference Std Error 0122889 0278651 Mean Lower 0035107 t Upper 0052711 0193066 df 3.500 Sig (2-tailed) 62 001 tz n oi ReturnL ReturnW Std Deviation m ll fu Pair Mean z Table C8: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=6/K=12) strategy vb Std Deviation Std Error Mean 003820 60 0531356 0068598 ReturnW -.011123 60 0587922 0075900 l.c gm ReturnL k Pair N jm Mean ht Paired Samples Statistics ReturnL & ReturnW 60 Sig .902 000 an Pair Correlation Lu N om Paired Samples Correlations va 0253331 Mean Lower 0032705 0083991 Upper 0214876 t 4.569 df Sig (2-tailed) 59 78 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 000 th 0149433 Paired Differences 95% Confidence Interval of the Difference Std Error y te ReturnL ReturnW Std Deviation re Pair Mean n Paired Samples Test (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C9: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=3) strategy tn gh p ie Paired Samples Statistics Mean w Pair N n Std Error Mean ReturnL 001215 66 1018164 0125327 ReturnW -.013812 66 1170498 0144078 ad lo Paired Samples Correlations th N yj uy Pair Std Deviation ReturnL & ReturnW Correlation 66 Sig .850 000 la ip an lu Paired Samples Test Mean Std Deviation 0150273 0617361 Mean Lower Upper 0075992 -.0001494 0302039 t df 1.977 Sig (2-tailed) 65 052 n oi m ll fu ReturnL ReturnW n va Pair Paired Differences 95% Confidence Interval of the Difference Std Error tz Table C10: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=6) strategy z Std Deviation Std Error Mean -.000354 63 0721406 0090889 ReturnW -.010997 63 0899648 0113345 k ReturnL jm Pair N ht Mean vb Paired Samples Statistics l.c gm N ReturnL & ReturnW 63 Sig .910 Lu Pair Correlation om Paired Samples Correlations 000 an va Paired Samples Test 0048586 0009306 Upper 0203551 t 2.191 df Sig (2-tailed) 62 79 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 032 th 0385642 Lower y te 0106429 Mean re ReturnL ReturnW Std Deviation n Pair Mean Paired Differences 95% Confidence Interval of the Difference Std Error (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C11: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=9) strategy tn gh p ie Paired Samples Statistics Mean w Pair N n Std Error Mean ReturnL 001168 60 0577317 0074531 ReturnW -.013718 60 0651826 0084150 ad lo Paired Samples Correlations th N yj ReturnL & ReturnW Correlation 60 Sig .898 000 la ip uy Pair Std Deviation Paired Samples Test an lu Mean Std Deviation 0148867 0287110 Mean Lower m ll fu ReturnL ReturnW n va Pair Paired Differences 95% Confidence Interval of the Difference Std Error 0037066 Upper 0074698 t 0223035 df 4.016 Sig (2-tailed) 59 000 n oi tz Table C12: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=9/K=12) strategy z Std Deviation Std Error Mean 004667 57 0526694 0069762 ReturnW -.014268 57 0602593 0079815 gm 57 Sig .891 000 an Lu ReturnL & ReturnW Correlation om Pair l.c Paired Samples Correlations N k ReturnL jm Pair N ht Mean vb Paired Samples Statistics 0036282 0116669 Upper 0262033 t 5.219 df Sig (2-tailed) 56 80 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 000 th 0273923 Lower y te 0189351 Mean re ReturnL ReturnW Std Deviation Paired Differences 95% Confidence Interval Std of the Difference Error n Pair Mean va Paired Samples Test (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C13: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=3) strategy tn gh p ie Paired Samples Statistics Mean w Pair N n -.003749 63 1018228 0128285 ReturnW -.019383 63 1203549 0151633 Paired Samples Correlations th N yj ReturnL & ReturnW Correlation 63 000 Paired Samples Test an lu la Mean Std Deviation 0156333 0630585 Paired Differences 95% Confidence Interval of the Difference Std Error n va Mean m ll fu ReturnL ReturnW Sig .852 ip uy Pair Std Error Mean ReturnL ad lo Pair Std Deviation 0079446 Lower Upper -.0002478 0315144 t df 1.968 Sig (2-tailed) 62 054 n oi tz Table C14: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=6) strategy Std Deviation Std Error Mean ht -.001422 60 0717755 0092662 ReturnW -.019410 60 0829858 0107134 k ReturnL jm Pair N vb Mean z Paired Samples Statistics l.c gm Paired Samples Correlations ReturnL & ReturnW 60 Sig .899 000 an Lu Pair Correlation om N Lower 0047030 0085777 Upper 0273990 t 3.825 df Sig (2-tailed) 59 81 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 000 th 0364293 Mean y te 0179883 Paired Differences 95% Confidence Interval of the Difference Std Error re ReturnL ReturnW Std Deviation n Pair Mean va Paired Samples Test (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market to Table C15: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=9) strategy tn gh p ie Paired Samples Statistics Mean w Pair N Std Deviation Std Error Mean n ReturnL 001579 57 0573630 0075979 ReturnW -.019600 57 0641303 0084943 ad lo th yj Paired Samples Correlations Pair ip uy N ReturnL & ReturnW Correlation 57 Sig .889 000 an lu la Paired Samples Test n va Paired Differences 95% Confidence Interval of the Difference Std Error 0211789 0293178 Mean Lower 0038832 t Upper 0133999 0289580 5.454 df Sig (2-tailed) 56 000 tz n oi ReturnL ReturnW Std Deviation m ll fu Pair Mean z Table C16: The average monthly return of Loser portfolio compare to the one of Winner portfolio in (J=12/K=12) strategy vb Std Deviation Std Error Mean 003915 54 0512852 0069790 ReturnW -.017980 54 0604985 0082328 l.c gm ReturnL k Pair N jm Mean ht Paired Samples Statistics ReturnL & ReturnW 54 Sig .897 000 an Pair Correlation Lu N om Paired Samples Correlations va 0268918 Mean Lower 0036595 0145544 Upper 0292345 t 5.983 df Sig (2-tailed) 53 82 (Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market(Luận.văn).whether.momentum.or.contrarian.phenomenon.exist.in.vietnam.stock.market 000 th 0218944 Paired Differences 95% Confidence Interval of the Difference Std Error y te ReturnL ReturnW Std Deviation re Pair Mean n Paired Samples Test