1. Trang chủ
  2. » Tài Chính - Ngân Hàng

Stock return seasonalities in the vietnamese stock market

29 66 0

Đang tải... (xem toàn văn)

Tài liệu hạn chế xem trước, để xem đầy đủ mời bạn chọn Tải xuống

THÔNG TIN TÀI LIỆU

Thông tin cơ bản

Định dạng
Số trang 29
Dung lượng 193,27 KB

Nội dung

Tên tiếng Việt: Tính thời vụ của lợi tức cổ phiếu trên thị trường chứng khoán Việt Nam TABLE OF CONTENTSABSTRACT11INTRODUCTION12LITERATURE REVIEW33METHODOLOGY113.1DATA113.2JANUARY EFFECT113.2.1Hypothesis113.2.2Model113.3DAY OF THE WEEK EFFECT123.3.1Hypothesis123.3.2Model124RESULT AND DISCUSSION134.1JANUARY EFFECT134.1.1Descriptive data134.1.2Results of OLS estimation154.2FRIDAY EFFECT164.2.1Descriptive data164.2.2Results of OLS estimation185CONCLUSION19REFERENCES22 LIST OF TABLESThe list below shows the tables included in the paper and the page on which each one is located.Name of tablePageTable 1. Descriptive statistic of the 3 indexes for 12 months13Table 2. Estimated results of the January effect model15Table 3. Statistic description of VNIndex daily return16Table 4. Statistic description of HNXIndex daily return17Table 5. Statistic description of UPCOM daily return17Table 6. Estimated results of the Friday effect model18TABLE OF ABBREVIATIONSThe following table describes the significant of various abbreviations and acronyms used throughout the paper. The the page on which each one is defined or first used is also given.AbbreviationMeaningPageHNXHanoi Stock Exchange19HNXIndexHanoi Stock Exchange Index6HOSEHo Chi Minh Stock Exchange19TOMTurnofthemonth8UPCOMComposite index of the Unlisted Public Company Market6UPCoMUnlisted Public Company Market14VNIndexHo Chi Minh Stock Exchange Composite Index6 ABSTRACTIn this paper, we focus on explaining the existence of seasonality in monthly and weekly rates of return on the Vietnamese Stock Market over 12 years, from January 2010 to January 2021. Vietnamese Stock Market, as its nature, is a significant emerging market, which is attentively attended by both domestic investors and foreign investors. The investors’ purpose is mainly seeking opportunities to earn abnormal returns through the market and such market efficiency is named anomaly of which seasonality is one pattern. We test the seasonality in the Vietnamese Stock Market using monthly and weekly rates of return of three Vietnamese Stock Exchanges. This research is carried out by Quantitative research method and OLS estimation. The results indicated that the Vietnamese Stock Market is not fully efficient yet. The research also found that there certainly is seasonality in monthly rates of return on the Vietnamese Stock Market, of which January generates the most significant positive returns. Moreover, the research proved the existence of seasonality in weekly rates of return on the Vietnamese Stock Market, of which Friday generates the most significant positive returns. This result shows that the Vietnamese Stock Market is influenced by the socalled “January effect” and “Friday effect”.Keywords: Vietnamese Stock Market, seasonality, January effect, Friday effect.1INTRODUCTIONEver since the recognition of seasonality in stock return, it has remained a hard yet interesting challenge for researchers to confront. The reason behind this attention to seasonality in stock return is that seasonality in stock return could be an important factor in building and explaining capital market theory, capital market efficiency, and the nature of the distribution of stock returns. Much research has been carried out whose purpose is to find out whether the monthly and weekly pattern in stock returns exist and to test hypotheses explaining such pattern. However, the results are diverse and some are even contradictory to others. Research carried out by Bonin and Moses (1974) and Officer (1975) is typical research that found out the seasonality in the stock returns. Bonin and Moses (1974) concluded that seasonality had existed in individual stock returns for reasonably long periods and expressed their suggestion for further research concerning variables that served as causal factors for this phenomenon. Officer (1975) found out the existence of seasonality using Australian share market data and suggested research for underlying causes of this seasonality. The research by Granger and Morgenstern (1963, 1970), on the other hand, indicated that the seasonal variations which also means seasonality herein were small, insignificant and that such seasonal variations could not play as a factor for predictability of market prices. According to Predictability of Stock Market Prices (1971), the variations of stock market prices were random on longterm and undetectable trends. The lack of consensus in older research is due to limited evidence and the application of different techniques to measure seasonality. The similarities between the research are the omission of possible causal factors of seasonality and the use of seasonality for finance models and estimations. Also, there are only a little research and papers relating to seasonality that could be applied to emerging markets. Realizing the shortcomings and the diversity in results of precedent research, we decided to carry out this research concerning stock return seasonalities in the Vietnamese stock market. We herein put our attention on finding the existence of seasonality in the monthly cycle and daily cycle and giving our possible explanations as well as further discussions. With the monthly cycle, we focus and also realize the “January effect” in the Vietnamese stock market. “January effect” means that the stock market has a tendency to increase between the last day of December and the end of the first week of January. The main reason for this effect is that the investors decide to sell their stocks right before the end of the year in order to claim a capital loss for tax purposes and that the investors want to play it safe with their investments (In the Vietnamese stock market, the stock exchanges close on the Tet holiday at the beginning of the year, which makes it riskier for investors to hold their stocks). Therefore, the stocks’ prices go down at the end of the year and go up again at the beginning of the year when the investors start buying back the stocks. With the daily cycle, we found that there is a “Day of the week effect” which briefly means that the stock market’s average return tends to be especially higher or lower in a specific day in the week. That day in the Vietnamese stock market that has been found by us is Friday, and such special pattern on Friday is called the “Friday effect”.We extracted the data from three Vietnamese Stock Exchanges between January 2010 and January 2021: VNIndex (Ho Chi Minh Stock Exchange Composite Index), HNXIndex (Hanoi Stock Exchange Index), and UPCOM (a composite index of the Unlisted Public Company Market). The Vietnamese market is emerging dramatically, which builds a firm foundation for the development and dynamic of the Vietnamese stock market. With that promising characteristics, the Vietnamese stock market may become a prospect of investment for both domestic and foreign investors, and this research is made with a view to supply information for the knowledgeable as well as enthusiastic investors and researchers if that day would come.This paper is developed and organized in the following order. The second section would be Literature Review, which brings out older research and some more detailed definitions used throughout our research. The third section is Methodology where we build our models and test the models. This is followed by Result and Discussion, the main objective of which is to present the results of the models, explain the results and give our possible further opinions upon the models and their results. The final section should be Conclusion which contains outstanding and remarkable points of our research.

Ngày đăng: 07/07/2021, 21:45

TỪ KHÓA LIÊN QUAN

w