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Calendar Anomalies: A Case Study of the Vietnam’s Stock Market

Document Type : Original Research

Authors

1 Faculty of Accounting and Finance, Nha Trang University, Nha Trang city, Vietnam

2 Faculty of Business, Greenwich Vietnam, FPT University, Danang Campus, Da Nang, Vietnam

Abstract

This study empirically investigated the existence of Calendar effects by using closing daily data for the Vietnam index (VN-index) before and during the Covid-19 pandemic. Daily returns of the VN-Index from 2 January 2018 to 12 August 2022 are used in this study to ascertain calendar anomalies in Ho Chi Minh Stock Exchange (HOSE). To test these effects, the entire study period is divided into two sub-periods: during and before the Covid-19 crisis. Then, the ordinary least square (OLS) method and the Generalized Autoregressive Conditional Heteroskedasticity [GARCH (1,1)] regression model were employed. The empirical results from the OLS model support the occurrence of calendar anomalies for the HOSE both before and during the Covid-19 pandemic while the results of GARCH (1,1) only confirmed the positively significant effect on Friday during the Covid-19 periods. Regarding stock returns, positive returns were found only on Friday, during the Covid-19 pandemic. It implies that Covid-19 has changed the nature of the stock market from efficient to inefficient. The study’s findings suggest that the Covid-19 crisis significantly impacted the daily returns anomaly in Vietnam’s HOSE.

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COPYRIGHTS

©2023 The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution (CC BY 4.0), which permits unrestricted use, distribution, and reproduction in any medium, as long as the original authors and source are cited. No permission is required from the authors or the publishers.

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International Journal of Management, Accounting and Economics
Volume 10, Issue 10 - Serial Number 111
October 2023
Pages 861-874
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