AN EMPIRICAL TEST OF CALENDAR EFFECTS IN VIETNAM STOCK MARKET

AbstractThis paper examines five popular calendar effects using closing prices of VN – Index overthe period 2000 – 2014. Results of OLS regression show that while there is little evidenceconfirming the existence of some seasonal anomalies like weekend, January and Halloweeneffects, holiday and TOM effects assuredly exist on HOSE. One interesting finding is thatthere is some evidence for the presence of Tuesday effect. To specify, over the subperiod2010 – 2014, the mean return for Tuesday is significantly negative and all mean returnsfor Wendnesday, Thursday and Friday are significantly higher than that for Tuesday. Thesefindings 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.