IDEAS home Printed from https://ideas.repec.org/a/air/journl/v10y2023i10p861.html

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

Author

Listed:
  • Hoang Thi Du
  • Nguyen Xuan Tho

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.

Suggested Citation

Handle: RePEc:air:journl:v:10:y:2023:i:10:p:861
DOI: 10.5281/zenodo.17563329
as

Download full text from publisher

File URL: https://www.ijmae.com/article_184175_453daaaab81bab40a7a14ed809e86dc5.pdf
Download Restriction: no
File URL: https://libkey.io/10.5281/zenodo.17563329?utm_source=ideas
LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
---><---

More about this item

Keywords

;
;
;
;
;
;

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:air:journl:v:10:y:2023:i:10:p:861. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Behzad Hassannezhad Kashani (email available below). General contact details of provider: https://www.ijmae.com/ .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.