IDEAS home Printed from https://ideas.repec.org/a/eco/journ1/2021-02-4.html
   My bibliography  Save this article

The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market

Author

Listed:
  • Loc Dong Truong

    (College of Economics Can Tho University, Vietnam, 3/2 Street, Xuan Khanh Ward, Ninh Kieu district, Can Tho City, Vietnam,)

  • H. Swint Friday

    (Texas A&M University RELLIS, RELLIS Campus, Bryan, Texas 77807, USA.)

Abstract

This analysis investigates the influence of the timing of the Lunar New Year on the January effect for the Vietnam stock market. The data selected for this study is a weekly series of the market index (VN-Index) over the period from January 7, 2009 through December 26, 2018. To test for the presence of the January effect and the impact of timing of the Lunar New Year on the January anomaly, OLS and GARCH(1,1) regression models are employed. The empirical findings obtained from these models confirm the existence of the January effect during this period in the Vietnam stock market. However, the analysis reveals that the January effect is only in existence when the Lunar New Year is in February, but it is disappearing when the Lunar New Year falls in January. These findings suggest that Lunar New Year has a significant impact on the January anomaly in the Vietnam stock market providing evidence against tax loss selling while supporting other holiday and window dressing hypotheses for this widely documented seasonal phenomenon.

Suggested Citation

  • Loc Dong Truong & H. Swint Friday, 2021. "The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(2), pages 28-34.
    • Handle: RePEc:eco:journ1:2021-02-4
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijefi/article/download/10928/pdf
    Download Restriction: no
    File URL: https://www.econjournals.com/index.php/ijefi/article/view/10928/pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    2. Peter Huber, 1997. "Stock market returns in thin markets: evidence from the Vienna Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 493-498.
    3. Adam Zaremba, 2015. "The January seasonality and the performance of country-level value and momentum strategies," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 195-209.
    4. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    5. George Athanassakos, 2002. "The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada," Multinational Finance Journal, Multinational Finance Journal, vol. 6(1), pages 1-27, March.
    6. Phung Thai Minh Trang & Nguyen Huu Tho, 2017. "Perceived Risk, Investment Performance and Intentions in Emerging Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 269-278.
    7. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    9. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    10. Paul McGuinness & Richard Harris, 2011. "Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 917-929.
    11. Stilianos Fountas & Konstantinos N. Segredakis, 1999. "Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis," Working Papers 37, National University of Ireland Galway, Department of Economics, revised 1999.
    12. Der-Yuan Yang & Chen-Hsun Lee, 2016. "The solar and lunar divide and the impact on Taiwan’s stock returns," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1177153-117, December.
    13. Mario Reyes, 2001. "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 206-213, June.
    14. Praveen Kumar Das & S P Uma Rao, 2011. "Value Premiums And The January Effect: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 1-15.
    15. Tinic, Seha M. & Barone-Adesi, Giovanni & West, Richard R., 1987. "Seasonality in Canadian Stock Prices: A Test of the “Tax-Loss-Selling†Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 51-63, March.
    16. Seyed Mehdian & Mark Perry, 2002. "Anomalies in US equity markets: a re-examination of the January effect," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 141-145.
    17. Nha Duc Bui & Loan Thi Bich Nguyen & Nhung Thi Tuyet Nguyen & Gordon Frederick Titman, 2018. "Herding in frontier stock markets: evidence from the Vietnamese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 59-81, November.
    18. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-550, November.
    19. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
    2. Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.
    3. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
    4. Fatta Bahadur K.C. Ph. D. & Nayan Krishna Joshi, 2005. "The Nepalese Stock Market: Efficient and Calendar Anomalies," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 17, pages 40-85, April.
    5. Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
    6. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.
    7. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
    8. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.
    9. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
    10. Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
    11. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    12. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    13. Milionis, Alexandros E., 2007. "Efficient capital markets: A statistical definition and comments," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 607-613, March.
    14. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    15. Idil Uz Akdogan, 2023. "Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(3), pages 625-655, August.
    16. Yudong Wang & Chongfeng Wu, 2013. "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 393-414, December.
    17. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    18. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
    19. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 407-437, July.
    20. Cong, Ren & Lo, Alex Y., 2017. "Emission trading and carbon market performance in Shenzhen, China," Applied Energy, Elsevier, vol. 193(C), pages 414-425.

    More about this item

    Keywords

    The January effect; Lunar New Year influences; Vietnam stock market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G40 - Financial Economics - - Behavioral Finance - - - General

    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:eco:journ1:2021-02-4. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.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.