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The Lunar New Year Effect on Stock Market Returns: Evidence from Ho Chi Minh Stock Exchange

Author

Listed:
  • Loc Dong Truong

    (School of Economics, Can Tho University, Can Tho City 94115, Vietnam)

  • H. Swint Friday

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

  • Dung Tri Nguyen

    (Faculty of Accounting—Finance and Banking, Tay Do University, Can Tho City 94115, Vietnam)

Abstract

This study is devoted to investigating the Lunar New Year effect on market returns for the Ho Chi Minh Stock Exchange (HOSE). The data employed in this study include a daily series of the VN30-Index, which is a market capitalization weighted index of 30 large capitalization and high liquidity stocks traded on the HOSE, for the period from 6 February 2012 to 31 December 2024. The empirical findings derived from ordinary least squares (OLS), exponential-generalized autoregressive conditional heteroskedasticity [EGARCH(1,1)] regression models consistently confirm that the average return in the last two days and five days before the Lunar New Year are significantly higher than the average market returns on other days of the year. However, this study finds that the average return during the first two trading days and five trading days following the Lunar New Year are not significantly different from the average market returns on other days throughout the year.

Suggested Citation

  • Loc Dong Truong & H. Swint Friday & Dung Tri Nguyen, 2025. "The Lunar New Year Effect on Stock Market Returns: Evidence from Ho Chi Minh Stock Exchange," JRFM, MDPI, vol. 18(8), pages 1-10, August.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:8:p:448-:d:1721877
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