| dc.description.abstract | This study has been devoted to investigate the existence and persistence of
seasonality effect including day of the week effect, January effect and semi-month effect
in Ho Chi Minh Stock Exchange (HOSE). The stock returns and seasonality effects are
tested using the statistical model, especially T-test during eight-year period from 2003 to
2008. In addition, the whole period is also divided into 3 sub-periods so as to test the
persistence of these effects over investigated periods. The empirical investigation reveals
that the evidence of day of the week effect in HOSE as long with the January effect.
These effects are over times and consistent with many Western literatures. In this study
other effects are also found such as: negative July effect, positive February effect, etc, but
they are not stable over times. On the other hand, the semi-month effect does not exist in
HOSE. Therefore, the Vietnam stock market is not efficient at least in weak-form
hypothesis, as the result the investors have the opportunities to carry out the abnormal
earning. | en_US |
