| dc.description.abstract | As an emerging market, Viet Nam stock market would be a colorful situation which makes many researchers have attempted to find whether it is under the week form efficiency or not. Therefore, empirical testing of market efficiency anomalies is more common and draws much attention of investors. This study aims to investigate the performance of Seasonal effect on Viet Nam stock market by settling three research questions: (1) Does Seasonal effect exist in Ho Chi Minh stock exchange? (2) Is the Seasonal effect of persistent overtime throughout the sub-period? (3) Is the Seasonal effect performing under each industry sector listed by HOSE? The daily stock price of VN-index and 10 sector-indexes based on GISC standard are obtained during the 9-year period from 2010 to 2018. Thereby, the descriptive data test, F-test and T-test are applied to examine 4 types of Seasonal effect: Semi-month effect, Turn-of-month effect, Halloween effect and Weekend effect. The finding concludes that 4 types of Seasonal effect exist in the whole market during 2010-2018. However, the outcome of this finding shows an unstable trend among 3 investigated sub-periods. Lastly, the Seasonal anomalies have no regular appearances in each industry. This phenomenon is quite strong in Real Estate and Industries whereas it almost disappeared in those sectors related to consumer consumption. All in all, these findings state that Viet Nam stock market does not under the Week form efficiency hypothesis | en_US |
