Empirical evidence of calendar effects on Vietnammese stock market

Abstract

This study investigates the existence and persistence of calendar effects in the Vietnamese stock market, specifically focusing on the Monday effect, the January effect, the Lunar New Year effect, the Pre-Holiday effect, and the Turn-of-the-month effect. Using data from the VN-Index from 2002 to 2024, this research employs a combination of descriptive statistics, GARCH regression analysis, and inferential statistics to analyze the data. The results show that some calendar effects are significant in the Vietnamese stock market. The findings of this research contribute to the existing literature on calendar effects in Vietnam stock markets and provide insights for investors and portfolio managers in Vietnam