The January effect on stock return and stock return volatylity : The evidence in Ho Chi Minh Stock Exchange (HOSE)

Abstract

This study aims to investigate the evidence of a January effect existence in stock returns and volatility in the Ho Chi Minh Stock Exchange (HOSE). After collecting data from daily price of the VN-Index over the period from 2009 to 2014, this study uses GARCH (1,1) regression models to check for the presence of the January effect on stock market returns and volatility. The regression analysis shows the evidence supporting the January effect in the market. A positive coefficient in variance mean equation and negative coefficient in variance equation are found in January. These figures confirm the phenomenon of higher return and lower volatility in January compared to the other months. The study also documents the highest volatility in May and the lowest return in February.