| dc.description.abstract | This paper analyses both the signaling effect and the anomalies to investigate whether the Vietnam stock market is efficient or not.
This paper tests the existence of the day of the week effect on stock market return and stock volatility by employing VNIndex in the period of between June 1st
2009 and December 28th 2012 .Using OLS and GARCH (1, 1) models, the study
indicates that Tuesday affects negatively on the stock market return and there is no effect of the day of the week effect on the volatility of the market return.
This paper also employs 485 events for 81 firms paying dividend continuously in the period from 2009 to 2012 to determine the effect of dividend announcement on stock returns. Abnormal returns gained from the market model are tested for statistical significance using the t test. The main finding of this part is there
are both negatively and positively significant relationship between cash dividend announcements and the abnormal returns not only before but also after the announcements in all three groups: increasing dividend, decreasing dividend and unchanging dividend prices are adjusted to new information after at least 12 days and there is existence of the leakage of information prior to the official dividend announcements.
Key words : Cash dividend announcements, abnormal returns, cumulative abnormal returns, study event, event window, the day of the week effect, OLS,
GARCH, Volatility | en_US |
