| dc.description.abstract | Stock market anomalies keep on holding a significant position as a challenging puzzler for researchers. Since Vietnam stock market is an emerging market, the influence of those market anomalies on Vietnam stock market is still dramatic high. Hence, to deeply understand the movement of stock market in Vietnam requires a fundamental knowledge about those anomalies. With the purpose with the purposes, three research questions are conducted: Does seasonality exist in Vietnamese stock Market? (RQ1); Is seasonality persistent over time? (RQ2); Does seasonality exist under industry level following the new sector list? (RQ3). After that, the literature review leads to the framework of this thesis which is to use the descriptive test and t-test in purpose of testing the seasonality effects such are: Day of the week, Weekend as well as Semi-monthly effect in VN-index as well as under the new applying sector list that are GICS provided by MSCI. The result shows that these seasonality effects exist in Vietnamese stock market. Specifically, the thesis also reveals the abnormal lower and higher returns on Monday and Friday in comparison with the other trading days in the week returns and the difference is significant for both anomalies. In addition, Tuesday effect and weekend effect as well as semi-monthly effect are also found to exist in Vietnam stock market. Lastly, under sector level, these seasonality effects takes place in most of the sectors especially the Friday effect. These findings also imply that Vietnamese stock market is not fully efficient. | en_US |
