1. SEASONALITY in the Vietnam Stock Index
H. Swint Friday, Ph.D. and Nhung Hoang
Texas A&M University – Corpus Christi, TX, USA
International Conference of Management, Economics, and Social Sciences
Bangkok, Thailand – Dec 23-24, 2011

2. EMERGING MARKET SHARE

3. VIETNAM INSIGHT One of the fastest-growing economies in Asia
GDP growth rate (1990 – 2010)

4. ASIAN PACIFIC MARKET P/E’s
(Source: Bloomberg, Data as of Dec 09, 2011)

5. VIETNAM MARKET PERFORMANCE
Source: VNDirect (Dec 09,2011)

6. Previous Literature - January Effect
Wachetel (1942) first document the January effect in stock returns
Keim (1983): abnormal January returns for NYSE and AMEX common stocks over the period 1963– 1979
Three proposed explanations:
Tax-loss hypothesis
Gamesmanship hypothesis
Window dressing hypothesis

7. INTERNATIONAL MARKETS
January effect: Canada, Japan, Ghana, Taiwan, Malaysia
Monthly effect: Jamaica, Asian Pacific countries (Australia, china, HongKong, India, Indonesia, and South Korea)
January effect NOT observed in Greek, Nigerian, Zimbabwean, Ukrainian, Kuwait, Amsterdam, Colombo stock market

8. Previous Literature – HaLLOWEEN EFFECT
“Sell in May and go away until Halloween day”
Riepe (2003): S&P 500 Index from Jan 1925 to Mar 2003
Bouman & Jacobsen (2002): Halloween effect observed in Argentina, Austria, Australia, Belgium, Brazil, Canada, Chile, Denmark, Finland, France, Germany, Greece, Hong Kong, Indonesia, Ireland, Italy, Japan, Jordan, Korea, Malaysia, Mexico, Netherlands, Norway, Philippines, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, The United Kingdom, and The United States.
Two explanations:
Summer vocation
Changes in fundamental factors

9. VIETNAM STOCK MARKET RESEARCH DATA
Examine the VN-Index in over a 10 year period from its establishment on July 28th, 2000 to December 31st, 2010.
Due to the small number of firms traded prior to 2005, the category mean monthly returns are also calculated from August 2000 through December 2004 and from January through December 31st, 2010.
VN-Index monthly returns are calculated from daily returns using the following equation:

10. TABLE I MEAN MONTHLY RETURNS AND MEAN MONTHLY TRADING VOLUME

11. TABLE II MONTHLY RETURNS FROM 8/2000 – 12/2010

12. TEST TAX LOSS SELLING HYPOTHESIS
REGRESSION MODEL
January return = f(prior years return, prior years standard deviation of returns).
 RESULTS:

13. TABLE IV : MEAN MONTHLY RETURNS FOR MONTHS FROM NOVEMBER THROUGH APRIL

14. TABLE V: MEAN MONTHLY RETURNS FOR MONTHS FROM MAY THROUGH OCTOBER

15. TABLE VI: DIFFERENCE IN HOLDING PERIOD RETURN ANALYSIS

16. TABLE VII: COMPARISON OF THE AVERAGE MONTHLY RAINFALL AND AVERGAGE MEAN MONTHLY RETURNS

17. CONSLUSIONS Evidence against tax-loss selling hypothesis.
This result provides support for the January Effect in the Vietnam Stock Index.
Evidence against tax-loss selling hypothesis.
Halloween effect was present in Vietnam market.
April is a good month to exit the market
The authors posit rainy season (May – Oct) as a Halloween effect explanation in Asian markets.