Lunar effect and other Calendar effects: Evidence from Vietnamese stock market
Tran, Thuy (2015)
Kuvaus
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Tiivistelmä
There are beliefs that the Moon affects human behaviors and behavioral biases impact investors’ decisions. Although these topics have been well studied in developed stock markets for years, it is still subjected to shortage of academic attentions in Vietnamese market. As a result, this deficiency motivated the author to perform a systematic test in this stock market. The thesis investigates the associations of lunar cycle and other Calendar effects with stock market returns in Vietnam. The sample includes returns of seven major indexes as well as twenty industry indexes over the period of 2009 to 2014. The relationships are tested by econometric analyses with selected indexes as dependent variables and dummy variables of respective anomalies as interested objects.
The empirical findings suggest that there is little evidence supporting the existence of anomalies in Vietnamese stock market. Regarding lunar effect, although the daily returns during full moon periods are consistently lower than that of the new moon period, the results are not statistically significant. Moreover, we only acquire the appearance of January effect in Vietnamese stock market for the chosen five-year period and the coefficients are statistically significant at least at 5% level. However, similar to lunar effect, the presences of Weekend effect, Intra-month effect and Turn-of-the-month effect are not confirmed.
The empirical findings suggest that there is little evidence supporting the existence of anomalies in Vietnamese stock market. Regarding lunar effect, although the daily returns during full moon periods are consistently lower than that of the new moon period, the results are not statistically significant. Moreover, we only acquire the appearance of January effect in Vietnamese stock market for the chosen five-year period and the coefficients are statistically significant at least at 5% level. However, similar to lunar effect, the presences of Weekend effect, Intra-month effect and Turn-of-the-month effect are not confirmed.