A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam

Pham Dan Khanh (), Pham Thanh Dat () and Bui Huy Nhuong ()

Edelweiss Applied Science and Technology, 2020, vol. 4, issue 1, 51-54

Abstract: This paper provides empirical evidence of the holiday effect in stock return and the implications of the holiday effect. The research finds that there are existing the high stock return before the Lunar new year on the Ho Chi Minh Stock Exchange during the period 2002-2018. This paper using the GARCH, Modified-GARCH, GARCH-M, and EGARCH models to test the holiday effect on stock return. The results indicate that there is evidence of holiday such as Chinese New Year in Vietnam which is called Lunar new year effect on stock return. Specifically, the stock return before the Lunar new year is usually higher than after the Lunar new year on the Ho Chi Minh Stock Exchange.

Keywords: Calendar effects; Efficient market hypothesis; Dummy variable regression; Holiday effect; VN-Index and Lunar New Year. (search for similar items in EconPapers)
Date: 2020
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