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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 SEASONALITY IN THE VIETNAM STOCK INDEX

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EMERGING MARKET SHARE

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

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ASIAN PACIFIC MARKET P/Es (Source: Bloomberg, Data as of Dec 09, 2011)

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

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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

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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

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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

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VIETNAM STOCK MARKET RESEARCH DATA Examine the VN-Index in over a 10 year period from its establishment on July 28 th, 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 2005 through December 31st, 2010. VN-Index monthly returns are calculated from daily returns using the following equation:

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TABLE I MEAN MONTHLY RETURNS AND MEAN MONTHLY TRADING VOLUME

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TABLE II MONTHLY RETURNS FROM 8/2000 12/2010

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

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

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

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TABLE VI: DIFFERENCE IN HOLDING PERIOD RETURN ANALYSIS

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

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CONSLUSIONS 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.