Shu - Te University College of Management Graduate School of Finance Empirical Research of January Effect in Vietnam Securities Market Student : Do Van Son Advisor : Dr. Juping Wu Dec, 2014 Empirical Research of January Effect in Vietnam Securities Market Student: Do Van Son Advisor: Dr. Juping Wu A Thesis Submitted to Department of Finance Shu-Te University In Partial Fulfillment of the Requirements For the Degree of Master of Finance Dec, 2014 [...]... the January Effect 2.1.1 January Effect in securities markets The January effect, also known as the turn -of- year effect, is a calendar effect wherein securities increase in value more rapidly than in other months Although in Vietnam there is no thorough research on the January Effect, there have many studies concerning the January Effect in the world 2.1.1.1 January Effect in Emerging Securities Market. .. taking advantage of some laws or seasonal effect in securities market Seasonal effects that many people are interested in are daily effect of a week, January effect, May effect, October effect One of the effects that many researchers are especially interested is January effect The January effect describes the abnormal return of stock prices in several weeks at the end of December and at the beginning... by 8,18% only in two days Therefore, the understanding behavior of investors in the market is very important for winning this market Inspite of its high fluctuation, Vietnam Securities Market is still an important investment channel for investors, from professional investment institutions to individual investors Therefore, it is very significant for 2 researchers in terms of the finding of its laws and... additional knowledge on January effect in Vietnam securities market and its evidence for the existence or non-existence of January effect in Vietnam, especially the 5 increasing of small-cap stock prices in January from year to year This research shall provide empirical evidence for the comparison of Vietnam s January effects with other emerging and developed markets Moreover, its research results may... significant since 1950 in the US, because in past 63 years, only in 1987 this effect is not shown in the market In previous special reports, Rozeff and Kinney (1976) initially find that the existence of seasonal laws of stocks and most of those laws prevail in January This finding has created a new research path for finding the existence of the January effect, its reason and its conflicts with Efficient Market. .. 1.2 Research questions and objectives This research aims to solve the following issues: 1 Does January Effect exist in Vietnam Securities Market? 2 What is the impact of January Effect on sub-periods of Vietnam Securities Market (before economic recession and during economic recession periods)? 3 What is the impact of January Effect on small-cap, mid-cap and large-cap stocks in Vietnam securities market? ... January effect in Vietnam securities market is quite feasible and bring many benefits to market participants The control of those abnormalities are essential, especially it should be controlled by state management agencies Therefore, the thesis Empirical Research of January Effect in Vietnam Securities Market is implemented to find out and justify both theoretical and practical in Vietnam securities market. .. present researches on January effects and provide useful information and findings for other future researches and it is provide the basic research about the continue seasonal effect research on Vietnam stock market, as well The seasonal pattern of market returns violates the assumption of weak market efficiency in that by observing the past development of returns, market participants can make extraordinary... especially individual loans, so many investor expect such loans to be invested into securities market Besides, positive information to support the market usually announced at the beginning of a year, thereby, having a positive impact on securities index The abnormality of stocks’ performance in January has caused a conflict with Efficient Market Hypothesis For such reasons, the surveying and researching on January. .. beginning of January in next year For example, in January 2013, almost 20 largest markets’ index in the world increases (except Brazil and Korea) Among those markets, Japan, China, UK, Switzerland and Italy’s indices has higher increase than that of the US Specifically, in January 2013, Nikkei index of Japan went up by 7.2%, Composite Shanghai (China) up by 6.5%, S&P500 (US) up by 5.5% January effect . Overview of the January Effect 8 2.1.1 January Effect in securities markets 8 2.1.1.1 January Effect in Emerging Securities Market 8 2.1.1.2 January Effect in Developed Securities Market 9. Overview of the January Effect 2.1.1 January Effect in securities markets The January effect, also known as the turn -of- year effect, is a calendar effect wherein securities increase in value. taking advantage of some laws or seasonal effect in securities market. Seasonal effects that many people are interested in are daily effect of a week, January effect, May effect, October effect