The Lunar New Year effect on Vietnam stock market

Abstract

The article uses the daily closing price of stock market in the period from 2010 to 2019 to determine the Lunar New Year (LNY) effect on the Vietnamese stock market with the window sizes of 5, 10, 15 and 30 days respectively. The results show that the LNY has a positive impact on the market, especially for the days before the Tet. The further trading day from LNY, the lower the average return. The article also shows the presence of pre-LNY effects on real estate, rubber, pharmaceuticals, energy, business, construction materials and construction. Real estate, rubber, oil and gas, services, utility services, steel, trade and transportation have the post-LNY effects. This article also provides empirical evidence for the information inefficiency of Vietnam’s stock market.

Keywords

• hiệu ứng tết nguyên đán
• hồi quy với biến giả
• lý thuyết thị trường hiệu quả
• thị trường chứng khoán việt nam