Final Report on January Effect in Vietnam Stock Market | Môn Econometrics with Financial Application - Trường Đại học Quốc tế, Đại học Quốc gia Thành phố Hồ Chí Minh

lOMoAR cPSD| 58583460
VIETNAM NATIONAL UNIVERSITY OF HO CHI MINH CITY
INTERNATIONAL UNIVERSITY
SCHOOL OF ECONOMICS, FINANCE, AND ACCOUNTING FINAL REPORT Lecturer: Nguyen Phuong Anh
Course: ECONOMETRICS WITH FINANCIAL APPLICATION (BA174IU)
Class: Thursday Morning (period 1-3) Group 08 Student Name Student ID Contribution Trần Thị Minh Thuỳ BAFNIU19176 100% Hoàng Kỳ Phương BAFNIU19147 100% Nguyễn Vũ Lan Nhi BAFNIU20200 100% Huỳnh Tiến Đăng Khoa BAFNIU20314 100% June 30th, 2024 Ho Chi Minh City TABLE OF CONTENT lOMoAR cPSD| 58583460
Abstract.............................................................................................................................3 I.
INTRODUCTION.................................................................................................3
1. Background.............................................................................................................3
2. Research Objective..................................................................................................3
3. Research Question...................................................................................................3
4. Practical Implication...............................................................................................4 II.
LITERATURE REVIEW.....................................................................................4 III.
METHODOLOGY................................................................................................4
1. Research Design......................................................................................................4
2. Research Process.....................................................................................................5
3. Data.........................................................................................................................5 IV.
RESULTS AND INTERPRETATION.................................................................6 V.
CONCLUSION......................................................................................................7
1. Conclusion..............................................................................................................7
2. Comparision............................................................................................................7
3. Recommedations.....................................................................................................7
4. Limitations..............................................................................................................7
VI. REFERENCES......................................................................................................8 Abstract
Calendar influences and abnormalities in the market cause fluctuations in the stock market.
There has not been a study done on calendar impacts, though. As a result, it is essential to
investigate how calendar impacts affect the stock market. The purpose of this study is to
investigate how the January impact affects the stock market in Vietnam. The study
examines data from the VN index and closing price for nine years ( from 2015 to 2024).
Using STATA, regression analysis yielded the findings. This study sheds light on whether
or not the January impact affects the Vietnam stock market, which deepens our
understanding of investments. Accordingly, investors in the Ho Chi Minh stock exchange
may find value in the research’s suggestions. I. INTRODUCTION 2 lOMoAR cPSD| 58583460 1. Background
The January effect, first identified by Rozeff and Kinney in 1976, refers to exceptionally
high risk-adjusted returns in January as compared to other months.
This demonstrates a steady trend in stock prices, with January's average raw returns
yielding higher profits than the previous eleven months. However, the efficient market
theory (EMT), which is based on the random walk hypothesis, predicts that stock prices
will fluctuate suddenly in the future. In actuality, prices follow a random walk, negating
the January effect's influence on stock market return.
The Vietnamese securities market, which is relatively tiny in size and has a lower market
capitalization than other Southeast Asian markets, has seen several abnormalities and
fluctuations caused by investors' psychological activity, indicating market inefficiency. 2. Research Objective
Determine the presence of the January effect on the Vietnamese stock exchange using data
from 2015 to 2024. The method we used in this model is OLS regression which is the January effect. 3. Research Question
Does the January impact exist in the Vietnamese stock market?
4. Practical Implication
This article gives a thorough grasp of the calendar component in the stock market,
emphasizing the aspects that impact investment decisions and outcomes, even though not
all investors are knowledgeable in this area. II. LITERATURE REVIEW
This study aims to ascertain whether the January effect is present in the Vietnamese stock
market. Rozeff and Kinney first examined the January impact in 1976. Thirty-one of the
34 nations in the dataset examined by Darrat et al. (2013) showed a January influence,
whereas Denmark, Ireland, and Jordan did not. One of the classic studies found that returns
in January were much higher than those in the other eleven months. Subsequent research
revealed it to be significant in thirteen countries, which might be explained by tax planning.
Investors can sell underperforming stocks in December and repurchase them in January to
cut their tax bills. Another hypothesis is that new information about a company's financial lOMoAR cPSD| 58583460
status, which is widely disseminated, encourages investors to purchase stock (Rozeff and Kinney, 1976). III. METHODOLOGY 1. Research Design
Extensive strategies for data collecting, measurement, and analysis are represented by
research design. According to Marczyk, G. R., DeMatteo, D., and Festinger (2010), it is
also a strategy for choosing the sources and kinds of data required to address the research
question and a framework for putting the correlations between research variables for
process analysis into concrete form. The study design is very important to the research
article since it allows researchers to critically examine the issues and open up new avenues
for creative problem-solving and additional research (Eldabi et al, 2002). As a result,
researchers need to choose the approach that will work best for their investigation.
In order to determine the relationship between January's effects and the Vietnam stock
market, this research will employ quantitative methodologies. The quantitative method is
a means of gathering data and using mathematical, statistical, or computer engineering
techniques to these data to determine the correlations in theory and study (Kothari, 2004).
Predictive hypotheses enable quantitative research to be tested (O'Neil, 2005). As a result,
a variety of quantitative techniques can be used by researchers to determine the correlations
between various components. Using statistical analysis tools is one of the most effective methods. 2. Research Process
The research process includes the following steps: Step 1
Begin with an idea/ refine that idea Step 2
State research questions/ statements in 1 sentence Step 3 Specific aim & objectives Step 4 Selected methodology Step 5
Devise data collection methods Step 6 Gathering data Step 7 Analyzing data 4 lOMoAR cPSD| 58583460 Step 8 Draw conclusions Step 9
Complete write-up of the report 3. Data
To test the Empirical January test effect on the Vietnamese stock market, we chose to
collect data from VN-INDEX because VN-INDEX is an index that shows the price
movement trends of all stocks listed and traded on the Ho Chi Minh stock exchange
(HOSE). The index price is the close price and was collected for the period from 2015 to
2024 ( 10 years). Due to testing the January effect, we collect data monthly between
January 1st,2018, and June 1st,2024. Besides, the data of VN-INDEX from the website of
Ho Chi Minh Stock Exchange (http://hsx.vn/) is not possible to get data. Thus, to have the
data to test the model, we use the website: Investing.com - which is a reliable and have the
historical data followed monthly that we need to do the secondary method.
As a result, 1 represents the mean return for January, and 2 represents the difference
between the mean return for January and the mean return for the remaining months of the
year. A statistically significant positive 2 might be indicative of the January effect.
IV. RESULTS AND INTERPRETATION
The regression model has one dependent variable (return of VN) and one independent
variable (dummy variable). The number of observations (T)=113
The results of the test show that the P-Value of Jandum = 0.532 > 0.05, which means that
the null hypothesis that these coefficients are zero cannot be rejected at a 95% confidence
level, so they are insignificant lOMoAR cPSD| 58583460
The heteroskedasticity does not happen because the Breausch-Pagen test results that the
P-value = 0.8851 > 0.05. Moreover, the value of the Durbin-Watson d-statistic = 1.9662, approximately equal to 2.
In summary, the regression model shows no significant relationship between the dummy
variable and the return of VN. The model's explanatory power is very low, and there are no
issues with heteroskedasticity or autocorrelation detected. V. CONCLUSION 1. Conclusion
This research studies the link between a range of January effects on stock market returns
over the last five years, from 2015 to 2024. According to the survey, the evidence discussed
did not support the hypothesis that January impacts the Vietnam stock market. There is no
statistically significant relationship between the January effects and market returns. 6 lOMoAR cPSD| 58583460 2. Comparision
Our investigation aligns with the findings of the original paper. We could not establish a
statistically significant correlation between January and stock prices. This outcome
suggests that we lack robust evidence to support the existence of the January effect on the
stock price. In other words, our data doesn't show that January performs consistently
differently from different months. 3. Recommedations
The strategy based on the January effect to investing in the market portfolio is inefficient
because it does not have a sign to forecast where the market return is high or low compared
with the remaining months. Investors seeking an unbiased viewpoint when making
investments should base their decisions on a purchase or sell strategy. 4. Limitations
When doing this research, there are a few unavoidable limitations encountered.
• The purpose of the large sample size was to identify significant correlations from
data that was generated later. The outcomes are tentative and drawn from a relatively
small sample. However, these results contribute to forecasting the relationship
between January's effects and the Vietnam stock market.
• The other limitation of this study is that the survey time is too limited. Additionally,
the researchers are given a set amount of time to work on their research topic and a deadline for finishing it.
• In fact that, the paper takes more weeks to complete and collect data, making it hard
to locate and select the most appropriate data VI. REFERENCES •
VNindex chỉ Số (VNI) - investing.com. Investing.com Việt Nam. (n.d.). Retrieved
June 22, 2022, from https://vn.investing.com/indices/vn •
Le, L. P., & Do, T. D. (2016, 1 10). An Empirical Test of Calendar Effects in the
Vietnam Stock Market. An Empirical Test of Calendar Effects in Vietnam Stock Market, 31-34. •
Caporale, G. M., & Zakirova, V. (2017). Calendar anomalies in the Russian stock market. lOMoAR cPSD| 58583460 •
Russian Journal of Economics, 3(1), 101-108. •
Thaler, R. (1987). Anomalies: The January effect. Journal of Economic Perspectives, 1(1), 197-201. 8