TIME-VARYING WEEKDAY EFFECTS IN THE VIETNAMESE STOCK MARKET: PRE- AND DURING-COVID-19 EVIDENCE
DOI:
https://doi.org/10.18623/rvd.v22.n7.3924Keywords:
Calendar Anomalies, COVID-19 Pandemic, Manufacturing Firms, The day-of-the-week Effect, Weekday EffectsAbstract
This study investigates the weekday effects in the Vietnamese stock market by using the data across two distinct periods, before and during the COVID-19 pandemic. The data series spans from January 2018 to March 2022 with five major indices: VN-Index, Largecap, Midcap, Smallcap, and VN30. We employ both OLS and GARCH (1,1) models with weekday dummies to capture mean and volatility dynamics. Our results show that weekday effects were weak and index-specific in the pre-pandemic period; only Largecap and Smallcap indices were observed with significant anomalies. However, a consistent and statistically significant Friday effect was presented across all indices during the pandemic. It indicates reduced market efficiency and provides empirical support for the Adaptive Market Hypothesis. In addition, volatility persistence decreased during the COVID-19 crisis, which means that volatility shocks became more intense but less persistent. These findings make some contributions to the literature. First, they offer multi-index, time-varying evidence of calendar anomalies in a frontier market. Second, they highlight how exogenous shocks can temporarily distort market efficiency.
References
Adaramola, A. O., & Adekanmbi, K. O. (2020). Day-of-the-week effect in Nigerian stock exchange: adaptive market hypothesis approach. Investment Management Financial Innovations, 17(1), 97. doi:https://10.21511/imfi.17(1).2020.09
Aleknevičienė, V., Klasauskaitė, V., & Aleknevičiūtė, E. (2022). Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets. Journal of Baltic Studies, 53(2), 187-210. doi:https://doi.org/10.1080/01629778.2021.1990094
Bolek, M., Gniadkowska-Szymańska, A., & Lyroudi, K. (2022). Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets. Central European Economic Journal, 9(56), 158-177. doi:https://10.2478/ceej-2022-0010
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. doi:https://doi.org/10.1016/0304-4076(86)90063-1
Chen, H., & Singal, V. (2003). Role of speculative short sales in price formation: The case of the weekend effect. The journal of finance, 58(2), 685-705. doi:https://doi.org/10.1111/1540-6261.00541
Fama, E. F. (1970). Efficient market hypothesis: A review of theory and empirical work. Journal of Finance, 25(2), 28-30.
French, K. R. (1980). Stock returns and the weekend effect. Journal of financial Economics, 8(1), 55-69. doi:https://doi.org/10.1016/0304-405X(80)90021-5
Gibbons, M. R., & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 579-596.
Hau, L. L. (2010). Day-of-the-week effects in different stock markets: New evidence on model-dependency in testing seasonalities in stock returns. Retrieved from Development and Policies Research Center (DEPOCEN), Vietnam: https://econpapers.repec.org/paper/dpcwpaper/0910.htm
Lo, A. W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, Forthcoming. doi:https://10.3905/jpm.2004.442611
Lo, A. W. (2005). Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis. Journal of investment consulting, 7(2), 21-44.
Loc, T. D. (2006). Equitisation and stock-market development: The case of Vietnam. (Doctor of Philosophy), University of Groningen, Groningen.
Loc, T. D., & Friday, H. S. (2021). The impact of the introduction of index futures on the daily returns anomaly in the Ho Chi Minh Stock Exchange. International Journal of Financial Studies, 9(3), 43. doi:https://doi.org/10.3390/ijfs9030043
Luu, C. T., Cuong, P. H., & Long, P. (2016). Seasonality effect on the Vietnamese stock exchange. International Journal of Financial Research, 7(3), 28-40. doi:https://10.5430/ijfr.v7n3p2
MacKinnon, J. (1991). Critical value for cointegration tests. In: Advanced Texts in Econometrics. Oxford: Oxford University Press.
Obalade, A., & Muzindutsi, P. (2019). The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model. Comparative Economic Research-Central and Eastern Europe, 3(22). doi:https://doi.org/10.2478/cer-2019-0028
Pham, X. M. (2013). The-turn-of-month and day-of-the-week effects in Vietnamese stock market between 2004 and 2012. Paper presented at the 2nd Applied international Business Conference (AIBC), Universiti Malaysia Sabah.
Sahoo, M. (2021). COVID‐19 impact on stock market: Evidence from the Indian stock market. Journal of Public Affairs, 21(4), e2621. doi:https://doi.org/10.1002/pa.2621
Ul Ain, Q., Azam, T., Yousaf, T., Zafar, M. Z., & Akhtar, Y. (2021). Mood sensitive stocks and sustainable cross-sectional returns during the COVID-19 pandemic: an analysis of day of the week effect in the Chinese a-share market. Frontiers in Psychology, 12, 630941. doi:https://doi.org/10.3389/fpsyg.2021.630941
Vinh, V. X., & Thao, L. D. (2014). Empirical investigation of efficient market hypothesis in Vietnam stock market. SSRN, Working paper. doi:https://dx.doi.org/10.2139/ssrn.2226866
Downloads
Published
How to Cite
Issue
Section
License
I (we) submit this article which is original and unpublished, of my (our) own authorship, to the evaluation of the Veredas do Direito Journal, and agree that the related copyrights will become exclusive property of the Journal, being prohibited any partial or total copy in any other part or other printed or online communication vehicle dissociated from the Veredas do Direito Journal, without the necessary and prior authorization that should be requested in writing to Editor in Chief. I (we) also declare that there is no conflict of interest between the articles theme, the author (s) and enterprises, institutions or individuals.
I (we) recognize that the Veredas do Direito Journal is licensed under a CREATIVE COMMONS LICENSE.
Licença Creative Commons Attribution 3.0
