THE JANUARY EFFECT AND LUNAR NEW YEAR INFLUENCES IN FRONTIER MARKETS: EVIDENCE FROM THE VIETNAM STOCK MARKET
نویسندگان
چکیده
This analysis investigates the influence of timing Lunar New Year on January effect for Vietnam stock market. The data selected this study is a weekly series market index (VN-Index) over period from 7 th, 2009 through December 26 2018. To test presence and impact anomaly, OLS GARCH(1,1) regression models are employed. empirical findings obtained these confirm existence during in However, reveals that only when February, but it disappearing falls January. These suggest has significant anomaly providing evidence against tax loss selling while supporting other holiday window dressing hypotheses widely documented seasonal phenomenon. Keywords: effect, influences, JEL Classifications: G10, G40 DOI: https://doi.org/10.32479/ijefi.10928
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ژورنال
عنوان ژورنال: International Journal of Economics and Financial Issues
سال: 2021
ISSN: ['2146-4138']
DOI: https://doi.org/10.32479/ijefi.10928