Momentum Effect: Evidence from the Vietnamese Stock Market

Abstract

This paper focuses on the profitability of momentum strategies in the Vietnamese stock market. The results assert that momentum occurs within small-and large-sized stock subsamples in the period prior to the Lehmann shock and does not exist in the remaining subsamples. Further tests point out that the occurrence of momentum follows market gains and is consistent with the overreaction hypothesis. The phenomenon is likely to be explained by the low individualism in the Vietnamese culture. Evidence on high volatility, low persistence and high correlation of stock returns is also found from the study.

Short-Term Momentum Effect: a Case of Middle East Stock Markets

“…The presence of short term momentum effect in the Middle East is a significant finding and it is in line with the findings of previous authors. This finding is in line with the findings of Titman (1993, 1999) and Alphonse and Nguyen (2013) who found the existen ce of short term momentum effect in the stock market of developed and emerging countries but it goes against the finding of Fernandes and Ornelas (2008) who could not find the existence of momentum effect in the stock markets included in their research paper. This finding suggests that the stock markets in the Middle East are not isolated which …”

“…But, there is a chance to earn in traday momentum returns if investor is smart and predicts price movements in appropriate manner. Alphonse and Nguyen (2013) wrote a paper on Vietnamese stock market and examined it for short term momentum effect. The cen tre point of the paper was the profitability of momentum investment strategies.…”

Is Liquidity Priced in the Vietnamese Stock Market?

“…The results confirm the marginal effect of momentum factor in explaining variations of returns in the Vietnamese stock market. Our results are consistent with that of Alphonse and Nguyen () which document that the momentum effects in Vietnam has disappeared since the Global Financial Crisis 2008. However, our study conflicts with Vo and Truong () who report positive returns for the strategy that buy high momentum and sell low momentum stocks.…”

Market State and Investment Strategies: Evidence from the Indian Stock Market

“…In addition, other researchers have individually checked different stock markets over different time periods, and have consistently reported positive abnormal returns after implementing momentum strategies. Some of these include Rey and Schmid (2007) for Swiss, Chelley-Steeley and Siganos (2008) for the UK, Du, Huang and Liao (2009) for Taiwan, Phua, Chan, Faff and Hudson (2010) for Australian and, Alphonse and Nguyen (2013) for Vietnam stock markets. In the Indian context, however, the studies are limited.…”