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研究生:杜文山
研究生(外文):Do Van Son
論文名稱:Empirical Research of January Effect in Vietnam Securities Market
論文名稱(外文):Empirical Research of January Effect in Vietnam Securities Market
指導教授:吳如萍吳如萍引用關係
指導教授(外文):Dr. Juping Wu
學位類別:碩士
校院名稱:樹德科技大學
系所名稱:金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:103
語文別:英文
論文頁數:59
中文關鍵詞:January effectAbnormal returnsVietnam securities marketEmerging Market
外文關鍵詞:January effectAbnormal returnsVietnam securities marketEmerging Market
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The January effect implies that securities market experience in abnormal return in January. In this thesis, I conduct the empirical research of the January effect on monthly returns of Vietnam securities market, specifically VN-Index. The research is aimed to find out the existence of January effect on overall period, subperiods of VN-Index and on securities portfolio with different market capitalization. By using the method of least square, the research result has shown that January effect exists overall period of VN-Index with higher effect during uptrend period but there has no effect during downtrend period. The effect also does not exist on different market-cap portfolio during the downtrend period. The observation of this effect can help investors to establish a profitable investment strategy and effective risk management.

The January effect implies that securities market experience in abnormal return in January. In this thesis, I conduct the empirical research of the January effect on monthly returns of Vietnam securities market, specifically VN-Index. The research is aimed to find out the existence of January effect on overall period, subperiods of VN-Index and on securities portfolio with different market capitalization. By using the method of least square, the research result has shown that January effect exists overall period of VN-Index with higher effect during uptrend period but there has no effect during downtrend period. The effect also does not exist on different market-cap portfolio during the downtrend period. The observation of this effect can help investors to establish a profitable investment strategy and effective risk management.

TABLE OF CONTENT
ABSTRACT i
ACKNOWLEDGMENTS ii
LIST OF TABLES v
LIST OF FIGURES vi
ILLUSTRATION OF SYMBOLS vii
CHAPTER 1 - INTRODUCTION 1
1.1 Research background 1
1.2 Research questions and objectives 5
1.3 Scope of the research 5
1.4 Motivation of the research 5
1.5 Research procedure 7
CHAPTER 2 - THEORETICAL BACKGROUND 8
2.1 Overview of the January Effect 8
2.1.1 January Effect in securities markets 8
2.1.1.1 January Effect in Emerging Securities Market 8
2.1.1.2 January Effect in Developed Securities Market 9
2.1.1.3 January Effect is not unique to small firm but it is more statistically significant with small firms. 10
2.1.2 Reasons for the January Effect 11
2.2 The concept and formula of Securities Index 12
2.2.1 The concept of securities index 12
2.2.2 The Formula for VN – INDEX 13
CHAPTER 3- RESEARCH METHODOLOGY 15
3.1 Research models for January effect 15
3.1.1 Non-linear pattern by a Taylor expansion 15
3.1.2 OLS methodology by Cristina Balint and Oana Gica (2012) 16
3.1.3 Time series Garch framework. 16
3.2. Estimation of research model, description and variable measurement 16
3.2.1 Return calculation formula 16
3.2.2 Application of regression model to test the January effect on VN-Index. 17
3.2.3 Application of regression model to test the January effect on VN-Index’s sub-periods. 18
3.2.4 Application of regression model to test the January effect on company’s market capitalization. 19
3.3 Research data 20
3.3.1 Securities market data 20
3.3.2 Company data 20
CHAPTER 4– DATA ANALYSIS AND RESEARCH RESULTS 23
4.1 The January effect on VN-Index in the period 2000 – 2013 23
4.2 The January effect on VN-Index in the period 2000 – 2007 25
4.3 The January effect on VN-Index in the period 2008 – 2013 27
4.4 The January effect on Large-cap Portfolio during period 2008 – 2013 28
4.5 The January effect on Mid-cap Portfolio during period 2008 – 2013 30
4.6 The January effect on Small-cap Portfolio during period 2008 – 2013 33
CHAPTER 5 – CONCLUSION 35
REFERENCES 38
ANNEX 41



REFERENCES

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