Seasonality in the Vietnam Stock Index

This study examines seasonality in the Vietnam Stock Market Index over 10 years, since the market’s establishment on July 28th, 2000 until December 31st, 2010. The study found significant positive returns in April and significant negative returns in July for the VN-Index. Also, the “Halloween Effect” or “Go away in May come back Halloween Day” effect is observed in the Vietnam Stock Market Index. The authors posit these results are partially driven by the rainy season in Vietnam where monthly rainfall