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Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange

International journal of financial studies, 2023-06, Vol.11 (2), p.58 [Peer Reviewed Journal]

COPYRIGHT 2023 MDPI AG ;2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2227-7072 ;EISSN: 2227-7072 ;DOI: 10.3390/ijfs11020058

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  • Title:
    Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange
  • Author: Truong, Loc Dong ; Cao, Giang Ngan ; Friday, H. Swint ; Doan, Nhien Tuyet
  • Subjects: Abnormal returns ; Financial markets ; HOSE ; Hypotheses ; Investments ; New stock market listings ; overreaction ; Securities industry ; Securities markets ; Securities trading ; Stock exchanges ; Stock-exchange ; Stocks
  • Is Part Of: International journal of financial studies, 2023-06, Vol.11 (2), p.58
  • Description: The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market.
  • Publisher: Basel: MDPI AG
  • Language: English
  • Identifier: ISSN: 2227-7072
    EISSN: 2227-7072
    DOI: 10.3390/ijfs11020058
  • Source: DOAJ Directory of Open Access Journals
    Coronavirus Research Database
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
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