Momentum Effect: Evidence from the Vietnamese Stock Market

Pascal Alphonse, Thu Hang Nguyen


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.

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Asian Journal of Finance & Accounting ISSN 1946-052X


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