Momentum Effect in the Vietnamese Stock Market

Abstract

This study examines the momentum effect in the Vietnamese stock market to identify profitable investment strategies and assess the influence of risk factors on their effectiveness. Using data from stocks listed on the HOSE exchange between December 31, 2017, and December 31, 2022, the study finds that the momentum strategy performs best when portfolios are formed over four weeks and held for one week, yielding an average weekly return of 1.17%. Fama-MacBeth regression results indicate a positive correlation between return rates across consecutive periods. Risk factors such as size and value enhance the strategy’s effectiveness, while the beta factor negatively impacts returns. Additionally, abnormal returns in portfolio subgroups are comparable to those of the overall HOSE portfolio, suggesting that the momentum strategy is broadly applicable in the Vietnamese stock market.