Interaction of size and momentum effect in Viet Nam stock market

Abstract

This paper examines the interaction of size and momentum effect in Viet Nam stock market. The sample
period is from January 2012 to December 2017. For shed more light on that, we use different designs of
portfolios and different methods of testing in this paper. In full sample, we find that there are little significant
evidences to support the existence of momentum effect, and our results of momentum effect are inconsistent.
However, we find the strong evidences that both short-term momentum effect (the formation period are 05
months) and intermediate-term momentum effect (the formation period are 11 months) exist in the medium
size group (the third-size group in Quintiles). In meanwhile, we suggest that momentum effect doesn’t exist in
two smallest groups and two largest groups. Interestingly, we also find the significant evidences that the onemonth momentum effect exist in two largest groups