The pre-holiday effects on stock returns and volatility: An empirical study in Ho Chi Minh Stock Exchange
Keywords:
Volatility, HOSE, stock returns, pre-holiday..
Abstract
This study aims to test the hypothesis of pre-holiday effects in Ho Chi Minh Stock Exchange (HOSE). Using the
data of daily closing prices of VN-Index during the period from December 27, 2007 to June 30, 2017, this study
finds that stock returns tend to increase in the advance of holidays. Moreover, stock volatility on trading days
before holidays tend to decay overtime in comparison to stock volatility on remaining trading days.
