How to cite this paper
Khanh, P & Dat, P. (2020). Efficient market hypothesis and calendar effects: Empirical evidences from the Vietnam stock markets.Accounting, 6(5), 893-898.
Refrences
Ariel, R. A. (1990). High stock returns before holidays: Existence and evidence on possible causes. The Journal of Finance, 45(5), 1611-1626.
Bouman, S., & Jacobsen, B. (2002). The Halloween indicator," Sell in May and go away": Another puzzle. American Economic Review, 92(5), 1618-1635.
Chatfield, C. (2016). The analysis of time series: an introduction. CRC Press.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F. (1960). Efficient Markets Hypothesis (Doctoral dissertation, PhD Thesis, Ph. D. dissertation, University of Chicago Graduate School of Business).
Floros, C. (2008). The monthly and trading month effects in Greek stock market returns: 1996‐2002. Managerial Finance, 34(7), 453-464.
Fryzlewicz, P., & Subba Rao, S. (2014). Multiple‐change‐point detection for auto‐regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society: series B (statistical methodology), 76(5), 903-924.
Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of Financial economics, 12(4), 469-481.
Hawaldar, I. T., Bolar, S., & Pinto, P. (2017). Empirical Testing of Month of the Year Effect on Selected Commercial Banks and Services Sector Companies Listed on Bahrain Bourse. International Journal of Economics and Financial Issues, 7(2), 426-436.
Jahfer, A., & Inoue, T. (2014). Financial development, foreign direct investment and economic growth in Sri Lanka. International Journal of Economic Policy in Emerging Economies, 7(1), 77-93.
Jamróz, P., & Koronkiewicz, G. (2014). The occurrence of the day-of-the-week effects on Polish and major world stock markets. Studies in Logic, Grammar and Rhetoric, 37(1), 71-88.
Lopez Bernal, J. A., Gasparrini, A., Artundo, C. M., & McKee, M. (2013). The effect of the late 2000s financial crisis on suicides in Spain: an interrupted time-series analysis. The European Journal of Public Health, 23(5), 732-736.
Haug, M., & Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78-88.
Schwert, G. W. (2003). Anomalies and market efficiency. Handbook of the Economics of Finance, 1, 939-974.
Sharpe, W. F. (1999). G., J. Alexander, e V. Bailey, Investments.
Wong, W. K., Agarwal, A., & Wong, N. T. (2006). The disappearing calendar anomalies in the Singapore stock market. The Lahore Journal of Economics, 11(2), 123-139.
Bouman, S., & Jacobsen, B. (2002). The Halloween indicator," Sell in May and go away": Another puzzle. American Economic Review, 92(5), 1618-1635.
Chatfield, C. (2016). The analysis of time series: an introduction. CRC Press.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F. (1960). Efficient Markets Hypothesis (Doctoral dissertation, PhD Thesis, Ph. D. dissertation, University of Chicago Graduate School of Business).
Floros, C. (2008). The monthly and trading month effects in Greek stock market returns: 1996‐2002. Managerial Finance, 34(7), 453-464.
Fryzlewicz, P., & Subba Rao, S. (2014). Multiple‐change‐point detection for auto‐regressive conditional heteroscedastic processes. Journal of the Royal Statistical Society: series B (statistical methodology), 76(5), 903-924.
Gultekin, M. N., & Gultekin, N. B. (1983). Stock market seasonality: International evidence. Journal of Financial economics, 12(4), 469-481.
Hawaldar, I. T., Bolar, S., & Pinto, P. (2017). Empirical Testing of Month of the Year Effect on Selected Commercial Banks and Services Sector Companies Listed on Bahrain Bourse. International Journal of Economics and Financial Issues, 7(2), 426-436.
Jahfer, A., & Inoue, T. (2014). Financial development, foreign direct investment and economic growth in Sri Lanka. International Journal of Economic Policy in Emerging Economies, 7(1), 77-93.
Jamróz, P., & Koronkiewicz, G. (2014). The occurrence of the day-of-the-week effects on Polish and major world stock markets. Studies in Logic, Grammar and Rhetoric, 37(1), 71-88.
Lopez Bernal, J. A., Gasparrini, A., Artundo, C. M., & McKee, M. (2013). The effect of the late 2000s financial crisis on suicides in Spain: an interrupted time-series analysis. The European Journal of Public Health, 23(5), 732-736.
Haug, M., & Hirschey, M. (2006). The January effect. Financial Analysts Journal, 62(5), 78-88.
Schwert, G. W. (2003). Anomalies and market efficiency. Handbook of the Economics of Finance, 1, 939-974.
Sharpe, W. F. (1999). G., J. Alexander, e V. Bailey, Investments.
Wong, W. K., Agarwal, A., & Wong, N. T. (2006). The disappearing calendar anomalies in the Singapore stock market. The Lahore Journal of Economics, 11(2), 123-139.