Momentum existence, characteristics and determinants in Vietnam Market

Abstract

The paper tests momentum effects in Vietnam stock market over the period 2010 to 2023. I find that while momentum effect persists, it has been waning since 2021. Momentum does reverse and reversals typically unfold over a 23-month span. Seasonal analysis indicates that momentum strategies initiated in June yield more robust profits. Unlike global traits, momentum profits in Vietnam are more pronounced following market downturns. However, the relation between momentum profits and market volatility has the same characteristic as global data where momentum profits are enhanced after low-volatility periods. Finally, this study considers multiple theoretical explanations for momentum (via their proposed proxies) and finds evidence supporting continuing overreaction as a strong determinant of momentum in Vietnam.