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International Econometric Conference of Vietnam

ECONVN 2019: Beyond Traditional Probabilistic Methods in Economics pp 873–885Cite as

The Seasonal Affective Disorder Cycle on the Vietnam’s Stock Market

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Part of the Studies in Computational Intelligence book series (SCI,volume 809)

Abstract

In this study, the authors used the TGARCH(1,1) model according to three different distribution patterns: normal distribution (Gaussian distribution), Student-t distribution, and generalized error distribution (GED) to analyze the effect of Seasonal Affective Disorder (SAD) on the Vietnam’s stock market. With the data being the daily closing price of VN-Index collected from the Ho Chi Minh City Stock Exchange (HOSE) during the period from February 2002 to December 2017, the study results show that the SAD effect is confirmed to exist. Specifically, the SAD effect has had an asymmetric effect on stock returns, and the SAD effect also influenced the volatility of return. In particular, the SAD effect is more obvious in Ho Chi Minh City, whose latitude is lower than Hanoi’s.

Keywords

  • Affect infusion model
  • Monday effect
  • Seasonal affective disorder
  • Stock returns
  • Volatility

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Author information

Authors and Affiliations

  1. Institute of Research and Technology, Banking University Ho Chi Minh City, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

  2. SHB, Ha Noi, Vietnam

    Nguyen Van Le

  3. Faculty of Finance - Banking, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam

    Nguyen Van Diep

Authors
  1. Nguyen Ngoc Thach
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  2. Nguyen Van Le
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  3. Nguyen Van Diep
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Corresponding author

Correspondence to Nguyen Ngoc Thach .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

  3. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Duc Trung

  4. TTC Group, Ho Chi Minh City, Vietnam

    Dang Van Thanh

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Thach, N.N., Van Le, N., Van Diep, N. (2019). The Seasonal Affective Disorder Cycle on the Vietnam’s Stock Market. In: Kreinovich, V., Thach, N., Trung, N., Van Thanh, D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham. https://doi.org/10.1007/978-3-030-04200-4_63

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