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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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Fig. 1.

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Correspondence to Nguyen Ngoc Thach .

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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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