Abstract
The objective of the research is to analyze effects of the supermoon phenomenon on stock market returns in Vietnam. Data were obtained from daily series the VN-Index collected from HCMC Stock Exchange (HOSE) from 13/3/2002 to 31/12/2015, using estimation models including GARCH(1,1), GARCH-M(1,1) and TGARCH(1,1). The analysis result shows that GARCH-M(1,1) model proved to be effective in describing daily stock returns features. The findings shows that supermoon phenomenon has a significantly negative impact on the stock returns. This empirical evidence implies that the supermoon phenomenon has effects on behavior of investors, thus affecting financial decisions.
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Thach, N.N., Van Diep, N. (2018). The Impact of Supermoon on Stock Market Returns in Vietnam. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds) Econometrics for Financial Applications. ECONVN 2018. Studies in Computational Intelligence, vol 760. Springer, Cham. https://doi.org/10.1007/978-3-319-73150-6_48
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DOI: https://doi.org/10.1007/978-3-319-73150-6_48
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