臺灣博碩士論文加值系統

摘要
本研究主要探討越南的股票市場是否存在過度反應的現象。雖然它不是新的行為財務學議題，但是這是少數研究越南股票市場相關議題的論文，特別是本研究試著對胡志明市與河內兩個證券交易市場進行比較分析。樣本期間從2006年7月至2013年10月，分別以累計超額月報酬 (CAR) 與買進持有月報酬 (BHR) 來檢定越南的股票市場是否存在過度反應的現象。實證結果顯示胡志明市股票交易市場 (HOSE) 確實存在長期的過度反應與短期有動能效果但不顯著，尤其是套利組合的報酬會隨著持有期間越長而越高，此結果與文獻的發現一致。相反的，並沒有證據支持河內股票市場(HNX)有過度反應的現象，雖然與胡志明市股票交易市場的結果雷同，但在統計上並不顯著，我們認為造成兩個證券交易市場的過度反應程度不同的原因，可能為兩者之間存在差異的交易制度與交易條件。

Abstract
This present study aims to test the existence of the overreaction behavior of investors in the Viet Nam stock market consisting of two stock exchanges (HOSE and HNX). Although it is not new topic on the financial behavior, it is little documented in Viet Nam stock market. Especially, our study might be the first study which separately explores the overreaction in two stock exchanges with different trading system and regulation. To investigate the phenomenon, we employ the monthly cumulative abnormal returns (CAR) and buy and hold returns (BHR) during the periods from July 2006 to October 2013 to investigate the overreaction in HOSE and HNX. The empirical results show the evidence that there are long-term overreaction and insignificant short-term momentum effect in HOSE. Additionally, the returns might be higher and more significant as the holding period is longer. On the contrary, we find no evidence on the overreaction in HNX. In spite of the same trend with those in HOSE, the phenomena in HNX are not statistically significant. It might contribute to the difference in trading system and regulation between HOSE and HNX.

Contents
摘要 I
Abstract II
致謝 III
Contents IV
1. Introduction 1
2. Literature review 5
2.1 The overreaction hypothesis 5
2.2 Overview to Vietnamese Equities Market 11
3. Methodology and Hypothesis Development 14
3.1 Data and Sampling 14
3.2 Operational Definitions of Variables 17
4. Empirical Results 22
4.1 Overreaction Phenomenon in HOSE 23
4.2 Overreaction Phenomenon in HNX 27
5. Conclusions 32

List of Tables
TABLE1: THE BASIC RULES BETWEEN TWO STOCK EXCHANGES 12
TABLE 2: TOTAL MARKET CAPITALIZATION OF LISTED COMPANIES 14
TABLE 3: THE NUMBER OF STOCKS IN THE PORTFOLIOS OF WINNER AND LOSER 22
TABLE 4-1: RETURNS OF THE PORTFOLIOS OF THE LOSER AND WINNER IN HOSE. 25
TABLE 4-2: THE RETURNS OF THE PORTFOLIOS OF THE LOSER AND WINNER IN HNX 29



List of Figures
FIGURE 1: NUMBER OF LISTED COMPANIES IN VIETNAM STOCK MARKET 13
FIGURE 3-2: THE MONTHLY TREND OF HNX-INDEX 15
FIGURE 2: SEGMENTATION MODE OF SAMPLE PERIOD 17
FIGURE 4-1A: THE CAR FOR THE PORTFOLIOS OF THE LOSER, WINNER AND ARBITRAGE 26
FIGURE 4-1B: THE BHR FOR THE PORTFOLIOS OF THE LOSER, WINNER AND ARBITRAGE 27
FIGURE 4-2A: THE CAR FOR THE PORTFOLIO OF THE LOSER, WINNER AND ARBITRAGE 30
FIGURE 4-2B: THE BHR FOR THE PORTFOLIOS OF THE LOSER, WINNER AND ARBITRAGE 31

References
Alonso, A. and Rubio, G. (1990), “Overreaction in the Spanish Equity Market,” Journal of Banking and Finance, Vol. 14, pp. 469-481.
Blume, M. E. and Mackinlay, A. C. and Terker, B. (1989), “Order Imbalances and Stock Price Movements on October 19 and 20, 1987,” Journal of Finance, Vol. 44, pp. 827-848.
Clare, A. and Thomas, S. (1995), “The Overreaction Hypothesis in the UK Stock Market,” Journal of Business Finance and Accounting, Vol. 22,
pp. 961-973.
Conrad, J. and Kaul, G. (1993), “Long-term Market Overreaction or Biases in Computed Return?” Journal of Finance, Vol. 48, pp. 39-63.
Conrad, J. and Kaul, G. ( 1998), “An Anatomy of Trading Strategies,” The Review of Financial Studies, Vol. 11, pp. 489-519.
Da Costa, N. C. (1994), “Overreaction in the Brazilian Stock Market,” Journal of Banking and Finance, Vol. 18, pp. 633-642.
Daniel, K., Hirshleifer, D., Subrahmanyam, A. (1998), “A Theory of Overconfidence, Self-attribution, and Security Market Under- and Over-reactions,” Journal of Finance 53, in press.
De Bondt, W. F. M. and Thaler, R. H. (1985), “Does the Stock Market Overreaction?” Journal of Finance, Vol. 40, pp. 793-805.
De Bondt, W. F. M. and Thaler, R. H. (1987), “Further Evidence on Investor Overreaction and Stock Market Seasonality,” Journal of Finance, Vol. 42,
pp. 557-580.
Dissanaike, G. (1997), “Do Stock Market Investors Overreact?” Journal of Business Finance and Accounting, Vol. 24, pp. 27-49.
Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, Vol. 2, pp. 383-417.
Fama, E. F. (1991), “Efficient Capital Markets: II,” Journal of Finance, Vol. 46,
pp. 1575-1617.
Fung, A. K. W. (1999), “Overreaction in the Hong Kong Stock Market,” Global Finance Journal, Vol. 10, pp. 223-230.
Hu Lin et al. (2012), “An Empirical Study on the Overreaction of Shanghai Stock Market,” Chinese Study, Vol.2, pp. 32-35.
Hsu (1999), “The Empirical Analysis of the Relative Strength Strategy and the Contrarian Strategy in Taiwan Common Stock Market,” College of Management Fu Jen Catholic University.Thesis.
Jegadeesh, N. and Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, pp. 65-91.
Jegadeesh, N. (1990), “Evidence of Predictable Behavior of Security Returns,” Journal of Finance, Vol. 45, pp. 881-898.
Lin, H., Sha, Z. J., Liu, X. Y. and Chen, W. J. (2013), “An Empirical Study on the Overreaction of Shanghai Stock Market,” Scientific Research, Vol. 2, pp.32-35.
Lakonishok, J., Shleifer, A., Vishny, R. W. (1994), “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance, Vol. 49, pp. 1541-1578.
Lehman, B. N. (1994), “Fads, Martingales and Market Efficiency,” Quarterly Journal of Economics, Vol. 105, pp. 1-28.
Levine, R. (2001), “International Financial Liberalization and Economic Growth,” Review of International Economics, Vol. 9, pp. 688-702.
Lin(1992), “Does Taiwan Stock Market Overreact”, Taiwan University. Thesis.
Mazouz, K. and Li, X. (2007), “The Overreaction Hypothesis in the UK Market: Empirical Analysis,” Applied Financial Economics, Vol. 17,
pp. 1101-1111.
Nguyen, M. T. (2013), “Technical Analysis’s in Vietnam’s Equity Market,” NUS Students Investment Society.
Pham, V. T. L. (2007), “Abnormal Returns after Large Stock Price Changes: Evidence from the Vietnamese Stock Market,” Thesis.
Ryan, J. and Donnelly, M. (2000), “The Overreaction Hypothesis: An Examination in the Irish Stock Market,” Research Paper Series, paper No. 38.
Truong, D. L, Lanjouw, G., and Lensink, R. (2010), “Stock Market Efficiency in Thin-trading Market: The Case of the Vietnamese Stock Market,” Applied Economics, Vol. 42, pp. 3519-3532.
Wu (2006), “An Empirical Study of Overreaction Hypothesis–theCase of Taiwan’s Information and Electronic Industries,” Chaoyang University of Technology.Thesis.