The Impact of Supermoon on Stock Market Returns in Vietnam

摘要

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.