Does momentum work? Evidence from Vietnam stock market

The literature remains inconclusive on the question whether momentum exists. This paper aims to bridge the gap in the literature by focusing on testing momentum hypothesis in Vietnam stock market. In particular, we address the question whether momentum strategy yields profit using a sample of firms listed on the Ho Chi Minh City stock exchange covering the period from June 2007 to October 2015. We find that momentum effects exist in Vietnamese stock market. Specifically, we find that the strategy in which investors select a portfolio based on previous 6 months and hold for 9 months, generating significant profit. The finding from this paper does not support the hypothesis of stock market efficiency, which clearly characterizes the distinct features of emerging markets.