Does market timing work in Vietnam stock market, under the moderating roles of review frequency and profit target, during normal time and during time of crisis? | |
| Author | Le Minh Tuan |
| Call Number | AIT Diss. no.DBA-SOM-26-03 |
| Subject(s) | Investments--Vietnam Stock exchanges--Vietnam Speculation |
| Note | A dissertation submitted in partial fulfillment of the requirements for the degree of Doctor of Business Administration |
| Publisher | Asian Institute of Technology |
| Abstract | This study is inspired by the burning question of my investment fund: (#1) “should we continue to spend to increase the forecasting accuracy?”; or (#2) “should we change to use a simple investment method to save cost?”. This study is based on the foundation of market timing research done for the US stock market by William Sharpe (1975); investigating the potential gains from market timing in Vietnam stock market; using the secondary data of the aggregate market index VNIndex (representing the whole stock market of Vietnam) and additional three leading blue chip stocks VCB/ FPT/ HPG; during time-frame of 12 years (2012–2023) representing a normal time and time-frame of 3 years (2019–2021) representing a time of crisis; under the moderating roles of review frequency and profit target.The outcome of this study contributes three new key understandings versus previous studies. First, while previous studies mostly confirmed the superior performance of perfect market timing in the developed and emerging stock markets, this study shows that perfect market timing does not deliver the outstanding investment performance in the context of frontier stock market like Vietnam, not only during the normal time but also during the time of crisis, as this is the first study to investigate the performance of market timing during the time of crisis. Second, while previous studies mostly confirm the negative moderating role of review frequency, this study shows that review frequency does not consistently moderate the measure of Sharpe Ratio, meaning the higher review frequency does not help to reduce risk. Third, while previous studies have not investigated the moderating role of profit target, this study (as the first study on this aspect) shows that the inverted U-shape is the mode of moderation, with specific upside-down quadratic function mode for VNIndex. This study also contributes practically with valuable implications for investors, contributes methodologically with new research methods, and suggests some recommendations for future research. Most importantly, this study concretely answers the above burning question of my investment fund: the answer is (#2) “we should change to use a simple investment method to save cost”. Hopefully this study also provides helpful insights for other investors to find out the right direction in their investment journey. |
| Year | 2026 |
| Type | Dissertation |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Doctor of Philosophy in Business Administration (Publication code = DBA-SM, SM) |
| Chairperson(s) | Badir, Yuosre F. |
| Examination Committee(s) | White, Steven;Santoso, Djoen San |
| Degree | Thesis (Ph.D.) - Asian Institute of Technology, 2026 |
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