The Lunar New Year Effect on Stock Market Returns: Evidence from Ho Chi Minh Stock Exchange

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

1. Introduction

            - I don't see how the research gap is different from previous work. Is there any past study on HOSE? How was the result? I suggest the author may consider the following papers.
https://doi.org/10.3390/ijfs9030043
https://doi.org/10.32479/ijefi.10928

            - How is HOSE different from other stock markets, or are there any special features? I suggest that the author explain more about the reason for studying HOSE.

            - I did not see any contribution from this study. I suggest that the author should explain more about how the study will help investors in decision-making. Would it be advisable to invest during the Lunar New Year?

2. Literature Review

            In line 113, I don’t think Chien & Chen (2017) studied the Ho Chi Minh stock exchange. The author should also work hard on the literature review to be able to identify and write the research gap.

3. Data and Research Methodology

            Please explain more about the reason for using EGARCH. I suggest the author compare with other models, such as TGARCH and GJR-GARCH, and explain why the EGARCH is better.           

4. Empirical Results

           - Please show the result of the unit root test and descriptive statistics

            - Please show the result of EGARCH(1,1) as the appropriate model.

            - Please perform a diagnostic test

5. Conclusions

            The conclusion was well written, but the author should write about the contribution of this study. However, the fluctuation in stock price may not be related to the effects of the Lunar New Year. There are many other factors that are not mentioned in the study. Therefore, the author should add limitations and future research to the study.

Author Response

Please see the attachment.

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

Review report for the manuscript:

The Lunar New Year Effect on Stock Market Returns and Volatility: Evidence from Ho Chi Minh Stock Exchange

The aim of this study is to investigate the Lunar New Year effect on market returns and volatility in the HOSE. The title of the manuscript is proper. The sample period is quite recent. However, the contribution of this paper is only an empirical one. The study does not propose any theoretical or methodological contribution. Only well-known methods are used.

I have some major and minor remarks that are summarized hereafter. 

1. First, based on the iThenticate report (prepared by the MDPI editor), the overall level of similarity for this paper is quite high (37%). Although it seems that all calculations are new, the Authors should try to reduce the level of similarity.
2. The presentation of all models (3)-(6) should be improved since some of the parameters are not specified.
3. Although the topic is not new and well recognized, the Reference list is quite short (only 15 items).
4. I have not found any information about the software that has been used in this empirical research.

Author Response

Please see the attachment.

Author Response File: Author Response.pdf

Reviewer 3 Report

Comments and Suggestions for Authors

This paper empirically investigates the Lunar New Year effect on stock returns and volatility in the Ho Chi Minh Stock Exchange (HOSE). The study confirms that returns are significantly higher before the holiday, but finds no effect on volatility or post-holiday returns. The focus on a frontier market and the cultural framing of the results add value from both academic and practical standpoints. 

However, I have several suggestions to further improve the paper.

1. Comparison with Previous Literature. The paper would benefit from a more systematic and explicit comparison with representative prior studies. Highlighting the similarities and differences in key results and methodological approaches would clarify how this study contributes to the existing literature and help position its findings more clearly.

2. Interpretation and Theoretical Foundations. While the paper briefly discusses cultural explanations, a more thorough elaboration on the theoretical mechanisms behind the holiday effect—especially behavioral and institutional factors—would strengthen the interpretation of the results. Expanding this section would make the findings more convincing and meaningful.

3. Robustness through Subperiod Analysis. I recommend checking robustness by dividing the sample into subperiods. This can show whether the effect is stable over time, as done in many prior studies.

 

Author Response

Please see the attachment.

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

Comments and Suggestions for Authors

Dear Authors,

The paper has been improved sufficiently and it can be accepted in the present form.

 

Reviewer 3 Report

Comments and Suggestions for Authors

The comments have been duly reflected