Day of the Week Effect in the Vietnam Stock Market: Evidence from the VN Index

Abstract

This study presents a comprehensive empirical analysis of the day-of-the-week effect within the Vietnamese stock market using an extensive 25-year dataset of the VN-Index (VNI). Utilizing an Ordinary Least Squares (OLS) regression model with weekday dummy variables, the analysis examines 6,127 daily closing prices from 2001 to 2025 to test for systematic variations in mean weekday returns. The empirical findings, supported by descriptive summary statistics, reveal a statistically significant negative Monday effect, contrasted by highly significant positive returns on Wednesdays, Thursdays and Fridays. Furthermore, a sub-period robustness check demonstrates that while the Monday effect persisted throughout the sample, it became significantly more pronounced in the post-COVID phase (2020-2025). These findings confirm the long-term presence of calendar anomalies, suggesting that the Vietnamese stock market does not strictly adhere to weak-form efficiency. Ultimately, this research offers valuable insights for investors regarding market-timing strategies while emphasizing the critical role of market frictions and transaction costs in determining the practical viability of such strategies.