Trading Strategies in the Ho Chi Minh Stock Exchange

This study examines the efficacy of stock selection techniques by analyzing the impact of several factors on stock returns. The evaluation of strategies’ effectiveness is conducted through the utilization of both non-parametric and parametric tests. The non-parametric test employs a t-test, while the parametric test utilizes alpha, which represents the intercept of the chosen risk factor model. The research conducted revealed that both long and arbitrage strategies exhibit favorable returns and good alphas within the context of the Ho Chi Minh Stock Exchange (HSX). The outperformance of the market is observed when purchasing small-size stocks with high Value-at-Risk, as evidenced by the performance of the SHVaR portfolio. This specific strategy yields the greatest return, roughly 2.38% on a monthly basis, surpassing other methods. This suggests that the efficiency of the HSX may be suboptimal, and the solutions proposed in this paper are expected to assist investors in achieving favorable returns. The findings of this paper provide valuable practical implications. Initially, policymakers have the capacity to employ risk factors as a means of assessing the efficacy of the market. Furthermore, investors have the ability to choose stocks for their portfolios by considering the connection between stock returns and their respective qualities.