Asian Journal of Finance & Accounting ISSN 1946-052X 2013, Vol. 5, No. 2 www.macrothink.org/ajfa 183 Momentum Effect: Evidence from the Vietnamese Stock Market ∗ Pascal Alphonse Professor, University of Lille North of France - Skema Business School - LSMRC Thu Hang Nguyen ∗∗ PhD Candidate, University of Lille North of France Lecturer, Foreign Trade University, HCMC Campus, Vietnam Received: Sep. 20, 2013 Accepted: October 31, 2013 Published: December 1, 2013 doi:10.5296/ajfa.v5i2.4310 URL: http://dx.doi.org/10.5296/ajfa.v5i2.4310 Abstract This paper focuses on the profitability of momentum strategies in the Vietnamese stock market. The results assert that momentum occurs within small- and large- sized stock subsamples in the period prior to the Lehmann shock and does not exist in the remaining subsamples. Further tests point out that the occurrence of momentum follows market gains and is consistent with the overreaction hypothesis. The phenomenon is likely to be explained by the low individualism in the Vietnamese culture. Evidence on high volatility, low persistence and high correlation of stock returns is also found from the study. Keywords: Market efficiency, Momentum, Vietnamese stock market, Investor behavior, Market state ∗ This article is a revised and expanded version of a paper entitled “Momentum effect in the Vietnamese stock market”, presented at 2 nd Annual International Conference on Accounting and Finance (AF2012), Singapore and published in Procedia Economics and Finance 2 (2012). ∗∗ Corresponding author, email: nthuhang@hotmail.com