Quoc Anh Hoang

Type of the article: Research Article

Abstract
The increasing behavioral volatility and informational complexity of emerging stock markets such as Vietnam create a critical need for more advanced analytical approaches to identify reliable momentum signals. This study aims to develop and validate an integrated momentum-based trading strategy specifically designed for the Vietnamese stock market. Using price and trading volume data for all stocks listed on the VNINDEX from January 2015 to February 2025, the methodology combines permutation-based entropy measures to capture short-term structural patterns with a formation–holding period framework to analyze medium- and long-term dynamics through Continuing Overreaction. The empirical results reveal a pronounced structural divergence in momentum behavior across investment horizons. Short-term momentum is persistent and strongly associated with low-complexity price and volume patterns, indicating coordinated behavioral trading and temporary predictability. In contrast, medium- and long-term Continuing Overreaction effects exhibit consistently negative values across various formation and holding horizons, suggesting that excess trading intensity leads to systematic mean reversion rather than sustained momentum. Backtesting over the period from January 2023 to February 2025 demonstrates that the proposed integrated strategy substantially outperforms a passive VNINDEX buy-and-hold benchmark, achieving a Sharpe ratio of 3.96 compared to 0.64 for the market. The superior performance remains robust across alternative portfolio construction settings and reflects improved downside risk control rather than increased return volatility. These findings indicate that integrating entropy-based complexity measures with volume-driven behavioral indicators provides a more effective framework for enhancing risk-adjusted returns in emerging stock markets.