Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysishat this thesis is my own work and has not been previously submitted for any other degree or diploma to any other University or Institution.VO THI NGOC TRINHACKNOWLEDGEMENTSFirstly. I am ver}' much gratetul to my supervisor. Dr. Duong Nhu Hung, for the motivational and professional supervision. 11 i Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysiss impossible for me lo complete the work without your support, instruction, and patience all the time. Thank you very much for your invaluable helps.1Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
extend my deep gratitude to Professor Nguyen Trong Hoai. Mr. Phung Thanh 13inh. the entire lecturers and administrative staffs for academic guidance,DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisleast, I would like to thank you my family, especially to my dearest mother, my husband, and ray children for the moral support and patience.iiABSTRACTSIn this study, we examine the own- and cross-effects of the return and volatility spillover between the equity markets of Vietnam and the two ASEAN Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysiscountries, namely, Singapore and Thailand using monthly stock returns. In attempt to explore the level and magnitude of the spillover effects of the oLuận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
ther markets on the Vietnamese stock market, we apply the multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) framework. BDECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisARCH-BEKK model, the study also further shed light on the issues of portfolio diversification.In general, the study found the weak return linkages among the markets, specifically, the study found no return linkages between Vietnam and Thailand and the unidirectional relationship between Vietnam and Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisSingapore. However, the volatility linkages are highly significant for the three stock markets. It is found that the shock transmission relationship bLuận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
etween emerging markets (i.e. Vietnam, Thailand) and developed market (i.e. Singapore) is unidirectional in direction to the emerging markets and the DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisgly influenced by the past own-shock effects than the past cross-shock effects. This indicates the low level of financial integration of Vietnam into the regional markets and implies the potential rooms for the international portfolio diversification gains.The findings on the return and volatility l Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisinkages have several important implications for both investors and policy makers. Firstly, because of the low correlations between the stock markets fLuận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
ound, the investors can earn the gains from the portfolio diversification in the three markets. Secondly, the Vietnamese policy makers should be conceDECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysision is related to the monetary policy. The finding that the own shock transmissions have the strongest impact on the Vietnamese market's volatility suggest that the policy makers should pay more attention to the domestic shocks so that the adequate and timely policy can be made.Key words-. Stock Ret Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisurn, Volatility Spillovers, Vietnam, Singapore, Thailand, .Multivariate GARCH.iiiTABLE OF CONTENTSDeclaration.........................................Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
...................................iAcknowledgements......................................................................iiAbstract..................DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisT.ist of Tables........................................................................VList of Figures.......................................................................viList of Abbreviations................................................................viiCHAPTER 1 - INTRODUCTION............ Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis...................................................11.1.Problem Statement...............................................................I1.2.The ReseaLuận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
rch Objectives.........................................................41.3.The Research Questions....................................................DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis..........................6CHAPTER 2 - THE STOCK MARKETS IN COMPARISON............................................72.1.Overview of the restriction on the foreign equity ownership of the stock markets.72.2.Market capitalization, liquidity and the number of net portfolio equity inflows.92.3.Trends of Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisthe stock market indices.............................................12CHAPTER 3 - LITERATURE REVIEW..................................................Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis
.........133.1.Theories on the international linkages of equity markets.......................13Modem portfolio diversification theory................DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysisy tranmission................................163.3.Relevant empirical studies.....................................................20CHAPTER 4 - RESEARCH METHODOLOGY AND DATA COLLECTION....................................264.1.Testing for stationarity.................................................. Luận văn thạc sĩ UEH return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis.....26DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare thDECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare thGọi ngay
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