Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketsME ASIAN MARKETSMAJOR: BUSINESS ADMINISTRATIONMAJOR CODE: 60.34.05MASTER THESISSUPERVISOR: Dr. VÕ XI ÂN VINHHO CHI MIMI CITY. 2012iAc k II ow led g e Ill e n tForemost, I would like to express my sincere gratitude to my advisor Dr. Vo Xuân Vinh for the continuous support of my thesis, for his patien Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketsce, motivation, enthusiasm, and immense knowledge. His guidance helped me in all the time of research and writing of this thesis.I would like to thankLuận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
professors at Faculty of Business Administration and Postgraduate Faculty, University of Economics Ho Chi Minh City for their teaching, their guidancMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketse - This thesis investigates the interdependence between the Vietnamese stock market and other nine Asian markets in terms of return and volatility spillovers during three periods: pre-crisis. crisis and post-crisis.Methodology - Long run and short lain integration are examined through Johansen coin Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketstegration and Granger causality test respectively. Vector autoregressive model is used to estimate the conditional return spillover among these indiceLuận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
s. Volatility spillover is studied through BEKK. and AR-GARCH Model.Findings - We find evidence of the integration of Vietnamese market with staticallMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketsependence with higher correlation, cointegralion and spillovers. In the current period, there may be long lain benefits from portfolio diversification to Vietnamese stocks.OriginalityA’alue - The thesis points out the return and volatility between Vietnamese stock market and other nine Asian Markets Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets and suggests potential benefits from diversification.Key words - Return spillover. Volatility spillover. VAR. BEKK. VAR-GARCH.Cointegration. GrangerLuận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
causality.iiiContentsAcknowledgement...................................................................iAbstract......................................MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets....................................................VList of Tables...................................................................viChapter 1.Introduction.........................................................11.1.Background...............................................................11.2.Pu Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketsrpose and scope........................................................11.3.Basic definition.........................................................3Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets
1.3.1.Stock index..........................................................31.3.2.Return..............................................................MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian markets...41.3.5.Volatility spillover.................................................41.3.6.Time series..........................................................41.3.7.Cointegration........................................................5 Luận văn thạc sĩ UEH return and volatility spillovers vietnamese and some asian marketsMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOMGọi ngay
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