Relationship between trading volume and stock return in viet nam

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Relationship between trading volume and stock return in viet nam

MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HO CHI MINH CITYĐÒ NGỌC HOÀNG YENRELATIONSHIP BETWEEN TRADINGVOLUME AND STOCK RETURN INVIET

Relationship between trading volume and stock return in viet namTNAM’S STOCK MARKET-Major : FINANCE - BANKINGCode : 60.31.12MASTER THESISInstructor: Dr HO VIET TIENHO CHI MINH CITY. SEPTEMBER 2011ABSTRACTIllis thes

is investigated the relationship between return and trading volume in the Vietnam’s stock market in the context of Granger causality test and GARC II Relationship between trading volume and stock return in viet nam

model lest, rhe sample, including two market indices and thirty seven largest market capitalization listed companies during the period since they firs

Relationship between trading volume and stock return in viet nam

tly traded through July 201 1, was used, rhe dynamic relation as marked by lead lag relationship from return to volume was confirmed at both market le

MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HO CHI MINH CITYĐÒ NGỌC HOÀNG YENRELATIONSHIP BETWEEN TRADINGVOLUME AND STOCK RETURN INVIET

Relationship between trading volume and stock return in viet namhesis, the results indicated that volume was not a good proxy for information arrival in the stock market due to the persistence of volatility remaine

d in most of the cases. This finding was similar to other emerging markets which less agreed with the mixture distribution hypothesis.CONTENTSAbstract Relationship between trading volume and stock return in viet nam

...........................................................iContents .........................................................iiList of Tables........

Relationship between trading volume and stock return in viet nam

............................................ivChapter 1: Introduction1.1Introduction...................................................11.2Research ba

MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HO CHI MINH CITYĐÒ NGỌC HOÀNG YENRELATIONSHIP BETWEEN TRADINGVOLUME AND STOCK RETURN INVIET

Relationship between trading volume and stock return in viet namstions .............................41.5Research methodology andscope................................51.6Thesis structure.............................

..................5Chapter 2: Literature Review2.1Theoretical background.........................................72.2Empirical studies2.2.1Studies on Relationship between trading volume and stock return in viet nam

volume- price change relation....................92.2.2Studies on volume- volatility relation......................11Chapter 3: Research Methodology3.

Relationship between trading volume and stock return in viet nam

1Hypotheses....................................................153.2Data Description.............................................153.2Econometric Meth

MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HO CHI MINH CITYĐÒ NGỌC HOÀNG YENRELATIONSHIP BETWEEN TRADINGVOLUME AND STOCK RETURN INVIET