Luận văn thạc sĩ 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 return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis that this thesis is my own work and has not been previously submitted for any other degree or diploma lo ail} other University or Institution.VO THI NGOC TRINHACKNOWLEDGEMENTSFirstly. I am very much gratetill to my supervisor. Dr. Duong Nhu Hung, for the motivational and professional supervision. I Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysist is impossible lor me to complete the work without your support, instruction, and patience all the time. Thank you very much for your in\ akiablc helLuận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
ps.1 extend my deep gratitude to Professor Nguyen Along lloai. Mr. Phung lhanli Brnh. the entire lecturers and administrative staffs for academic guidDECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysisnor least, Ĩ would like to thank you my family, especially to my dearest mother, my husband, and my 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 ASE Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysisAN countries, namely. Singapore and Thailand using monthly- stock returns. Tn attempt to explore the level and magnitude of the spillover effects of lLuận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
ire other markets OH the Vietnamese stock market, we apply rhe multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) framewoDECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysisthe GARCH-BF.KK model, the study also further shed light OI1 the issues of portfolio diversification.hl 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 Viet Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysisnam and Singapore. However, the volatility linkages are highly significant for the three stock markets. It is found that the shock transmission relatiLuận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
onship between emerging markets (i.e. Vietnam, Thailand) and developed market (i.e. Singapore) is unidirectional in direction to the emerging markets DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysisre strongly 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 (he return and vola Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysistility linkages have several important implications for both investors and policy makers. Firstly, because of the low correlations between the slock mLuận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
arkets found, the investors can cam the gains from the portfolio diversification Hl the three markets. Secondly, the Vietnamese policy' makers should DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysise implication is related to the monetary policy'. The finding that rhe 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.Ke)' words Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis'. Slock Return, Volatility Spillovers. Vietnam. Singapore, Thailand. Multivariate GARCH.iiiTABLE OF CONTENTSDeclaration..............................Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
..............................................IAcknowledgements........................................................................iiAbstract.....DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis...........ivList of Tables.........................................................................VList of Figures.......................................................................viList of Abbreviations................................................................viiCHAPTER 1-INTRODUCTION. Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis................................................................1LI. Problem Statement................................................................Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis
11.2.The Research Objectives.........................................................41.3.The Research Questions......................................DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare Luận văn thạc sĩ 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.9 Luận văn thạc sĩ return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate garch analysis2.3.Trends of the stock market indices.............................................12CHAPTER 3 - LITERATURE REVIEW....................................Luận văn thạc sĩ 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 theoryDECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declare DECLARARTIONWilli exception of due references specifically specified ill the text and such helps clearly acknowledged in rhe thesis. I hereby declareGọi ngay
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