Luận văn thạc sĩ 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 return and volatility spillovers vietnamese and some asian markets
Luận văn thạc sĩ 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 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. 2012liAbstractPurpose - This thesis investigates the interdependence between the Vietnamese stock market and other nine Asian markets in terms of return and volatility spillo Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian marketsvers during three periods: pre-cnsis. crisis and post-crisis.Methodology - Long run and short run integration are examined through Johansen cointegratLuận văn thạc sĩ return and volatility spillovers vietnamese and some asian markets
ion and Granger causality test respectively. Vector autoregressive model is used to estimate the conditional return spillover among these indices. VolMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian marketsnificant correlation, cointegration, return spillover and volatility spillover with other markets. The crisis has strong impacts to market interdependence with higher correlation, cointegration and spillovers. In the current period, there may be long run benefits from portfolio diversification to Vi Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian marketsetnamese stocks.Originality/Value - The thesis points out the return and volatility between Vietnamese stock market and other nine Asian Markets and sLuận văn thạc sĩ return and volatility spillovers vietnamese and some asian markets
uggests potential benefits from diversification.Key words - Return spillover. Volatility spillover. VAR. BEK.K. VAR-GARCH. Cointegration. Granger causMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian markets............................iiContents.......................................................................iiiList of Figures..................................................................VList of Tables..................................................................viChapter 1.Introduction.. Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian markets......................................................11.1.Background...............................................................11.2.Purpose and sLuận văn thạc sĩ return and volatility spillovers vietnamese and some asian markets
cope........................................................11.3.Basic definition.........................................................31.3.1.StockMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOM Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian marketsility..........................................................41.3.4.Return spillover....................................................41.3.5.Volatility spillover................................................41.3.6.Tune series.........................................................41.3.7.Coint Luận văn thạc sĩ return and volatility spillovers vietnamese and some asian marketsegration.......................................................51.3.8.Granger causality...................................................5MINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOMMINISTRY OF EDI CATION AND TRAININGUNIVERSITY OF ECONOMICS HOCHIMINH CITY---0O0--NGUYỀN VĨNH NGHIÊMRETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOMGọi ngay
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