Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam
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Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam
MINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOC HIMINH ClTV— 0O0 —NGUYỀN Tin Y VANTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STO Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamOCK MARKET VOLATILITYIN VIETNAMMAJOR: BANKING AND FINANCEMAJOR CODE: 60.31.12MASTER THESISINSTRUCTOR: Doctor TRUONG quang THỎNGHo Chi Minh City - 2011ACKNOWLEDGEMENTFirstly, I would like to express my sineerest gratitude to my supervisor, Dr. Truong Quang Thong for his valuable guidance and helpful Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamcomments during the course of my study.I also would like to thank all of my lecturers at Faculty of Banking and Finance, University of Economics HochiLuận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam
mmh city for their English program, knowledge and teaching during my master course at school.I would like to specially express my thanks to my classmaMINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOC HIMINH ClTV— 0O0 —NGUYỀN Tin Y VANTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STO Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamooks at the relationship between macroeconomic factors and and slock market, and determined whether inflation, movements in exchange rale, interst rate have an effect on stock market return volatility in Vietnam. The Generalised Autoregressive Conditional Hclcroskcdaseily (GARCH) models are used in Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamestablishing the relationship between these variables and stock market volatility, rhe results confirms presence of (r. ỊRCỈỈ (1,1) effect on slock rcLuận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam
tum lime series of Vietnam stock market. It is also found that there is strong and positive relationship between inflation and stock market return volMINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOC HIMINH ClTV— 0O0 —NGUYỀN Tin Y VANTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STO Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamoof to conclude that change in interest rate and exchange rate can influence market return volatility.Keywords: volatility, leverage, interest rale, inflation, exchange rate, returns. Hochnnmh Stock ExchangeiTable of contentsviZ.ir)CHAPTER 1 Introduction.............................................. Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam.11.1Introduction.................................................11.2Research problem.............................................21.3Research objectLuận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam
ives..........................................31.4Research methodology and scope...............................31.5Structure of The Study.............MINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOC HIMINH ClTV— 0O0 —NGUYỀN Tin Y VANTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STO Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnam...........62.2ARCH and GARCH model.........................................62.2.1Autoregressive Conditional Heteroskedasticitv (ARCH) .....72.2.2Generalized AutoregressiveConditionalHeteroskedasticity(GARCH) 82.3The impact of macroeconomic variables on stock market volatility ...8 Luận văn thạc sĩ the impact of macroeconomic factors on conditional stock market volatility in vietnamMINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOC HIMINH ClTV— 0O0 —NGUYỀN Tin Y VANTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOGọi ngay
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