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(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

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Nội 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

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis hat this thesis is my own work and has not been previously submitted for any other degree or diploma to any other University or Institution.VO THI NGO

C TRINHACKNOWLEDGEMENTSFirstly. I am ver}' much gratetul to my supervisor. Dr. Duong Nhu Hung, for the motivational and professional supervision. 11 i (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

s impossible for me lo complete the work without your support, instruction, and patience all the time. Thank you very much for your invaluable helps.1

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

extend my deep gratitude to Professor Nguyen Trong Hoai. Mr. Phung Thanh 13inh. the entire lecturers and administrative staffs for academic guidance,

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis least, I would like to thank you my family, especially to my dearest mother, my husband, and ray children for the moral support and patience.iiABSTRAC

TSIn this study, we examine the own- and cross-effects of the return and volatility spillover between the equity markets of Vietnam and the two ASEAN (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

countries, namely, Singapore and Thailand using monthly stock returns. In attempt to explore the level and magnitude of the spillover effects of the o

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

ther markets on the Vietnamese stock market, we apply the multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) framework. B

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis ARCH-BEKK model, the study also further shed light on the issues of portfolio diversification.In general, the study found the weak return linkages amo

ng the markets, specifically, the study found no return linkages between Vietnam and Thailand and the unidirectional relationship between Vietnam and (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

Singapore. However, the volatility linkages are highly significant for the three stock markets. It is found that the shock transmission relationship b

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

etween emerging markets (i.e. Vietnam, Thailand) and developed market (i.e. Singapore) is unidirectional in direction to the emerging markets and the

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis gly 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 the return and volatility l (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

inkages have several important implications for both investors and policy makers. Firstly, because of the low correlations between the stock markets f

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

ound, the investors can earn the gains from the portfolio diversification in the three markets. Secondly, the Vietnamese policy makers should be conce

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis ion is related to the monetary policy. The finding that the own shock transmissions have the strongest impact on the Vietnamese market's volatility su

ggest that the policy makers should pay more attention to the domestic shocks so that the adequate and timely policy can be made.Key words-. Stock Ret (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

urn, 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..................

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis T.ist 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

...................................................11.1.Problem Statement...............................................................I1.2.The Resea

(LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

rch Objectives.........................................................41.3.The Research Questions....................................................

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

(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.92.3.Trends of (LUẬN văn THẠC sĩ) return and volatility spillover effects among vietnam, singapore, and thailand stock markets – a multivariate GARCH analysis

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 theory................

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

DECLARARTIONWith exception of due references specifically specified in the text and such helps clearly acknowledged in the thesis. I hereby declare th

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