(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
MINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOC (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam CK MARKET VOLATILITY IN VIETNAMMAJOR: BANKING AND FIN ANCEMAJOR CODE: 60.31.12MASTER THESISINSTRUCTOR: Doctor TRƯƠNG QUANG THÔNGHo Chi Minh City - 2011ACKNOWLEDGEMENT1 irslly. I would like to express my sincerest gratitude to my supervisor. Dr. Truong Quang Thong for his valuable guidance and helpfu (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam l comments 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 Hoc(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
himinh City for their English program, knowledge and teaching during my master course at school.I would like to specially express my thanks to my clasMINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOC (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam y looks at the relationship between macroeconomic factors and and stock market, and determined whether inflation, movements in exchange rate, interst rate have an effect on stock market return volatility in Vietnam. The Generalised Autoregressive Conditional Heteroskedascity (GARCH) models are used (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam in establishing the relationship between these variables and stock market volatility. The results confirms presence of GARCH (1.1) effect on stock ret(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
urn time 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 HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOC (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam oof to conclude that change in interest rate and exchange rate can influence market return volatility.Keywords: volatility, leverage, interest rate, inflation, exchange rate, returns. Hochiminh Stock ExchangeiTable of contentsCHAPTER 1 Introduction...............................................11.1I (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam ntroduction..................................................11.2Research problem..............................................21.3Research objectives(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam
...........................................31.4Research methodology and scope................................31.5Structure Of The Study...............MINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOC (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 Heteroskedasticity (ARCH)......72.2.2Generalized AutoregressiveConditionalHeteroskedasticity(GARCH) 82.3The impact of macroeconomicvariables on stock marketvolatility ...82.3.1Inflation..... (LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam ...........................................102.3.2Interest rale............................................11MINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOCMINISTRY OF EDUCATION AND TRAININGUNIVERSITY OF ECONOMICS HOCIllMINH CITY— 0O0 —NGUYỀN THÚY VÂNTHE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOCGọi ngay
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