Whether momentum or contrarian phenomenon exist in vietnam stock market
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Whether momentum or contrarian phenomenon exist in vietnam stock market
Whether momentum or contrarian phenomenon exist in vietnam stock market
MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCK Whether momentum or contrarian phenomenon exist in vietnam stock market K MARKETMAJOR: FINANCE - BANKING MAJOR CODE: 60.31.12MASTER THESISADVISOR: Ph.D. TRAN PHUONG NGOC THAOHO CHI MINH CITY. 2011ACKNOWLEDGEMENTAt first. I would like to express my deep gratitude to my instructor, Dr. Tran Phuong Ngoc Thao for her intensive guidance and valuable suggestions during time o Whether momentum or contrarian phenomenon exist in vietnam stock market f my study.I would like to thank Dr. Vo Xuan Vinh for valuable comments and suggestions he share with me. In addition, I also give my appreciation toWhether momentum or contrarian phenomenon exist in vietnam stock market
all of my lecturers at Faculty of Banking and Finance, University of Economics Hochiminh City for their teaching and knowledge during my master courseMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCK Whether momentum or contrarian phenomenon exist in vietnam stock market aw data in this thesis.Finally, I am thankful to my family for giving me facilitation to complete my thesis.ABSTRACTIllis diesis investigates whedier momentum or contrarian phenomenon exist on Vietnamese Stock Market over the period from January 2005 to June 2011. We employ die famous methodology by Whether momentum or contrarian phenomenon exist in vietnam stock market Jcgadccsh and Italian (1993) to calculate the profit of momentum and contrarian suategies which were built base on die historical return of 424 stockWhether momentum or contrarian phenomenon exist in vietnam stock market
s listed on Ho c.hi Minh Stock Exchange and Ha Noi Slock Exchange.We found that all 16 trading contrarian strategies always make abnormal profit with MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCK Whether momentum or contrarian phenomenon exist in vietnam stock market as a average monthly return of 2,829% (equivalent to annually return of 33,95%) with significance level of 2%.Our research demonstrates that the abnormal profit on trading contrarian strategy can not be accounted for by beta-risk as well as market size. But we found a evidence of P/B ratio explainin Whether momentum or contrarian phenomenon exist in vietnam stock market g contrarian phenomenon on Vietnamese Stock Market.Key words: Momentum: Contrarian strategies.iiTABLE OF CONTENTSACKNOWLEDGEMENT......................Whether momentum or contrarian phenomenon exist in vietnam stock market
................................. iABSTRACT............................................................. iiTABLE OF CONTENTS..........................MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCK Whether momentum or contrarian phenomenon exist in vietnam stock market ....................viiABBREVIATIONS...................................................... viii1Introduction........................................................11.1.Overview of Momentum and Contrarian strategies..................11.2.Research objective............................................ Whether momentum or contrarian phenomenon exist in vietnam stock market ..21.3.Research Methodology and Scope..................................31.4.Thesis Structure................................................41.5.VietnWhether momentum or contrarian phenomenon exist in vietnam stock market
amese Stock Market.........................................52Literature Review...................................................72.1.Efficient MarketMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCKMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH Cl—0O0—ATA THU TINWHETHER MOMENTUM OR CONTRARIAN PHENOMENON EXIS' VIETNAM STOCKGọi ngay
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