Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIET Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market TNAM STOCK MARKETMASTER THESISHo Chi Minh City 20IIMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DẠNG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFICIENT MARKET HYPOTHESIS IN VIETNAM STOCK .MARKETMAJOR: BANKING AND FINANCE MAJOR CODE: 60.31.12MASTER THESISSupervisor: Dr Võ Xu Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market ân VinhHo Chi Minh City 2011AcknowledgementI would like to express my heartfelt gratitude and deepest appreciation to my research Supervisor. Dr. Vo XLuận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
uan Vinh for his precious guidance, share of experience, ceaseless encouragement and highly valuable advice and comments throughout the course of my rMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIET Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market Thi Kim Ngan, Ms. Tran Thuy Huven. Ms. Do Ngoc Anh. Mr. Ta Thu Tin, Ms. Pham Thi Tuyet Trinh.My special gratitude is extended to all instructors and staff at Faculty of Banking and Finance Postgraduate Faculty. University of Economics HoChiMinh City (UEH) for their support and the valuable knowledge Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market during my study in ƯEH.Finally, the deepest and most sincere gratitude goes to my parents, my sisters for their love and support. Fulfilling this goaLuận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
l would not have been possible without them.AbstractThis research examines the efficiency of Vietnam stock market at weak form level by using daily anMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIET Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market metric and nonparametric tests including auto correlation test, run test, variance ratio test, regression test. ARCH. GARCH (1.1) have been employed in this study. All tests* results fail to support the hypothesis of weak form efficiency with daily data, even in case, returns are adjusted for thin t Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market rading. However, with weekly data, results obtained from run test and autocorrelation test do not completely reject hypothesis of weak form efficiencyLuận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
while result given from variance ratio test fully provides evidence against a random walk. Besides that, the findings of no clear calendar effect by MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIET Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market s to take advantage of anomalous behavior can cause the anomalies to disappear.Keywords: efficient market hypothesis, randomness, calendar effectTable of contentsAcknowledgement......................................................iAbstract............................................................ Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market iiTable of contents..................................................iiiList of tables.......................................................VAbbreviaLuận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market
tions.......................................................vi1.INTRODUCTION......................................................12.LITERATURE REVIEWMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIET Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market Form Market Efficiency...........72.2.1..Evidence from developed markets.............................82.2.2.Evidence from developing markets...........................103.DATA AND METHODOLOGY............................................14 Luận văn thạc sĩ empirical investigation of efficient market hypothesis in vietnam stock market MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITYLÊ DANG BÍCH THAOEMPIRICAL INVESTIGATION OF EFFKTENT MARKETHYPOTHESIS IN VIETGọi ngay
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