Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
MINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market ESOFVIETNAM STOCK MARKETMAJOR: BANKING AND FINANCEMAJOR CODE: 60.31.12MASTER THESIS INSTRUCTOR: Dr. võ XUÂN VINHHo Chi Minh City - 2011ACKNOWLEDGEMENTAt first. Ĩ would like to show my sincerest gratitude to my supervisor, Dr. Vo Xuan Vinh, for his valuable time and enthusiasm. His whole-hearted guid Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market ance, encouragement and skong support dining the lime from the initial lo the final phase are the large motivation for me to complete my thesis.1 alsoLuận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
would like to thank all of my lecturers al faculty of Banking and finance. University of Economics Hochiminh City for their English program, knowledgMINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market e throughout all my studies at University as well as helping me overcome all the obstacles to finish this thesis.Lastly. I offer my regards and blessings to all of those who supported me in any respects during the completion of the study.ABSTRACTThis thesis studies the features of the stock return v Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market olatility and the presence of structural breaks in return variance of VNIndex in the Vietnam stock market by using the Iterated cumulative sums of squLuận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
ares (ICSS) algorithm. The relationship between Vietnam stock market's volatility shifts and impacts of global crisis is also detected. Using a long-sMINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market s not suitable. About structural breaks, when applying less to the standardized residuals filtered from GARCH (1,1) model, the number of sudden jumps significantly decreases in comparison with the raw return series. Events corresponding to those breaks and altering the volatility pattern of stock re Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market turn are found to be country-specific. Not any shifts are found during global crisis peiiod. In addition, because the research is not able to point ouLuận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
t exactly what events caused sudden changes, the analysis on relationship between these information and shifts IS just 111 relative meaning. Further eMINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market that many previous studies may have overestimated the degree of volatility persistence existing 111 financial time series. The small value of coefficients of the dummies representing breakpoints 111 modified GARCH model implies that the conditional variance of stock return is much affected by past t Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market rend of observed shocks and variance.Our results have important implications regarding advising investors on decisions concerning pricing equity, portLuận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
folio investment and management, hedging and forecasting. Moreover, it is also helpfill for policy-makers in making and promulgating the financial polMINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market ...........................ilTABLE OF CONTENTS..........................................................HiLIST OF FIGURES.............................................................VLIST OF TABLES.............................................................viABBREVIATIONS........................... Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market ..................................vii1: INTRODUCTION.............................................................12: LITERATI RE REVIEW...............Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market
........................................52. I Common characteristics of return series in the stock market..........52.2.Volatility models suitable to MINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIE Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market egime changes.....................................92.5.Sudden changes in economic recession?.............................. 102.6 Overstatement of less algorithm in raw returns series..................................... 103: HYPOTHESES..............................................................12 Luận văn thạc sĩ UEH volatility in stock return series of vietnam stock market MINISTRY O1 EDUCATION AND 1R.MMNG UNIVERSITY OF ECONOMICS HOCHĨMTNH CITY ------------------0O0----NGl’YẺN Tin KIM NGÂNVOLATILITY IN STOCK RETURN SERIEGọi ngay
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