Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM ST Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market TOCK MARKETMAJOR: FINANCE - BANKINGMAJOR CODE: 60.31.12MASTER THESISADVISOR: PI1.D. TRAN PHUONG NGOC THAOHO CHI MINH CITY. 2011ACKNOWLEDGEMENTAl 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 lim Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market e of 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 appreciationLuận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
to all of my lecturers at Faculty of Banking and Finance. University of Economics Hochiminh City for their teaching and knowledge during my master couMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM ST Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market ss raw data in this thesis.Finally. I am thankful to my family for giving me facilitation to complete my thesis.ABSTRACTThis thesis investigates whether momentum or contrarian phenomenon exist on Vietnamese Stock Market over the period from January 2005 to June 2011. We employ the famous methodology Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market by Jegadeesh and 1'itman (1993) to calculate the profit of momentum and contrarian strategics which were built base on the historical return of 424 sLuận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
locks listed on ĨĨO Chi Minh Slock Exchange and Ila Noi Slock Exchange.We found lhal all 16 trading contrarian strategies always make abnormal profit MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM ST Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market ing has 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 expl Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market aining contrarian phenomenon on Vietnamese Slock Market.Key words: Momentum; Contrarian strategies.iiTABLE OF CONTENTSACKNOWLEDGEMENT.................Luận văn thạc sĩ UEH 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 CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM ST Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market ..............................viiABBREVIATIONS........................................................vili1Introduction.........................................................11.1.Overview of Momentum and Contrarian strategies..................I1.2.Research Objective................................ Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market ..............21.3.Research Methodology and Scope..................................31.4.Thesis Structure..............................................Luận văn thạc sĩ UEH whether momentum or contrarian phenomenon exist in vietnam stock market
..41.5.Vietnamese Stock Market.........................................52Literature Review....................................................7MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM STMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY —0O0—TA THU TINWHETHER MOMENTUM ORCONTRARIAN PHENOMENON EXIST INVIETNAM STGọi ngay
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