(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
ptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGO (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 ON UNDERLYING STOCK INDEX VOLATILITY: EMPIRICAL EVIDENCE FROM VIETNAM ON VN30GRADUATION THESIS MAJOR: FINANCE - BANKINGCODE: 7340201HO CHI MINH CITY, 2018'8STATE BAN K OF VIETNAM MIN ISTR Y OF ED UCATION AN D TRAIN INGBANKING UNIVERSITY OF no CUI MINH CITYsoQcsLÊ CHÍ TRƯNGTHE IMPACT OF INDEX FUTURES (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 TRADING ON UNDERLYING STOCK INDEX VOLATILITY7: EMPIRICAL EVIDENCE FROM VIETNAM ONVN30MAJOR: FINANCE - bankinc;CODE: 7340201SUPERVISOR: MsC. NGUYỄN MI(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
NH NHẬTHO CHI MINH CITY, MAY 201«________________________________________^^4ACKNOWLEDGEMENTA completed study would not be done without any assistance.ptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGO (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 uragement, invaluable academic advice. Since this is a relatively new field at the Banking University of Ho C hi Minh City in particular and of Vietnam in general, so this study required a lot of expertise and knowledge of social psychology in finance. Finally. I would like to dedicate my concluding (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 words to all friends and fellows of mine. Without their support, the work could not be done successfully.The author would like to undertake research(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
projects with the topic name “The Impact of Futures Trading on Underlying Spot Market Volatility: Empirical Evidence from Vietnam on VN30". The figureptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGO (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 works until the present time. The author would like to be responsible for my commitment.Ho Chi Minh city, May 2018Student in chargeLe Chi TrungiABSTRACTThe onset of derivatives in Viet Nam and futures trading in specific may cause the concerns in the participants in market. Over the world investors (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 have started using derivatives to manage their risks and futures is one of the most effective one. Since derivatives markets interact continuously wi(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
th spot markets, the effect of derivatives markets on spot market volatility has become an important research topic.The present study tries to estimatptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGO (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 derivatives on stock market, GARCH family models which are known for their ability to model volatility. Using these models, the asymmetric nature of stock returns and the volatility of stock returns on the introduction of derivatives are checked. Most of the previous studies break the sample period (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 into two subperiods. one period before the introduction of futures trading and one after that introduction. In this paper, we are going to use the sa(Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30
me approach. In order to capture the volatility, we apply at the same time the EGARCH (1.1), GARCH (1,1) models for the pre-futures period and the posptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGO (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 N30 index but not significant and there is also the existence of leverage effect and huge difference of ARCH and GARCH effect impact on spot price volatility in each sub-period (Luận văn thạc sĩ) the impact of index futures trading on underlying stock index volatility empirical evidence from vietnam on VN30 ptíSTATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAININGBANKING UNIVERSITY OF HO CHI MINH CITY_____LE CHI TRUNGTHE IMPACT OF INDEX FUTURES TRADINGOGọi ngay
Chat zalo
Facebook