分析國內外事件衝擊越南股票市場報酬與波動之研究

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 博碩士論文 > Item 987654321/24687

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题名:	分析國內外事件衝擊越南股票市場報酬與波動之研究 An Analysis of the Impacts of Domestic and International Events of Return and Volatility in Vietnam Stock Market
作者:	陶黎明 Dao, Le Minh
贡献者:	財務金融學系
关键词:	Stock market, stock return volatility EGARCH model VN-index monetary policy global financial crisis
日期:	2013
上传时间:	2013-03-22 15:35:02 (UTC+8)
摘要:	In first decade of the 21st century, Vietnam has been known as a developing economy in Asia with annual growth rate of 7% in average. During this time, a stock exchange was also established to meet the urgent needs of capital of the economy and have become an attractive and promising market to investors. To be a young and small market, Vietnam stock market is likely to be vulnerable to both internal and external changes in economy and politics. Lately, the recession of global economy and its influences on Vietnam economy have caused the investors’ worries and doubts about this investment channel. The purpose of this study is to investigate which events impact significantly on stock return in Vietnam stock exchange in the recent. The study used daily stock indices in Ho Chi Minh stock exchange from 2007 to 2011 as sample data in order to examine stock returns volatility by employing Exponential General Autoregression Conditional Heteroscedasticity (EGARCH) model. The preliminary results are expected to be found that interactive effect of domestic and international events on stock return volatility in Vietnam market. The research findings perhaps can be a reference benchmark for companies and investors in decision-making. In first decade of the 21st century, Vietnam has been known as a developing economy in Asia with annual growth rate of 7% in average. During this time, a stock exchange was also established to meet the urgent needs of capital of the economy and have become an attractive and promising market to investors. To be a young and small market, Vietnam stock market is likely to be vulnerable to both internal and external changes in economy and politics. Lately, the recession of global economy and its influences on Vietnam economy have caused the investors’ worries and doubts about this investment channel. The purpose of this study is to investigate which events impact significantly on stock return in Vietnam stock exchange in the recent. The study used daily stock indices in Ho Chi Minh stock exchange from 2007 to 2011 as sample data in order to examine stock returns volatility by employing Exponential General Autoregression Conditional Heteroscedasticity (EGARCH) model. The preliminary results are expected to be found that interactive effect of domestic and international events on stock return volatility in Vietnam market. The research findings perhaps can be a reference benchmark for companies and investors in decision-making.
显示于类别:	[財務金融學系 ] 博碩士論文

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