加入自由貿易協定對越南股市報酬 與波動性之衝擊

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题名:	加入自由貿易協定對越南股市報酬與波動性之衝擊 The Impacts of Participation in Free Trade Agreements on Stock Return and Volatility in Vietnam Stock Exchange
作者:	杜功燦 Quang, Do Dat
贡献者:	財務金融學系
关键词:	揮發性股票收益 EGARCH模型自由貿易協定貿易自由化 volatility stock return EGARCH model Free Trade Agreement Trade Liberalization
日期:	2014-12-19
上传时间:	2015-02-05 15:10:53 (UTC+8)
摘要:	In term of the sweeping world economy globalization, trade liberalization and international integration become inevitable trends that all countries need to enforce. The concrete manifestation of these trends is the formation of Free Trade Areas, Free Trade Agreements and the elimination of tariff barriers of the members. Vietnam, a developing country in Southeast Asia whose economy significantly depends on foreign trade, is not out of these tendencies. To be specific, with an emerging and dynamic economy, a potential over-90-million-customers-market, Vietnam is really an ideal destination for not only domestic investors but also international ones. Additionally, established in the 1990s, Vietnamese stock market is such an attractive channel to meet the massive wave of investment as well as the international huge capital flows. However, being a young and small market, Vietnamese stock market is easily vulnerable with any international event. The purpose of this study investigates the impact of participation in FTAs in Vietnam stock exchange. Collecting daily indices in Ho Chi Minh stock exchange through VN-Index in the period from 2001 to 2014 as sample data, the study examines stock returns volatility with the assistance of Exponential General Autoregression Conditional Heteroscedasticity (EGARCH) model and RATS statistic software. The results are to identify the effect of Vietnamese participation in Free Trade Agreements (FTAs) and World Trade Organization (WTO) on stock market returns and volatilities. Hopefully, the findings can contribute the general literature about researching the stock market return and volatility especially in the emerging and developing countries’ stock market.
显示于类别:	[財務金融學系 ] 博碩士論文

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