資產管理政策對越南股市報酬與波動衝擊之研究

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/30331

Title:	資產管理政策對越南股市報酬與波動衝擊之研究 The Impact of Asset Management Policy on Stock Market Return and Volatility in Vietnam
Authors:	范凡容 Thinh, Pham Hung
Contributors:	財務金融學系
Keywords:	Stock Return Volatility Vietnam Asset Management Company Non-performing Loans EGARCH-M
Date:	2015
Issue Date:	2015-08-20 15:05:43 (UTC+8)
Abstract:	Vietnam is one of the countries in Asia with the highest non-performing loans (NPL) ratio, which has affected the operations of the bank and then to the development of the Vietnam economy. The State Bank of Vietnam has decided to establish Vietnam Asset Management Company. This is a special tool of State Bank for handling non-performing loans, making healthy financial, minimizing risk for financial institutions and enterprises and promoting credit growth of the economy. The purpose of this study is to investigate the impact of Vietnam Asset Management Company as a politic event on stock market return and volatility in Vietnam stock exchange. We collected VN-index data in Ho Chi Minh stock exchange from 2008 to third quarter of 2014 as sample data. Using the Exponential General Autoregressive Conditional Heteroscedasticity in Mean (EGARCH-M) model, we found some evidences that Vietnam Asset Management Company performances have positive significant effect on stock market return and volatility.
Appears in Collections:	[Department of Banking & Finance ] Thesis

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