資產管理政策對越南股市報酬與波動衝擊之研究

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 博碩士論文 > Item 987654321/30331

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/30331

题名:	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
作者:	范凡容 Thinh, Pham Hung
贡献者:	財務金融學系
关键词:	Stock Return Volatility Vietnam Asset Management Company Non-performing Loans EGARCH-M
日期:	2015
上传时间:	2015-08-20 15:05:43 (UTC+8)
摘要:	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.
显示于类别:	[財務金融學系 ] 博碩士論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	211	检视/开启

检视Licence

在CCUR中所有的数据项都受到原著作权保护.