Evidence of GARCH effect in stock returns: Vietnam stock market 2000-2003
| dc.contributor.author | Vuong, Quan Hoang | |
| dc.date.accessioned | 2016-11-28T09:58:08Z | |
| dc.date.available | 2016-11-28T09:58:08Z | |
| dc.date.issued | 2004-12-15 | |
| dc.identifier.uri | http://ds.libol.fpt.edu.vn/handle/123456789/1915 | |
| dc.description | 5 pages | en_US |
| dc.description.abstract | Abstract: The Vietnamese Stock Market was officially born on July 20, 2000, and considered an experiment, in the sense that it would likely accept adjustment and constraints to reflect the contemporaneous national economic settings. This paper is one of the first applied econometric studies investigating an evidence of GARCH effects on return series of 10 individual assets and the VNI, an index devised as the market general price indicator. The results are encouraging: Firstly, we found evidence that the time series exhibit many ... | en_US |
| dc.language.iso | vi | en_US |
| dc.publisher | Vietnamese Mathematical Society | en_US |
| dc.subject | GARCH | en_US |
| dc.subject | Emerging stock market | en_US |
| dc.subject | Transition economy | en_US |
| dc.subject | Financial time series | en_US |
| dc.title | Evidence of GARCH effect in stock returns: Vietnam stock market 2000-2003 | en_US |
| dc.type | Other | en_US |
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