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The Empirical Evidence of GARCH Effects on Return Series: Vietnam Stock Market 2000-2003

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  • Vuong, Quan-Hoang

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 similar properties as those for other regional markets, such as autoregressive and serial correlation; Secondly, using rather sophisticated empirical models for a newborn market, we succeed in achieving some nontrivial remarks with respect to the use of policy matters. This paper demonstrates the importance of the application of statistical methods, a topic still not received much attention from the economic researchers in Vietnam. (Downloadable paper in Vietnamese, with English abstract.)

Suggested Citation

  • Vuong, Quan-Hoang, 2004. "The Empirical Evidence of GARCH Effects on Return Series: Vietnam Stock Market 2000-2003," OSF Preprints qja5e, Center for Open Science.
    • Handle: RePEc:osf:osfxxx:qja5e
    DOI: 10.31219/osf.io/qja5e
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    Cited by:

    1. Manh Ha Nguyen & Olivier Darné, 2018. "Forecasting and risk management in the Vietnam Stock Exchange," Working Papers halshs-01679456, HAL.

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