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The Influence Of Macroeconomic Announcements Into Vietnamese Stock Market Volatility

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  • Mai, Nhat Chi

Abstract

Market volatility is influenced by many different factors and researchers are discovering and proving impact of those factors in their studies. Macroeconomic announcement is an important factor to market’s volatility, proxied by the famous GARCH model. Inspired by this proven statement, this paper applies the same methodology with the extension of different variables and estimates those factors against the Vietnamese market’s uncertainty. During the observed period of six years, Vietnamese Central Bank governs many monetary policies aiming to stabilise the market and encourage trading. By applying GARCH model, this paper addresses the volatility in Vietnamese market as affected by said announcements.

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  • Mai, Nhat Chi, 2016. "The Influence Of Macroeconomic Announcements Into Vietnamese Stock Market Volatility," OSF Preprints ydmhx, Center for Open Science.
    • Handle: RePEc:osf:osfxxx:ydmhx
    DOI: 10.31219/osf.io/ydmhx
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