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Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

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Author Info
Quan-Hoang Vuong () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.)

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Abstract

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

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File URL: http://www.solvay.edu/EN/Research/Bernheim/documents/wp02001.pdf
File Format: application/pdf
File Function: First version, 2002
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Publisher Info
Paper provided by Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 02-001.RS.

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Length: 8 pages
Date of creation: Aug 2002
Date of revision:
Handle: RePEc:sol:wpaper:02-001

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  1. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August. [Downloadable!] (restricted)
  2. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August. [Downloadable!] (restricted)
  3. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April. [Downloadable!] (restricted)
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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