신흥 베트남 주식 시장의 주식 반환 행동 연구
A Study on Stock Returns Behaviour of the Emerging Vietnamese Stock Market
- 발행기관 아주대학교
- 지도교수 송영균
- 발행년도 2006
- 학위수여년월 2006. 8
- 학위명 석사
- 학과 및 전공 국제대학원 국제경영학과
- 본문언어 영어
초록/요약
ABSTRACT A study on stock returns behaviour of the emerging Vietnamese stock market Hien, Nguyen Duc GSIS, Ajou University 2006 This thesis overviews the historical development and investigates the stock return behavior of the Vietnamese stock market by examining 4 issues regarding stock return behaviour in Vietnam equity market. These issues are: (1) Distributional characteristics of stock return; (2) Market efficiency; (3) Market seasonality and (4) Stock return volatility and trading volume relationship. The empirical results suggest that there is serial correlation of the stock prices and stock price do not follow a random walk theory. This inefficiency can be traced to restricted supply of socks, a scarcity of information and the thinness and discontinuity in trading that plague the exchange. The thesis also tests for the presence of seasonal anomalies. There are empirical evidences to support the hypothesis of weekend effect in Vietnamese stock market that has been found in many stock markets. Besides, the empirical results also confirm the well-known volatility clustering in Vietnam daily stock return series and strongly reject the time invariance of the risk return parameter.
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Contents
Chapter1: Introduction 1
1.1 The background 1
1.2 Focus and scope 4
1.3 Research objectives 4
1.4 Benefit of the study 5
1.5 Methodology 6
1.6 Data and materials 6
1.7 Structure of the Thesis 6
Chapter2: Literature Review
2.1 Stock return behaviour 8
2.1.1 Statistical properties of the stock returns 9
2.1.2 Market efficiency 14
2.1.3 Weekend effect(The day of the week effect) 24
2.2 Stock returns volatility behaviour 25
2.3 Stock return volatility and trading volume 31
2.4 Stock return volatility and trading volume behaviour under price limits 32
Chapter3: An overview of the emerging Vietnamese stock markets 34
3.1 Emergence and development of the Vietnamese stock market 34
3.2 The primary market 36
3.3 The secondary market 37
3.3.1 Chi Minh City Securities Trading Center(HSTC) 37
3.3.2 Hanoi Securities Trading Center42
3.4 Trading mechanism 44
3.5 Mutual funds 46
3.6 Securities Companise 46
3.7 Regulatory framework 47
3.8 Performance of Vietnamese stock market 48
3.8.1 Performance of Hochiminh City Securties Trading Center 48
3.8.2 Performance of Hanoi City Securities Trading Center 52
3.8.3 Achievements and Limitations of VN Stock Market: General Assessments 52
Appendix A: 61
Chap4: An analysis of stock return behavior in the Vietnamese emerging stock market 96
4.1 Statistical Properties of stock returns 97
4.1.1 Introduction 97
4.1.2 Methodology and Models 97
4.1.3 Empirical results 101
4.2 Test of market efficiency 102
4.2.1 Introduction 102
4.2.2 Methodology and Models 102
4.2.3 Empirical results 109
4.3 Test of weekend effect 111
4.3.1 Introduction 111
4.3.2 Methodology and Models 112
4.3.3 Empirical results 113
4.4 Test of stock returns volatility 113
4.4.1 Introduction 113
4.4.2 Methodology and Models 113
4.4.3 Empirical results 119
Appendix B 123
Chapter5: Conclusions and Recommendations 151
Bibliography 155
